# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004438
**Filing Date:** 2025-11
**Character Count:** 1037524
**Document Hash:** a6b00f36381f2fde4f27bbba5c03cd67
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004438.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004438

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528254

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Mortgage and Short-Term Investments Portfolio (Series ID: S000009853)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000027281 | PIMCO Mortgage and Short-Term Investments Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Mortgage and Short-Term Investments Portfolio

- **b. EDGAR series identifier (if any):** S000009853

- **c. LEI of Series:** GQTZH3G16O0ZDGTIUS87

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $7975016829.18

**Total Liabilities:** $6807115373.54

**Net Assets:** $1167901455.64

**Cash Not Reported:** $4343707.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 28759.988300 | **1-Year:** 67965.476200 | **5-Year:** 1044163.856800 | **10-Year:** 155922.687400 | **30-Year:** 2132.258800

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

- **3-Month:** 723.495000 | **1-Year:** 7189.158200 | **5-Year:** 17456.754200 | **10-Year:** 3768.555000 | **30-Year:** 168.466800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027281 | -1.77%               | 3.60%                | 2.11%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $16120272.06             | $-41397534.04                              |
| Month 2  | $15977497.73             | $20100478.49                               |
| Month 3  | $30363873.62             | $-4951132.43                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA PASS THRU POOLS                                              | GNMA POOL 678950 GN 10/37 FIXED 6.5                    | CUSIP: 36295SH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16682 | PA      | $17387.44      | 0.00%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357945 FN 09/35 FIXED 6                      | CUSIP: 31376KTA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $117.07        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9178 FN 10/28 FIXED 5.73                   | CUSIP: 3140LLFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1122000 | PA      | $1175558.19    | 0.10%             | 2028-10-01      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 640225 FN 04/32 FLOATING VAR                 | CUSIP: 31390AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        937 | PA      | $958.61        | 0.00%             | 2032-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P28000 FG 12/34 FIXED 5.5            | CUSIP: 3128M2AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10624 | PA      | $10807.75      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                              | MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A3 144A     | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59785 | PA      | $41411.56      | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0616 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     481259 | PA      | $445243.60     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                    | KKR FINANCIAL CLO LTD KKR 21 A 144A                    | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     314462 | PA      | $314778.61     | 0.03%             | 2031-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BS5111 GN 01/50 FIXED 3.5                    | CUSIP: 3617MFVC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69798 | PA      | $64075.21      | 0.01%             | 2050-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 599357 GN 01/33 FIXED 5.5                    | CUSIP: 36200EZW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2011 | PA      | $2054.21       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766756 FN 03/34 FIXED 5.5                    | CUSIP: 31404EZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9044 | PA      | $9151.07       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 807280 FN 10/34 FIXED 6.5                    | CUSIP: 31406D2M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20546 | PA      | $21510.40      | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782495 GN 12/38 FIXED 5.5                    | CUSIP: 36241KXY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10614 | PA      | $11171.93      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832802 FN 09/35 FLOATING VAR                 | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1161 | PA      | $1174.33       | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                 | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4418832 | PA      | $4373776.84    | 0.37%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C     | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5454791 | PA      | $4868157.20    | 0.42%             | 2046-09-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1180 GN 08/47 FIXED 4                      | CUSIP: 3617B4JZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40551 | PA      | $38687.21      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX8344 G2 04/47 FIXED 3.5                 | CUSIP: 36196LHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282076 | PA      | $260956.36     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080430 G2 07/30 FLOATING VAR              | CUSIP: 36225CPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4882 | PA      | $4904.81       | 0.00%             | 2030-07-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 863673 FN 03/36 FIXED 6                      | CUSIP: 31408XQ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4312 | PA      | $4512.91       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14446 FG 10/33 FIXED 5              | CUSIP: 31296N5F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41377 | PA      | $41366.36      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0626A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -73000000 | PA      | $-75448415.62  | -6.46%            | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942980 FN 09/37 FIXED 6                      | CUSIP: 31413ECR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45123 | PA      | $47576.11      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896032 FN 08/36 FIXED 6                      | CUSIP: 31410SPR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3018 | PA      | $3118.40       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1        | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131670 | PA      | $121219.66     | 0.01%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04332 FG 03/38 FIXED 5              | CUSIP: 3128M6ED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52348 | PA      | $53765.06      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QC2713 FR 04/51 FIXED 1.5            | CUSIP: 3133AMAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37027 | PA      | $28802.89      | 0.00%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7A                                    | SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A           | CUSIP: 78442GHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1005507 | PA      | $988788.40     | 0.08%             | 2033-12-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903132 FN 10/36 FIXED 6                      | CUSIP: 31411BLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3666 | PA      | $3853.29       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G07386 FG 08/40 FIXED 5.5            | CUSIP: 3128M9RF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62696 | PA      | $65347.20      | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847996 FN 11/35 FLOATING VAR                 | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3589 | PA      | $3650.79       | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  113900000 | PA      | $112976445.27  | 9.67%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782436 GN 10/38 FIXED 6                      | CUSIP: 36241KV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6239 | PA      | $6576.70       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0782 G2 02/43 FIXED 3                   | CUSIP: 36179M2P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2925795 | PA      | $2694692.86    | 0.23%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 647400 FN 09/32 FIXED 6                      | CUSIP: 31390JGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1954 | PA      | $2011.78       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A78147 FG 06/38 FIXED 5.5            | CUSIP: 3128LCBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2785 | PA      | $2884.69       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689938 GN 10/38 FIXED 6                      | CUSIP: 36296FPX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4766 | PA      | $4941.27       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 702849 FN 04/33 FIXED 6                      | CUSIP: 31401AZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3072 | PA      | $3138.01       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003929 G2 12/36 FIXED 5                   | CUSIP: 36202ELJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9195 | PA      | $9415.04       | 0.00%             | 2036-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U7GIA9 PIMCO SWAPTION 5.0 PUT USD 20251024          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   81800000 | NC      | $8.18          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91213 FG 10/28 FIXED 6              | CUSIP: 3128P7K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7559 | PA      | $7730.26       | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8084 FN 01/36 FIXED VAR                    | CUSIP: 3138EQ6W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     742796 | PA      | $732321.28     | 0.06%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080636 G2 09/32 FLOATING VAR              | CUSIP: 36225CV60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77979 | PA      | $78106.39      | 0.01%             | 2032-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56993 FG 02/37 FIXED 5              | CUSIP: 3128KKXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62150 | PA      | $62799.24      | 0.01%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782754 GN 09/39 FIXED 6                      | CUSIP: 36241LBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2209 | PA      | $2329.24       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD5435 G2 12/47 FIXED 3.5                 | CUSIP: 3617BMBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     488992 | PA      | $452376.60     | 0.04%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB2667 GN 12/42 FIXED 3                      | CUSIP: 36178M6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12114 | PA      | $11089.96      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080220 G2 08/28 FLOATING VAR              | CUSIP: 36225CG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2327 | PA      | $2336.05       | 0.00%             | 2028-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                     | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                 | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26740 | PA      | $25251.84      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  206800000 | PA      | $211240097.33  | 18.09%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4       | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331406 | PA      | $264594.20     | 0.02%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 667694 FN 01/33 FIXED 6                      | CUSIP: 31391HXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $174.63        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1102 GN 07/47 FIXED 4                      | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155778 | PA      | $148617.59     | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9545 FN 10/31 FIXED 4                      | CUSIP: 3138APTB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23882 | PA      | $23762.96      | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B0806 FH 03/33 FLOATING VAR         | CUSIP: 31336SNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7788 | PA      | $7915.97       | 0.00%             | 2033-03-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802005 FN 11/34 FIXED 5.5                    | CUSIP: 31405XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14096 | PA      | $14426.95      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-G                                | MLCC MORTGAGE INVESTORS INC MLCC 2003 G A4B            | CUSIP: 5899296K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435594 | PA      | $364441.17     | 0.03%             | 2029-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689635 FN 02/33 FIXED 6                      | CUSIP: 31400KEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $314.85        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB5640 GN 11/42 FIXED 3.5                    | CUSIP: 36178SHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9655 | PA      | $9009.42       | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENNIS ECONOMIC DEVELOPMENT CORPORATION INC                        | ENNIS TX ECON DEV CORP ENNDEV 08/34 ZEROCPNOID 0       | CUSIP: 293430AN4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6860000 | PA      | $3838060.93    | 0.33%             | 2034-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 722245 FN 08/33 FIXED 5.5                    | CUSIP: 31401YL29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8343 | PA      | $8616.15       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4799 FN 06/53 FIXED 5                      | CUSIP: 3140NMKM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1060977 | PA      | $1066818.60    | 0.09%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04527 FG 07/38 FIXED 5.5            | CUSIP: 3128M6LG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186959 | PA      | $193950.11     | 0.02%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955224 FN 12/37 FIXED 6.5                    | CUSIP: 31413TVR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65266 | PA      | $68487.72      | 0.01%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01648 FG 10/33 FIXED 5              | CUSIP: 31292HZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2242 | PA      | $2277.52       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735653 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51217 | PA      | $51307.23      | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783213 GN 09/40 FIXED 5.5                    | CUSIP: 36241LSA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     456768 | PA      | $479079.76     | 0.04%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO2429 GN 08/45 FIXED 3                      | CUSIP: 3617A2VW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67669 | PA      | $60939.80      | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008790 G2 01/26 FLOATING VAR              | CUSIP: 36202KXT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $45.52         | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 674740 FN 01/33 FIXED 6                      | CUSIP: 31391RS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57923 | PA      | $59169.51      | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                           | FREDDIE MAC FHR 4989 FA                                | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2189241 | PA      | $2161059.45    | 0.19%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2114                                                  | FREDDIE MAC FHR 2114 PM                                | CUSIP: 3133THPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13893 | PA      | $13952.44      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678132 FN 01/33 FIXED 6                      | CUSIP: 31391VLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        400 | PA      | $409.65        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A          | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1643295 | PA      | $1644917.11    | 0.14%             | 2031-04-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937666 FN 06/37 FIXED 6                      | CUSIP: 31412XFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4198 | PA      | $4412.38       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75437 FG 03/38 FIXED 5.5            | CUSIP: 3128L9BE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3444 | PA      | $3563.68       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05774 FG 01/40 FIXED 5              | CUSIP: 3128M7XB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66724 | PA      | $68450.03      | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1885 FN 12/33 FIXED 4                      | CUSIP: 3138XDCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     614882 | PA      | $606121.10     | 0.05%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 490758 FN 03/29 FIXED 6.5                    | CUSIP: 31382SE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1090 | PA      | $1126.91       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                          | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A    | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1929175 | PA      | $1727007.44    | 0.15%             | 2042-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 313343 FN 02/27 FLOATING VAR                 | CUSIP: 31374GBL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $809.45        | 0.00%             | 2027-02-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773925 FN 04/34 FIXED 5.5                    | CUSIP: 31404NYW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13375 | PA      | $13506.73      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699666 GN 07/40 FIXED 5                      | CUSIP: 36296SJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16241 | PA      | $16426.13      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89387 FG 10/39 FIXED 5.5            | CUSIP: 312936NC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35672 | PA      | $37007.19      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 584411 GN 05/32 FIXED 6.5                    | CUSIP: 36201JGU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        222 | PA      | $226.48        | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9690 FN 10/28 FIXED 4.9                    | CUSIP: 3140LLXU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     709000 | PA      | $725748.86     | 0.06%             | 2028-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA4844 GN 06/42 FIXED 3.5                    | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50082 | PA      | $46845.59      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D97473 FG 12/27 FIXED 6              | CUSIP: 3128E4JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1848 | PA      | $1889.21       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002910 G2 04/30 FIXED 8.5                 | CUSIP: 36202DGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $500.03        | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03832 FG 01/38 FIXED 5.5            | CUSIP: 3128M5SV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652465 | PA      | $677130.35     | 0.06%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 586228 FN 07/31 FIXED 6                      | CUSIP: 31387KHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1388 | PA      | $1417.48       | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                 | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16286 | PA      | $16399.31      | 0.00%             | 2044-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 667454 GN 05/37 FIXED 6.5                    | CUSIP: 36295DQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20112 | PA      | $21098.28      | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737184 GN 04/40 FIXED 5.5                    | CUSIP: 3620AQ6V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22933 | PA      | $22916.35      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8097 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1467000 | PA      | $1479364.27    | 0.13%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0383 FN 04/59 FIXED 4.5                    | CUSIP: 3140FXM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8499636 | PA      | $8256968.39    | 0.71%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD         | CUSIP: 38380QHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7586775 | PA      | $7678030.51    | 0.66%             | 2070-08-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 598543 GN 04/35 FIXED 5.5                    | CUSIP: 36200D5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $216.36        | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A38082 FG 09/35 FIXED 5              | CUSIP: 31297T6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9851 | PA      | $10103.49      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 694182 GN 10/38 FIXED 6                      | CUSIP: 36296LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4281 | PA      | $4425.29       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3036 G2 08/45 FIXED 4.5                 | CUSIP: 36179RLR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     996305 | PA      | $987997.04     | 0.08%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A61999 FG 06/37 FIXED 5.5            | CUSIP: 3128KSGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2535 | PA      | $2634.18       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002947 G2 07/30 FIXED 8.5                 | CUSIP: 36202DHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        765 | PA      | $800.36        | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4800 FN 06/53 FIXED 5                      | CUSIP: 3140NMKN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     888110 | PA      | $891879.49     | 0.08%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655251 GN 10/36 FIXED 6.5                    | CUSIP: 36294N5L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2032 | PA      | $2155.65       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 450838 FN 12/28 FIXED 5.5                    | CUSIP: 31380UZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2130 | PA      | $2169.06       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 543931 GN 02/31 FIXED 7.5                    | CUSIP: 36212UHG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1160 | PA      | $1192.42       | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZL2783 FR 03/42 FIXED 3.5            | CUSIP: 3131XJCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2347 | PA      | $2235.63       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03837 FG 02/38 FIXED 5.5            | CUSIP: 3128M5S27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2743 | PA      | $2845.90       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1339 FR 09/32 FIXED 3.5            | CUSIP: 3132ADPY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10367 | PA      | $10256.11      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0271 FN 08/40 FIXED VAR                    | CUSIP: 31419AJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97032 | PA      | $99424.30      | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758789 FN 12/33 FIXED 5.5                    | CUSIP: 31403U7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4950 | PA      | $5028.16       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5280 FR 06/53 FIXED 5              | CUSIP: 3133C52M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130911 | PA      | $131287.23     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01967 FG 11/30 FIXED 5.5            | CUSIP: 3128LXFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2645 | PA      | $2670.31       | 0.00%             | 2030-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658219 GN 12/36 FIXED 6.5                    | CUSIP: 36294SG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1965 | PA      | $2095.55       | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                 | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A         | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         98 | PA      | $98.30         | 0.00%             | 2030-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7589 FN 10/45 FIXED VAR                    | CUSIP: 3138EQNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28695 | PA      | $26991.86      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                | FANNIE MAE FNR 1999 37 F                               | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12587 | PA      | $12547.49      | 0.00%             | 2029-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT9182 FN 07/43 FIXED 4                      | CUSIP: 3138WXFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425387 | PA      | $413690.84     | 0.04%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                         | FANNIE MAE FNR 2014 47 BI                              | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582494 | PA      | $30995.42      | 0.00%             | 2054-08-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR6169 GN 12/49 FIXED 3.5                    | CUSIP: 3617M42A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202937 | PA      | $187043.89     | 0.02%             | 2049-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776975 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12422 | PA      | $12556.43      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                | FANNIE MAE FNR 2007 73 A1                              | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165080 | PA      | $162195.21     | 0.01%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7772 FN 11/35 FIXED VAR                    | CUSIP: 3138EQT69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2601468 | PA      | $2565443.32    | 0.22%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                              | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27324 | PA      | $27953.14      | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01005 FG 06/30 FIXED 8              | CUSIP: 31292HDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $375.53        | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769017 FN 12/31 FIXED 6                      | CUSIP: 31404HK65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2368 | PA      | $2418.82       | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO9008 FN 02/50 FIXED 3                      | CUSIP: 3140K5AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3724958 | PA      | $3282050.52    | 0.28%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2503                                                  | FREDDIE MAC FHR 2503 PZ                                | CUSIP: 31392UMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9681 | PA      | $10052.90      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697141 GN 08/38 FIXED 6.5                    | CUSIP: 36296PP21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3809 | PA      | $3985.69       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                 | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2         | CUSIP: 07384YGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81832 | PA      | $81902.30      | 0.01%             | 2042-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                            | FREDDIEMAC STRIP FHS 389 C40                           | CUSIP: 31325YRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38684421 | PA      | $6135987.10    | 0.53%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                           | FREDDIE MAC FHR 4438 WI                                | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     292215 | PA      | $16374.01      | 0.00%             | 2038-11-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 780895 FN 05/34 FIXED 5.5                    | CUSIP: 31404WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14902 | PA      | $15426.49      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05329 FG 03/39 FIXED 4.5            | CUSIP: 3128M7HE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73748 | PA      | $74509.31      | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06020 FG 12/39 FIXED 5.5            | CUSIP: 3128M8AV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14233 | PA      | $14771.18      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A29015 FG 12/34 FIXED 5              | CUSIP: 31297HAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15916 | PA      | $16307.12      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75627 FG 04/38 FIXED 5              | CUSIP: 3128L9HC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3296 | PA      | $3384.76       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0577 GN 06/42 FIXED 3.5                    | CUSIP: 36177WUA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101557 | PA      | $95373.16      | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 972103 FH 05/32 FLOATING VAR         | CUSIP: 31336CKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56501 | PA      | $57483.60      | 0.00%             | 2032-05-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 518691 GN 12/29 FIXED 8.5                    | CUSIP: 36211PF81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3723 | PA      | $3746.43       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                              | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 1A1          | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50377 | PA      | $49651.17      | 0.00%             | 2034-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                         | FANNIE MAE FNR 2013 34 PS                              | CUSIP: 3136ADQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2023970 | PA      | $182629.12     | 0.02%             | 2042-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 733677 GN 05/40 FIXED 5.5                    | CUSIP: 3620AMCN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13164 | PA      | $13668.46      | 0.00%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 797544 FN 04/35 FIXED 6                      | CUSIP: 31405SBM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1289 | PA      | $1322.58       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01507 FG 12/32 FIXED 7              | CUSIP: 31283HU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8786 | PA      | $9188.02       | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802482 FN 11/34 FIXED 5.5                    | CUSIP: 31405XRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23095 | PA      | $23327.31      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545998 FN 11/32 FIXED VAR                    | CUSIP: 31385JRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9445 | PA      | $9770.73       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 749219 FN 10/33 FIXED 5.5                    | CUSIP: 31403HK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1337 | PA      | $1348.87       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256393 FN 09/36 FIXED 6                      | CUSIP: 31371MXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41681 | PA      | $43944.44      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA         | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     437692 | PA      | $24555.23      | 0.00%             | 2042-06-20      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617710 GN 09/37 FIXED 6.5                    | CUSIP: 36290UGT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4129 | PA      | $4282.11       | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256175 FN 02/26 FIXED 6.5                    | CUSIP: 31371MQ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $359.75        | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05087 FG 01/37 FIXED 5              | CUSIP: 3128M66Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2045 | PA      | $2095.70       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942463 FN 08/37 FIXED 6.5                    | CUSIP: 31413DQQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25254 | PA      | $26422.99      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H0506A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49800000 | PA      | $49543707.29   | 4.24%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 920731 FN 01/37 FIXED 6                      | CUSIP: 31412B4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4826 | PA      | $5040.10       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01418 FG 10/32 FIXED 5.5            | CUSIP: 31292HSF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7817 | PA      | $8117.00       | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 887583 FN 07/36 FIXED 6                      | CUSIP: 31410FCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3790 | PA      | $3951.14       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4989 FN 04/27 FIXED 2                      | CUSIP: 31417BRK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1630 | PA      | $1605.30       | 0.00%             | 2027-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771924 FN 05/34 FIXED 5.5                    | CUSIP: 31404LSM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20036 | PA      | $20248.36      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-1                                          | FANNIE MAE FNR 2021 1 IY                               | CUSIP: 3136BD2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35065030 | PA      | $1755078.39    | 0.15%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1          | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      42901 | PA      | $43968.96      | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AZ1909 FN 06/45 FIXED 3                      | CUSIP: 3138YTDP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25653 | PA      | $22960.92      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A    | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420539 | PA      | $425115.23     | 0.04%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8509 FR 01/32 FIXED 2.5            | CUSIP: 3131XCN29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     290951 | PA      | $280658.80     | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C      | CUSIP: 92922FWV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35166 | PA      | $34230.36      | 0.00%             | 2044-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1       | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276102 | PA      | $265374.39     | 0.02%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR              | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1289.32       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ4127 G2 10/48 FIXED 4.5                 | CUSIP: 3617HRSQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60108 | PA      | $58120.98      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                     | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                 | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5384 | PA      | $774.03        | 0.00%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944713 FN 07/37 FIXED 6                      | CUSIP: 31413GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16943 | PA      | $17528.32      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08045 FG 03/35 FIXED 5              | CUSIP: 3128MJBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8023 | PA      | $8219.76       | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0613 FN 05/51 FIXED 3                      | CUSIP: 3140QKVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3833088 | PA      | $3378941.31    | 0.29%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03964 FG 02/38 FIXED 5.5            | CUSIP: 3128M5WZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8740 | PA      | $9078.06       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931056 FN 05/35 FIXED 5.5                    | CUSIP: 31412PMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39658 | PA      | $41054.33      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD8968 FN 11/46 FIXED 3.5                    | CUSIP: 3140FG6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2362734 | PA      | $2208380.69    | 0.19%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                   | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1              | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142802 | PA      | $64441.47      | 0.01%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 708631 FN 06/33 FIXED 6                      | CUSIP: 31401HHG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $1013.43       | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                           | FREDDIE MAC FHR 4182 QI                                | CUSIP: 3137B0ZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117746 | PA      | $5642.91       | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257531 FN 11/28 FIXED 6.5                    | CUSIP: 31371PA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3711 | PA      | $3831.81       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782962 GN 05/40 FIXED 5                      | CUSIP: 36241LJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91269 | PA      | $93579.06      | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 067697 FN 11/28 FLOATING VAR                 | CUSIP: 31362QGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7897 | PA      | $7792.90       | 0.00%             | 2028-11-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A6        | CUSIP: 93935BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2105563 | PA      | $443995.61     | 0.04%             | 2036-07-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A76298 FG 04/38 FIXED 5              | CUSIP: 3128L97K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7424 | PA      | $7623.59       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT DEC25 XCBT 20251219                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        521 | NC      | $1704187.83    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 485398 GN 04/31 FIXED 7.5                    | CUSIP: 36209YGF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $183.06        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6527 G2 02/48 FIXED 3.5                 | CUSIP: 3617G1HC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     560303 | PA      | $517655.23     | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0356 FN 05/51 FIXED 3                      | CUSIP: 3140QKME5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6062207 | PA      | $5335606.88    | 0.46%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658104 GN 09/36 FIXED 6.5                    | CUSIP: 36294SDH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2458 | PA      | $2539.08       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545944 FN 10/32 FIXED VAR                    | CUSIP: 31385JP51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $384.42        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782996 GN 06/40 FIXED 5                      | CUSIP: 36241LKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2251 | PA      | $2307.93       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03591 FG 11/37 FIXED 5.5            | CUSIP: 3128M5KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3860 | PA      | $4019.98       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02498 FG 12/36 FIXED 6.5            | CUSIP: 3128M4DB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21184 | PA      | $22466.89      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8781 FN 07/33 FIXED 4.86                   | CUSIP: 3140LKXK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2578702.73    | 0.22%             | 2033-07-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A53035 FG 10/36 FIXED 6.5            | CUSIP: 3128KFLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9079 | PA      | $9588.40       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A44573 FG 04/36 FIXED 5.5            | CUSIP: 3128K5CJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13846 | PA      | $14387.06      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004143 G2 05/38 FIXED 5                   | CUSIP: 36202ES83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     426646 | PA      | $436665.77     | 0.04%             | 2038-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02788 FG 03/37 FIXED 5.5            | CUSIP: 3128M4ND1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7761 | PA      | $8088.95       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754324 FN 12/33 FIXED 5.5                    | CUSIP: 31403QAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8941 | PA      | $9076.10       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G00509 FG 08/26 FIXED 8.5            | CUSIP: 31283GR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.44         | 0.00%             | 2026-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1447 G2 11/43 FIXED 3                   | CUSIP: 36179NTC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     696643 | PA      | $639308.89     | 0.05%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE6619 FN 10/25 FIXED 3.5                    | CUSIP: 31419HK92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        957 | PA      | $954.15        | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008983 G2 09/26 FLOATING VAR              | CUSIP: 36202K6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $311.96        | 0.00%             | 2026-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782888 GN 02/40 FIXED 5                      | CUSIP: 36241LF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21404 | PA      | $21958.60      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769663 FN 04/34 FIXED 5.5                    | CUSIP: 31404JB87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5538 | PA      | $5706.16       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE         | CUSIP: 38380AUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     206479 | PA      | $30368.73      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852304 FN 02/36 FIXED 6                      | CUSIP: 31408H3M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4780 | PA      | $4927.74       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2         | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13366 | PA      | $13488.55      | 0.00%             | 2033-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0209 FN 08/43 FIXED 3.5                    | CUSIP: 3138W9GT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $518.38        | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1684 FN 09/41 FIXED 4                      | CUSIP: 3138A22S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33899 | PA      | $32988.02      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080392 G2 04/30 FLOATING VAR              | CUSIP: 36225CNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4245 | PA      | $4246.58       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BI1270 GN 08/48 FIXED 4                      | CUSIP: 3617HAMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     213699 | PA      | $208362.42     | 0.02%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A97218 FG 03/41 FIXED 5              | CUSIP: 312946AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     255411 | PA      | $262021.75     | 0.02%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55000 12/22/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10090.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05651 FG 09/39 FIXED 5              | CUSIP: 3128M7TG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18971 | PA      | $19481.37      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A         | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252772 | PA      | $206000.33     | 0.02%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713698 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3615 | PA      | $3645.90       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A71408 FG 01/38 FIXED 5.5            | CUSIP: 3128L4R55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71139 | PA      | $73857.03      | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940639 FN 08/37 FIXED 6                      | CUSIP: 31413BPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9067 | PA      | $9529.29       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764521 FN 05/34 FIXED 5.5                    | CUSIP: 31404CLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4111 | PA      | $4190.49       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1374 FN 11/43 FIXED 4                      | CUSIP: 3138XCQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187567 | PA      | $181631.29     | 0.02%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ6388 FN 02/48 FIXED 4                      | CUSIP: 3140H8C29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     591502 | PA      | $567756.15     | 0.05%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002973 G2 09/30 FIXED 8                   | CUSIP: 36202DJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        768 | PA      | $795.78        | 0.00%             | 2030-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658374 GN 11/36 FIXED 6.5                    | CUSIP: 36294SMX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        655 | PA      | $687.79        | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555436 FN 05/33 FIXED VAR                    | CUSIP: 31385XBD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29939 | PA      | $30973.69      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A15539 FG 11/33 FIXED 5.5            | CUSIP: 31296QEL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125735 | PA      | $130220.33     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57475 FG 02/37 FIXED 5.5            | CUSIP: 3128KLJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1442 | PA      | $1498.83       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 386                                     | FANNIEMAE STRIP FNS 386 14                             | CUSIP: 3136FFSR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93948 | PA      | $21129.52      | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03052 FG 06/37 FIXED 5.5            | CUSIP: 3128M4WM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2267 | PA      | $2363.08       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA8715 FN 06/39 FIXED 4                      | CUSIP: 31416SVH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28852 | PA      | $28404.09      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725495 FN 02/34 FLOATING VAR                 | CUSIP: 31402C7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4820 | PA      | $4873.96       | 0.00%             | 2034-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A29582 FG 01/35 FIXED 4.5            | CUSIP: 31297HUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15649 | PA      | $15656.60      | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782938 GN 03/40 FIXED 5.5                    | CUSIP: 36241LHP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226349 | PA      | $237391.23     | 0.02%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                                | FANNIE MAE FNR 2000 32 FM                              | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4992 | PA      | $4984.97       | 0.00%             | 2030-10-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A32162 FG 03/35 FIXED 5              | CUSIP: 31297MMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45095 | PA      | $45062.21      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890299 FN 07/40 FIXED VAR                    | CUSIP: 31410LDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46175 | PA      | $48686.59      | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778068 FN 05/34 FIXED 5.5                    | CUSIP: 31404TMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6952 | PA      | $7208.88       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA8528 FN 01/51 FIXED 2.5                    | CUSIP: 3140QGPN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4414407 | PA      | $3728429.22    | 0.32%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605631 GN 08/34 FIXED 6.5                    | CUSIP: 36200NY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        827 | PA      | $868.47        | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.26000 06/08/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $191581.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787010 FH 12/29 FLOATING VAR         | CUSIP: 31295KYF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1148 | PA      | $1155.67       | 0.00%             | 2029-12-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2414 G2 04/48 FIXED 4                   | CUSIP: 3617GLVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144387 | PA      | $136610.37     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2007-HE2                            | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2       | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        824 | PA      | $588.41        | 0.00%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A40032 FG 09/35 FIXED 5              | CUSIP: 3128K0A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1429 | PA      | $1425.97       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252469 FN 10/28 FIXED 7.5                    | CUSIP: 31371HMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4103 | PA      | $4102.86       | 0.00%             | 2028-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683565 GN 02/38 FIXED 6.5                    | CUSIP: 36295XMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10219 | PA      | $10673.51      | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698060 GN 02/39 FIXED 5.5                    | CUSIP: 36296QQM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28497 | PA      | $29546.37      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783292 GN 12/40 FIXED 6                      | CUSIP: 36241LUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22692 | PA      | $23909.06      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764209 FN 04/34 FIXED 5.5                    | CUSIP: 31404CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3723 | PA      | $3834.22       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20D                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1          | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     265374 | PA      | $268059.11     | 0.02%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 410836 FH 08/30 FLOATING VAR         | CUSIP: 31337A4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $182.02        | 0.00%             | 2030-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060679 FN 01/28 FLOATING VAR                 | CUSIP: 31362GM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $170.18        | 0.00%             | 2028-01-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A           | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355481 | PA      | $328285.22     | 0.03%             | 2037-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT8403 FN 06/43 FIXED 4                      | CUSIP: 3138WWKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     750322 | PA      | $729768.86     | 0.06%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT3502 GN 02/50 FIXED 3.5                    | CUSIP: 3617MR3K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116404 | PA      | $106680.75     | 0.01%             | 2050-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672391 GN 12/37 FIXED 6                      | CUSIP: 36295J7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1410 | PA      | $1486.06       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535415 FN 05/30 FLOATING VAR                 | CUSIP: 31384VYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5307 | PA      | $5325.07       | 0.00%             | 2030-05-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46278 FG 07/35 FIXED 5              | CUSIP: 3128K66P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11252 | PA      | $11533.46      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 656202 GN 08/36 FIXED 6.5                    | CUSIP: 36294QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9940 | PA      | $10372.83      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0657 FN 08/41 FIXED VAR                    | CUSIP: 3138EGWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45302 | PA      | $46419.60      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4262                                           | FREDDIE MAC FHR 4262 SB                                | CUSIP: 3137B4XS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3439914 | PA      | $3318551.05    | 0.28%             | 2041-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 741862 FN 09/33 FIXED 5.5                    | CUSIP: 31402YFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2318.52       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 313783 FN 05/36 FLOATING VAR                 | CUSIP: 31374GRC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1125 | PA      | $1113.65       | 0.00%             | 2036-05-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A1 144A   | CUSIP: 16678RBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57918 | PA      | $56293.80      | 0.00%             | 2035-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4463                                           | FREDDIE MAC FHR 4463 IO                                | CUSIP: 3137BHGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177022 | PA      | $9613.05       | 0.00%             | 2038-02-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786064 FH 01/28 FLOATING VAR         | CUSIP: 31348SWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1798 | PA      | $1797.47       | 0.00%             | 2028-01-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766177 FN 02/34 FIXED 5.5                    | CUSIP: 31404EFS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5127 | PA      | $5188.94       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 634237 FN 03/32 FIXED 6                      | CUSIP: 31389SS21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2299 | PA      | $2348.96       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777438 FN 04/34 FIXED 5.5                    | CUSIP: 31404SV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1803 | PA      | $1832.83       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5449 FN 06/44 FIXED VAR                    | CUSIP: 3138ENBT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45995 | PA      | $45677.18      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3862 FN 01/38 FIXED 3                      | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2793104 | PA      | $2634615.22    | 0.23%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 505641 FN 06/29 FLOATING VAR                 | CUSIP: 31383KWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4749 | PA      | $4793.35       | 0.00%             | 2029-06-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3335 FN 04/38 FIXED 3                      | CUSIP: 31418CV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87139 | PA      | $82313.89      | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899735 FN 09/37 FIXED 6.5                    | CUSIP: 31410WSY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $129.79        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C71288 FG 09/32 FIXED 5.5            | CUSIP: 31287YND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1407 | PA      | $1450.76       | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783646 FN 06/34 FIXED 5.5                    | CUSIP: 31405ATB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3849 | PA      | $3996.80       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080710 G2 07/33 FLOATING VAR              | CUSIP: 36225CYG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243291 | PA      | $246913.70     | 0.02%             | 2033-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781339 GN 09/31 FIXED 8                      | CUSIP: 36225BPY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1365 | PA      | $1460.86       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                           | CUSIP: 21H0326B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17882000 | PA      | $16302915.33   | 1.40%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A       | CUSIP: 41161UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18743 | PA      | $17897.55      | 0.00%             | 2036-08-19      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 495508 FN 04/29 FIXED 6.5                    | CUSIP: 31382XNZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $130.55        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838689 FN 09/35 FIXED 6.5                    | CUSIP: 31407RXS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2522 | PA      | $2603.26       | 0.00%             | 2035-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8154 G2 09/47 FIXED 3.5                 | CUSIP: 3617B0BX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     777058 | PA      | $718870.49     | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20G                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20G 1          | CUSIP: 83162CRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155151 | PA      | $157788.82     | 0.01%             | 2028-07-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535533 FN 10/30 FIXED VAR                    | CUSIP: 31384V4S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2134 | PA      | $2235.19       | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931950 FN 01/37 FIXED 6.5                    | CUSIP: 31412QL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7475 | PA      | $7896.65       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 788132 FN 04/32 FIXED 6                      | CUSIP: 31405FSV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $704.91        | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2180 FN 11/44 FIXED 5                      | CUSIP: 3138Y3M65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12377 | PA      | $12358.11      | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781205 GN 07/30 FIXED 8.5                    | CUSIP: 36225BKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1280 | PA      | $1335.23       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                            | ROMARK CLO LTD RMRK 2017 1A A1R 144A                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5564684 | PA      | $5567789.98    | 0.48%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815117 FN 05/35 FLOATING VAR                 | CUSIP: 31406NSE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4562 | PA      | $4602.40       | 0.00%             | 2035-05-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655605 GN 09/36 FIXED 6.5                    | CUSIP: 36294PKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1622 | PA      | $1695.18       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 846775 FH 11/29 FLOATING VAR         | CUSIP: 3128HDQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33726 | PA      | $33974.50      | 0.00%             | 2029-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS6513 FN 01/36 FIXED 4                      | CUSIP: 3138WGGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     578315 | PA      | $567698.28     | 0.05%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735754 FN 07/35 FLOATING VAR                 | CUSIP: 31402RMB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11178 | PA      | $11324.45      | 0.00%             | 2035-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786513 FH 07/28 FLOATING VAR         | CUSIP: 31295KGW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4368 | PA      | $4382.98       | 0.00%             | 2028-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700778 GN 10/38 FIXED 5.5                    | CUSIP: 36296TQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2647 | PA      | $2715.63       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75835 FG 04/38 FIXED 5.5            | CUSIP: 3128L9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1839 | PA      | $1907.86       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4850 | PA      | $4762.08       | 0.00%             | 2032-08-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04613 FG 10/37 FIXED 6              | CUSIP: 3128M6N61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1970 | PA      | $2072.95       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-77                                         | FANNIE MAE FNR 2002 77 WF                              | CUSIP: 31392F6W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7903 | PA      | $7877.31       | 0.00%             | 2032-12-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080187 G2 04/28 FLOATING VAR              | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1284 | PA      | $1285.56       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781077 FN 05/34 FIXED 5.5                    | CUSIP: 31404WXE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7457 | PA      | $7524.76       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682911 GN 12/40 FIXED 6                      | CUSIP: 36295WVC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50209 | PA      | $51755.28      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91129 FG 12/27 FIXED 6              | CUSIP: 3128P7HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1982 | PA      | $2026.60       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923142 FN 04/36 FIXED 6                      | CUSIP: 31412ES72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39872 | PA      | $40738.33      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452875 FN 12/28 FIXED 6                      | CUSIP: 31380XCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5038 | PA      | $5151.01       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1966                                                  | FREDDIE MAC FHR 1966 Z                                 | CUSIP: 3133TABZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $306.91        | 0.00%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782964 GN 01/40 FIXED 6                      | CUSIP: 36241LJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7073 | PA      | $7456.52       | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786625 FH 09/28 FLOATING VAR         | CUSIP: 31295KLE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        828 | PA      | $829.24        | 0.00%             | 2028-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q00626 FG 05/41 FIXED 5              | CUSIP: 3132GDVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5686 | PA      | $5815.00       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 772297 FN 03/34 FIXED 5.5                    | CUSIP: 31404L7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2940 | PA      | $2966.73       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                             | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1       | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183479 | PA      | $181236.54     | 0.02%             | 2031-06-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A51435 FG 08/36 FIXED 6.5            | CUSIP: 3128KDSY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14028 | PA      | $14703.85      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252111 FN 09/28 FIXED 6.5                    | CUSIP: 31371HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        337 | PA      | $347.38        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04585 FG 02/38 FIXED 5.5            | CUSIP: 3128M6NA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4998.63       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080095 G2 07/27 FLOATING VAR              | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7252 | PA      | $7288.45       | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787603 FH 10/27 FLOATING VAR         | CUSIP: 31295LNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $112.49        | 0.00%             | 2027-10-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-18                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 18 CO          | CUSIP: 38375JD69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93647 | PA      | $89646.17      | 0.01%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003908 G2 10/36 FIXED 5                   | CUSIP: 36202EKV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25335 | PA      | $25909.55      | 0.00%             | 2036-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002444 G2 06/27 FIXED 7.5                 | CUSIP: 36202CWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        326 | PA      | $328.04        | 0.00%             | 2027-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782710 GN 07/39 FIXED 5                      | CUSIP: 36241LAK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14851 | PA      | $15239.16      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2341                                                  | FREDDIE MAC FHR 2341 PZ                                | CUSIP: 313398DG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75357 | PA      | $78368.58      | 0.01%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89839 FG 11/39 FIXED 5              | CUSIP: 3129364Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31116 | PA      | $31933.59      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 782244 FN 07/34 FIXED 5.5                    | CUSIP: 31404YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17592 | PA      | $17763.32      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9521 FN 10/46 FIXED VAR                    | CUSIP: 3138ERSK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170786 | PA      | $154518.72     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ7040 FN 08/38 FIXED 4                      | CUSIP: 3140H8ZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222400 | PA      | $220230.17     | 0.02%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05179 FG 01/39 FIXED 5.5            | CUSIP: 3128M7CQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     543193 | PA      | $565720.41     | 0.05%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810728 FN 12/34 FIXED 6                      | CUSIP: 31406HVV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49929 | PA      | $51439.20      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G00811 FG 08/27 FIXED 8.5            | CUSIP: 31283G3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $213.27        | 0.00%             | 2027-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN6230 FN 04/49 FIXED 3.5                    | CUSIP: 3140JN4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246677 | PA      | $228349.07     | 0.02%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 641859 FN 04/32 FIXED 6.5                    | CUSIP: 31390CB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1558 | PA      | $1608.08       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 609428 GN 06/33 FIXED 5.5                    | CUSIP: 36202UA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23362 | PA      | $23532.87      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923928 FN 06/37 FIXED 6                      | CUSIP: 31412FPM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6387 | PA      | $6656.49       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5330000 | PA      | $4491335.69    | 0.38%             | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080397 G2 04/30 FLOATING VAR              | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11738 | PA      | $11758.78      | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 532706 GN 07/30 FIXED 8.5                    | CUSIP: 36212FYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2459 | PA      | $2565.60       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256343 FN 06/26 FIXED 5                      | CUSIP: 31371MWC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3765 | PA      | $3760.94       | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1        | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13274 | PA      | $19854.50      | 0.00%             | 2032-03-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686314 GN 05/38 FIXED 6                      | CUSIP: 36296BN73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1465 | PA      | $1516.69       | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782474 GN 12/38 FIXED 5.5                    | CUSIP: 36241KXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25709 | PA      | $26964.67      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 415389 GN 09/29 FIXED 8.5                    | CUSIP: 36206MNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $490.74        | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 787331 FN 07/34 FIXED 5.5                    | CUSIP: 31405EVY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $298.16        | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                             | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10       | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356547 | PA      | $318390.18     | 0.03%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 968521 FN 12/37 FIXED 6.5                    | CUSIP: 31414KPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5082 | PA      | $5292.40       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080319 G2 09/29 FLOATING VAR              | CUSIP: 36225CK96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2495 | PA      | $2504.46       | 0.00%             | 2029-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0264 FN 12/29 FIXED 4.5                    | CUSIP: 31417YJJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12595 | PA      | $12671.38      | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5882 G2 07/47 FIXED 3.5                 | CUSIP: 3617AJRB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     667575 | PA      | $617580.58     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                     | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                 | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342520 | PA      | $302727.25     | 0.03%             | 2035-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 652260 FN 01/30 FLOATING VAR                 | CUSIP: 31390PTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23678 | PA      | $23855.81      | 0.00%             | 2030-01-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 482704 GN 08/28 FIXED 6.5                    | CUSIP: 36209VGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $93.78         | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 471809 GN 03/28 FIXED 6.5                    | CUSIP: 36209HDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        932 | PA      | $945.17        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8813 G2 04/48 FIXED 4                   | CUSIP: 3617B0YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     634140 | PA      | $596857.34     | 0.05%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                 | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3699843 | PA      | $3448406.05    | 0.30%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A68524 FG 11/37 FIXED 6              | CUSIP: 3128L0PH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3291 | PA      | $3364.67       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1512 FN 06/53 FIXED 5                      | CUSIP: 3140NHVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159487 | PA      | $160729.26     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 748612 FN 01/34 FIXED 5.5                    | CUSIP: 31403GVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11137 | PA      | $11239.86      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 509132 GN 05/30 FIXED 8.5                    | CUSIP: 36211CSV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5405 | PA      | $5423.97       | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722785 GN 10/39 FIXED 6                      | CUSIP: 3620A86W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3671 | PA      | $3775.29       | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002591 G2 05/28 FIXED 7                   | CUSIP: 36202C2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $650.34        | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255116 FN 02/34 FIXED 6.5                    | CUSIP: 31371LK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $332.19        | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR2                                  | GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1               | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101236 | PA      | $60643.81      | 0.01%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 598709 GN 07/33 FIXED 5                      | CUSIP: 36200EDN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6379 | PA      | $6423.90       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04684 FG 09/38 FIXED 5.5            | CUSIP: 3128M6RD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        910 | PA      | $935.77        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604801 GN 11/33 FIXED 5                      | CUSIP: 36200M3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44383 | PA      | $44871.56      | 0.00%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2004-3                            | RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 AV2A        | CUSIP: 759950DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109373 | PA      | $97011.25      | 0.01%             | 2034-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832864 FN 09/35 FIXED 5.5                    | CUSIP: 31407KJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        614 | PA      | $636.98        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6330 G2 01/48 FIXED 3.5                 | CUSIP: 3617G1A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     645018 | PA      | $595926.39     | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699092 GN 09/38 FIXED 6                      | CUSIP: 36296RUR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6194 | PA      | $6395.47       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB7854 FR 01/51 FIXED 2.5            | CUSIP: 3133AEWP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     583812 | PA      | $496699.69     | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779027 FN 06/34 FIXED 5.5                    | CUSIP: 31404UPL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32603 | PA      | $33774.81      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080264 G2 03/29 FLOATING VAR              | CUSIP: 36225CJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $86.24         | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3493 FN 05/35 FIXED VAR                    | CUSIP: 3140X63B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1899635 | PA      | $1870455.70    | 0.16%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                             | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6           | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9084981 | PA      | $232388.36     | 0.02%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 703002 GN 04/39 FIXED 4.5                    | CUSIP: 36296WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9611 | PA      | $9726.27       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA6009 FN 05/50 FIXED 3.5                    | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260413 | PA      | $239260.19     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46663 FG 08/35 FIXED 5              | CUSIP: 3128K7ML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60395 | PA      | $61877.51      | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A76047 FG 04/38 FIXED 5.5            | CUSIP: 3128L9WG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6959 | PA      | $7219.15       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                                      | VENDEE MORTGAGE TRUST VENDE 1998 3 E                   | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62125 | PA      | $62438.85      | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769615 FN 03/34 FIXED 6                      | CUSIP: 31404JAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22485 | PA      | $22965.96      | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 651871 GN 10/36 FIXED 6.5                    | CUSIP: 36292LFL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1137 | PA      | $1159.73       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                            | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A          | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137188 | PA      | $141241.39     | 0.01%             | 2029-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 785867 FH 12/26 FLOATING VAR         | CUSIP: 31348SQU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        932 | PA      | $930.33        | 0.00%             | 2026-12-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A4      | CUSIP: 92922F4D7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77083 | PA      | $73267.36      | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37900 FG 09/35 FIXED 4.5            | CUSIP: 31297TX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6719 | PA      | $6780.04       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 877000 FN 06/35 FLOATING VAR                 | CUSIP: 31409SKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52920 | PA      | $54551.56      | 0.00%             | 2035-06-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A38107 FG 10/35 FIXED 4.5            | CUSIP: 31297UAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26100 | PA      | $26342.57      | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948989 FN 08/37 FIXED 6                      | CUSIP: 31413LXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1172 | PA      | $1209.96       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0200 FN 10/29 FIXED 4.5                    | CUSIP: 31417YGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13602 | PA      | $13638.45      | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806143 FN 12/34 FIXED 5.5                    | CUSIP: 31406CS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1409 | PA      | $1445.35       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782055 GN 02/36 FIXED 5.5                    | CUSIP: 36241KH84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74982 | PA      | $77898.99      | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 784167 FN 06/34 FIXED 5.5                    | CUSIP: 31405BFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5865 | PA      | $6039.95       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783287 GN 08/40 FIXED 6                      | CUSIP: 36241LUL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30660 | PA      | $32098.92      | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765983 FN 02/34 FIXED 5.5                    | CUSIP: 31404D6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53284 | PA      | $53849.36      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                    | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5244 | PA      | $4896.54       | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SACO I TRUST 2005-10                                              | SACO I TRUST SACO 2005 10 1A                           | CUSIP: 785778ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16466 | PA      | $16542.20      | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5646 FR 07/51 FIXED 3              | CUSIP: 3133KMHX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18684117 | PA      | $16460128.05   | 1.41%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT6314 G2 05/50 FIXED 3                   | CUSIP: 3617MVAP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     867474 | PA      | $762920.05     | 0.07%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725162 FN 02/34 FIXED VAR                    | CUSIP: 31402CTT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1436 | PA      | $1496.57       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 821365 FN 05/35 FLOATING VAR                 | CUSIP: 31406VQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21489 | PA      | $21851.88      | 0.00%             | 2035-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI1821 FN 05/41 FIXED 4.5                    | CUSIP: 3138AFAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24074 | PA      | $23936.71      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 734431 GN 05/41 FIXED 4.5                    | CUSIP: 3620AM4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2556 | PA      | $2528.80       | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779643 FN 07/34 FIXED 5.5                    | CUSIP: 31404VEQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57379 | PA      | $59399.32      | 0.01%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 668414 GN 04/37 FIXED 5.5                    | CUSIP: 36295ESB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14025 | PA      | $14402.23      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552114 GN 10/31 FIXED 7.5                    | CUSIP: 36213EK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        520 | PA      | $529.59        | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38650000 | PA      | $36339352.65   | 3.11%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE7074 FN 12/25 FIXED 3.5                    | CUSIP: 31419H2G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $167.12        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2206                                                  | FREDDIE MAC FHR 2206 Z                                 | CUSIP: 3133TN4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16104 | PA      | $16798.77      | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723631 GN 01/40 FIXED 5.5                    | CUSIP: 3620A94Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5618 | PA      | $5806.39       | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01623 FG 09/33 FIXED 5.5            | CUSIP: 31292HYU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $187.76        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080152 G2 01/28 FLOATING VAR              | CUSIP: 36225CE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        547 | PA      | $547.53        | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK3275 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3T84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40956 | PA      | $39602.20      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2020 FN 05/48 FIXED 3                      | CUSIP: 3140Q9G64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     504101 | PA      | $449731.04     | 0.04%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 04/26/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $149846.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782425 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25333 | PA      | $26499.31      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5          | CUSIP: 073914F65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48745 | PA      | $8.10          | 0.00%             | 2030-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01328 FG 06/41 FIXED 5.5            | CUSIP: 3132GEPM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     493311 | PA      | $509230.86     | 0.04%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 IB         | CUSIP: 38379FE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2074353 | PA      | $191251.61     | 0.02%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323044 FN 08/29 FLOATING VAR                 | CUSIP: 31374SZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $154.64        | 0.00%             | 2029-08-01      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782889 GN 02/40 FIXED 5                      | CUSIP: 36241LF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55564 | PA      | $57002.85      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06353 FG 12/39 FIXED 5.5            | CUSIP: 3128M8MA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14428 | PA      | $14985.54      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0606 FN 12/30 FIXED 4.5                    | CUSIP: 31417YU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6306 | PA      | $6343.33       | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0406 FN 02/47 FIXED VAR                    | CUSIP: 3140XFNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     852205 | PA      | $782806.34     | 0.07%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831804 FN 10/36 FIXED 6.5                    | CUSIP: 31407JDH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15396 | PA      | $16294.44      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A       | CUSIP: 59023FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     947205 | PA      | $138749.42     | 0.01%             | 2037-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                                    | COUNTRYWIDE HOME LOANS CWHL 2004 20 3A1                | CUSIP: 12669F2J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106574 | PA      | $101183.46     | 0.01%             | 2034-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2407 G2 04/48 FIXED 4                   | CUSIP: 3617G8U84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176795 | PA      | $167272.89     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946731 FN 09/37 FIXED 6.5                    | CUSIP: 31413JHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $295.82        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                    | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216858 | PA      | $205795.08     | 0.02%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT9697 FN 06/43 FIXED 4                      | CUSIP: 3138WXX36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     265807 | PA      | $258609.47     | 0.02%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060680 FN 02/28 FLOATING VAR                 | CUSIP: 31362GM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3198 | PA      | $3170.70       | 0.00%             | 2028-02-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02162 FG 05/36 FIXED 5.5            | CUSIP: 3128LXMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9253 | PA      | $9643.86       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486844 GN 01/29 FIXED 6.5                    | CUSIP: 36210AZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1093 | PA      | $1127.49       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A96095 FG 01/41 FIXED 5.5            | CUSIP: 312944XY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29939 | PA      | $30978.49      | 0.00%             | 2041-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 968312 FN 02/38 FIXED 4.5                    | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4747 | PA      | $4773.30       | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 938012 FN 07/37 FIXED 6                      | CUSIP: 31412XR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36610 | PA      | $38482.68      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003918 G2 11/36 FIXED 5                   | CUSIP: 36202EK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15305 | PA      | $15655.06      | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 785186 FN 06/34 FIXED 5.5                    | CUSIP: 31405CJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9705 | PA      | $10042.59      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5            | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155399 | PA      | $161400.81     | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0198 FN 04/51 FIXED 3                      | CUSIP: 3140QKGG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3085421 | PA      | $2714346.10    | 0.23%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781962 FN 06/34 FIXED 5.5                    | CUSIP: 31404XWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18241 | PA      | $18869.21      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4065179 | PA      | $3931294.56    | 0.34%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06091 FG 05/40 FIXED 5.5            | CUSIP: 3128M8C44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23422 | PA      | $24326.76      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                                           | FREDDIE MAC FHR 4338 SB                                | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181156 | PA      | $10510.33      | 0.00%             | 2041-10-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782619 GN 04/39 FIXED 5                      | CUSIP: 36241K4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3896 | PA      | $3998.04       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 780443 FH 03/33 FLOATING VAR         | CUSIP: 31342AP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22773 | PA      | $23224.88      | 0.00%             | 2033-03-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799712 FN 11/34 FIXED 5.5                    | CUSIP: 31405UN54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14351 | PA      | $14481.14      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809953 FN 03/35 FIXED 6                      | CUSIP: 31406GZS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25536 | PA      | $26325.73      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766667 FN 03/34 FIXED 5.5                    | CUSIP: 31404EW44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4083 | PA      | $4120.55       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-17                                         | FANNIE MAE FNR 2016 17 CS                              | CUSIP: 3136ARWA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253944 | PA      | $12517.49      | 0.00%             | 2046-04-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0250 FN 11/39 FIXED 5                      | CUSIP: 31417YH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15066 | PA      | $15097.96      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.48000 02/07/25-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $108016.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5128 G2 04/48 FIXED 4.5                 | CUSIP: 36179TVV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48511 | PA      | $47421.71      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO0095 GN 07/45 FIXED 3                      | CUSIP: 3617A0C87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246118 | PA      | $221648.20     | 0.02%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8667 FN 06/33 FIXED 4.44                   | CUSIP: 3140LKTZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2002457.78    | 0.17%             | 2033-06-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01428 FG 11/32 FIXED 5.5            | CUSIP: 31292HSR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $434.03        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254146 FN 01/32 FIXED 6                      | CUSIP: 31371KHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1693 | PA      | $1748.62       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03780 FG 01/38 FIXED 5.5            | CUSIP: 3128M5Q94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $274.20        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C     | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1187274 | PA      | $890763.93     | 0.08%             | 2046-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 496119 FN 04/29 FIXED 6.5                    | CUSIP: 31382YDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $353.41        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD7898 FN 07/40 FIXED 4.5                    | CUSIP: 31418VX49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59906 | PA      | $60193.64      | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA4543 FN 11/49 FIXED 3                      | CUSIP: 3140QCBM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1498346 | PA      | $1354988.08    | 0.12%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735903 FN 06/35 FIXED VAR                    | CUSIP: 31402RRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7346 | PA      | $7506.84       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658132 GN 10/36 FIXED 6                      | CUSIP: 36294SED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5308 | PA      | $5595.40       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                                         | FANNIE MAE FNR 2018 85 IO                              | CUSIP: 3136B3QF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3138418 | PA      | $408243.50     | 0.03%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0204 G2 07/27 FIXED 2.5                 | CUSIP: 36179MGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91951 | PA      | $90811.03      | 0.01%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255894 FN 10/25 FIXED 5                      | CUSIP: 31371MGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.19          | 0.00%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2106                                                  | FREDDIE MAC FHR 2106 ZB                                | CUSIP: 3133THDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26134 | PA      | $26530.69      | 0.00%             | 2028-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1         | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445155 | PA      | $214989.59     | 0.02%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2125 FN 06/53 FIXED 5                      | CUSIP: 3140NJLF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162705 | PA      | $163971.93     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080292 G2 06/29 FLOATING VAR              | CUSIP: 36225CKE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $392.75        | 0.00%             | 2029-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7079 FN 07/35 FIXED VAR                    | CUSIP: 3138EP2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     314408 | PA      | $309760.56     | 0.03%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889959 FN 05/36 FIXED VAR                    | CUSIP: 31410KWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35060 | PA      | $36963.35      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 934787 FN 02/39 FIXED 6                      | CUSIP: 31412T6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15795 | PA      | $16334.22      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN1091 FR 11/33 FIXED 3.5            | CUSIP: 3131Y7F85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     131245 | PA      | $129374.36     | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02499 FG 12/36 FIXED 6.5            | CUSIP: 3128M4DC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8566 | PA      | $9065.61       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948731 FN 08/37 FIXED 6.5                    | CUSIP: 31413LPQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23520 | PA      | $24283.07      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9574 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYT82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     681291 | PA      | $627737.10     | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 477534 GN 11/28 FIXED 6.5                    | CUSIP: 36209PPT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $251.20        | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR2132 FN 01/43 FIXED 4                      | CUSIP: 3138NYLN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24143 | PA      | $24013.83      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1026 FN 02/52 FIXED VAR                    | CUSIP: 3140XGD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187175 | PA      | $164991.97     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252342 FN 04/29 FIXED 6.5                    | CUSIP: 31371HHT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $87.01         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 772350 FN 03/34 FIXED 5.5                    | CUSIP: 31404MBT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43795 | PA      | $44227.36      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  337600000 | PA      | $340183328.70  | 29.13%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080363 G2 01/30 FLOATING VAR              | CUSIP: 36225CMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2826 | PA      | $2837.93       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4094                                           | FREDDIE MAC FHR 4094 BZ                                | CUSIP: 3137ASV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3262363 | PA      | $3141868.06    | 0.27%             | 2032-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03290 FG 08/36 FIXED 5.5            | CUSIP: 3128M47B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6784 | PA      | $7070.09       | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1        | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73538 | PA      | $70902.71      | 0.01%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888215 FN 12/36 FIXED VAR                    | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52837 | PA      | $55612.30      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04688 FG 09/38 FIXED 5.5            | CUSIP: 3128M6RH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30929 | PA      | $32098.00      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01051 FG 09/30 FIXED 8              | CUSIP: 31292HEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $157.51        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 646394 GN 04/36 FIXED 5                      | CUSIP: 36292EC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17287 | PA      | $17716.86      | 0.00%             | 2036-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0937 G2 04/43 FIXED 5                   | CUSIP: 36179NBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263327 | PA      | $270283.42     | 0.02%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713947 FN 05/33 FIXED 5.5                    | CUSIP: 31401PEU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5446 | PA      | $5496.15       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902164 FN 11/36 FIXED 6                      | CUSIP: 31411AJH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18693 | PA      | $19707.79      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 808373 FN 12/34 FIXED 5.5                    | CUSIP: 31406FCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228921 | PA      | $237577.85     | 0.02%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                         | FANNIE MAE FNR 2014 43 BS                              | CUSIP: 3136AKKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     431281 | PA      | $26646.63      | 0.00%             | 2044-07-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711343 GN 11/35 FIXED 5                      | CUSIP: 36297GHU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        711 | PA      | $710.24        | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                             | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33600000 | PA      | $34176905.95   | 2.93%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35283 FG 06/35 FIXED 5.5            | CUSIP: 31297Q2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5646 | PA      | $5860.16       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                                  | FREDDIE MAC FHR 2415 ZA                                | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3525 | PA      | $3682.65       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831686 FN 07/36 FIXED 6.5                    | CUSIP: 31407H6X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25519 | PA      | $26779.83      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A60094 FG 05/37 FIXED 5.5            | CUSIP: 3128KQC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5082 | PA      | $5267.30       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002826 G2 10/29 FIXED 8                   | CUSIP: 36202DD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2730 | PA      | $2841.33       | 0.00%             | 2029-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 728723 FN 07/33 FIXED 5.5                    | CUSIP: 31402GSL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34783 | PA      | $35149.34      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 742947 FN 10/33 FIXED 5.5                    | CUSIP: 31403AL45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $33.93         | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED P/T CERT 2007-2                                   | TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A6A          | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1317376 | PA      | $489740.31     | 0.04%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT6745 FN 05/43 FIXED 4                      | CUSIP: 3138WUP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     584358 | PA      | $568655.47     | 0.05%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92487 FG 06/40 FIXED 5              | CUSIP: 312940XQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35213 | PA      | $36124.10      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8641 FR 02/32 FIXED 2.5            | CUSIP: 3132A9S65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55630 | PA      | $53625.15      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A  | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57021 | PA      | $15375.75      | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56988 FG 02/37 FIXED 5.5            | CUSIP: 3128KKXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5877 | PA      | $6125.24       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02967 FG 05/37 FIXED 5.5            | CUSIP: 3128M4TY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76475 | PA      | $79708.28      | 0.01%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786321 FH 11/27 FLOATING VAR         | CUSIP: 31295KAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10286 | PA      | $10293.27      | 0.00%             | 2027-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-73                                         | FANNIE MAE FNR 2015 73 ES                              | CUSIP: 3136AP7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     891419 | PA      | $593022.30     | 0.05%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776554 FN 04/34 FIXED 5.5                    | CUSIP: 31404RWP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16019 | PA      | $16166.08      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724247 GN 08/39 FIXED 5                      | CUSIP: 3620AATC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3392 | PA      | $3450.25       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 674772 FN 01/33 FIXED 6                      | CUSIP: 31391RT51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12551 | PA      | $12820.23      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03132 FG 07/37 FIXED 5.5            | CUSIP: 3128M4Y56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6685 | PA      | $6964.59       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9465 FN 05/43 FIXED 3.5                    | CUSIP: 31417GQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7104 | PA      | $6705.37       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775548 FN 05/34 FIXED 5.5                    | CUSIP: 31404QTD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33625 | PA      | $34783.76      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 911582 FN 04/37 FIXED 5.5                    | CUSIP: 31411LXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1636 | PA      | $1698.43       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 696940 FN 04/33 FIXED 5.5                    | CUSIP: 31400THR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2271 | PA      | $2293.35       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0334 FN 01/59 FIXED 3.5                    | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8681239 | PA      | $7883627.70    | 0.68%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1796 FH 12/35 FLOATING VAR         | CUSIP: 3128QJ7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163572 | PA      | $168659.25     | 0.01%             | 2035-12-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4583 FN 09/42 FIXED VAR                    | CUSIP: 3140J9CV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229612 | PA      | $217276.12     | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A71523 FG 01/38 FIXED 5.5            | CUSIP: 3128L4VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12830 | PA      | $13261.53      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7020 FR 03/52 FIXED 2.5            | CUSIP: 3133KNYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275172 | PA      | $234253.15     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1       | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80389 | PA      | $35057.15      | 0.00%             | 2037-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03526 FG 06/36 FIXED 5.5            | CUSIP: 3128M5HB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11045 | PA      | $11511.04      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724065 GN 07/39 FIXED 6.5                    | CUSIP: 3620AAMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97216 | PA      | $101261.06     | 0.01%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986946 FN 09/38 FIXED 6                      | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1184 | PA      | $1232.35       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682904 GN 10/40 FIXED 6                      | CUSIP: 36295WU54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35163 | PA      | $36353.17      | 0.00%             | 2040-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AQ3206 FN 11/42 FIXED 4                      | CUSIP: 3138MJR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342370 | PA      | $333878.22     | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831604 FN 06/36 FIXED 6                      | CUSIP: 31407H3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $442.39        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14440 FG 10/33 FIXED 5.5            | CUSIP: 31296N4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1301 | PA      | $1322.42       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1642 G2 01/48 FIXED 4                   | CUSIP: 3617BUZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1349535 | PA      | $1311879.95    | 0.11%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 224713 FN 02/31 FLOATING VAR                 | CUSIP: 31369YSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8239 | PA      | $8298.56       | 0.00%             | 2031-02-01      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BG9709 GN 07/48 FIXED 4                      | CUSIP: 3617GUYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107673 | PA      | $104984.45     | 0.01%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU7367 FN 09/43 FIXED 5                      | CUSIP: 3138X7FH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13228 | PA      | $13444.49      | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931520 FN 07/29 FIXED 4.5                    | CUSIP: 31412P4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8435 | PA      | $8458.18       | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 745636 GN 12/41 FIXED 4                      | CUSIP: 3620C1LR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11874 | PA      | $11564.10      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.17000 04/15/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $247914.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 503004 FN 06/29 FIXED 6.5                    | CUSIP: 31383GX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.28          | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C73849 FG 12/32 FIXED 5              | CUSIP: 31288CH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $155.63        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698370 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57430 | PA      | $56944.78      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531039 GN 08/32 FIXED 6.5                    | CUSIP: 36212D4Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20241 | PA      | $20635.48      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 19 IO          | CUSIP: 38373M6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     599868 | PA      | $19.98         | 0.00%             | 2051-03-16      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080555 G2 11/31 FLOATING VAR              | CUSIP: 36225CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98403 | PA      | $98795.24      | 0.01%             | 2031-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2015-41A                                  | DRYDEN SENIOR LOAN FUND DRSLF 2015 41A AR 144A         | CUSIP: 26244KAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1203467 | PA      | $1204114.94    | 0.10%             | 2031-04-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783353 GN 04/41 FIXED 5                      | CUSIP: 36241LWN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82360 | PA      | $84472.73      | 0.01%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003056 G2 03/31 FIXED 8                   | CUSIP: 36202DMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1492 | PA      | $1555.61       | 0.00%             | 2031-03-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5180 FR 08/42 FIXED 3              | CUSIP: 3133KYXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6833 | PA      | $6325.83       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT7698 FN 06/43 FIXED 4                      | CUSIP: 3138WVRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65689 | PA      | $63869.55      | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 826082 FN 07/35 FLOATING VAR                 | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5424 | PA      | $5492.00       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828064 FN 06/35 FIXED 6                      | CUSIP: 31407D5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2112 | PA      | $2223.70       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAIE WHOLE LOAN 2002-W2                                     | FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1                   | CUSIP: 31392CEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $364.56        | 0.00%             | 2032-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91249 FG 05/29 FIXED 4.5            | CUSIP: 3128P7L68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     450604 | PA      | $452281.90     | 0.04%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 503097 GN 04/29 FIXED 6.5                    | CUSIP: 36210U3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4905 | PA      | $4984.42       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH0562 FN 01/26 FIXED 3.5                    | CUSIP: 3138A1TU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $219.50        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782288 GN 12/37 FIXED 6.5                    | CUSIP: 36241KRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63714 | PA      | $67775.08      | 0.01%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A2             | CUSIP: 5899292N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2379 | PA      | $2350.09       | 0.00%             | 2028-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735504 FN 04/35 FIXED VAR                    | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54330 | PA      | $56388.41      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU7388 FN 10/43 FIXED 5                      | CUSIP: 3138X7F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35984 | PA      | $36590.65      | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737532 GN 10/40 FIXED 4                      | CUSIP: 3620ARLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7094 | PA      | $6808.54       | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716206 GN 05/39 FIXED 5                      | CUSIP: 3620A1U71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1964 | PA      | $2014.53       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786267 FN 07/34 FIXED 5.5                    | CUSIP: 31405DQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7651 | PA      | $7825.35       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91175 FG 05/28 FIXED 5              | CUSIP: 3128P7JU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1210 | PA      | $1219.59       | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  317303782 | PA      | $314507827.99  | 26.93%            | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A           | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662335 | PA      | $622531.64     | 0.05%             | 2037-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14805 FG 10/33 FIXED 5              | CUSIP: 31296PKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5657 | PA      | $5746.94       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722759 GN 08/39 FIXED 6                      | CUSIP: 3620A85U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12563 | PA      | $12961.58      | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890362 FN 08/41 FIXED VAR                    | CUSIP: 31410LFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2971895 | PA      | $2976108.46    | 0.25%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2053                                                  | FREDDIE MAC FHR 2053 Z                                 | CUSIP: 3133TDE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9996 | PA      | $10094.28      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06249 FG 05/40 FIXED 6              | CUSIP: 3128M8H23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4371 | PA      | $4599.60       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626921 GN 03/45 FIXED 3                      | CUSIP: 36291FPE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337796 | PA      | $304213.43     | 0.03%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A55204 FG 12/36 FIXED 5.5            | CUSIP: 3128KHX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $160.89        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30419 FG 11/28 FIXED 5              | CUSIP: 3128CUPC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18724 | PA      | $18837.44      | 0.00%             | 2028-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 599416 GN 07/33 FIXED 5.5                    | CUSIP: 36200E3Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1848 | PA      | $1915.22       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS5159 FN 06/30 FIXED 3                      | CUSIP: 3138WEWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11529 | PA      | $11303.41      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 052597 FN 07/27 FLOATING VAR                 | CUSIP: 313617NN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $288.74        | 0.00%             | 2027-07-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH T-31                                | FHLMC STRUCTURED PASS THROUGH FSPC T 31 A7             | CUSIP: 3133TR7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58621 | PA      | $58597.94      | 0.01%             | 2031-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91211 FG 08/28 FIXED 6              | CUSIP: 3128P7KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3286 | PA      | $3359.78       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922339 FN 02/37 FIXED 6.5                    | CUSIP: 31412DV88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18846 | PA      | $19683.50      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 755411 FH 02/27 FLOATING VAR         | CUSIP: 31349HAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7289 | PA      | $7289.35       | 0.00%             | 2027-02-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04057 FG 12/37 FIXED 5.5            | CUSIP: 3128M5ZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5635 | PA      | $5855.50       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0169 FN 01/57 FIXED 3.5                    | CUSIP: 3140FXFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6109757 | PA      | $5593635.33    | 0.48%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE8073 FN 12/40 FIXED 4                      | CUSIP: 31419J6K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608724 | PA      | $593376.57     | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782135 GN 01/37 FIXED 5.5                    | CUSIP: 36241KLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9597 | PA      | $9969.00       | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 840274 FN 11/35 FIXED 5.5                    | CUSIP: 31407TQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $446.95        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3273 FN 07/41 FIXED 4.5                    | CUSIP: 31416YT73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2888936 | PA      | $2891547.53    | 0.25%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828580 FN 07/35 FIXED 6                      | CUSIP: 31407EQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2741 | PA      | $2883.24       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/44 4.125                            | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   77200000 | PA      | $71679898.15   | 6.14%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04794 FG 01/36 FIXED 5.5            | CUSIP: 3128M6UT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30103 | PA      | $31374.01      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 SN                              | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1898082 | PA      | $259320.84     | 0.02%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1      | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        502 | PA      | $451.34        | 0.00%             | 2036-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08111 FG 02/36 FIXED 5.5            | CUSIP: 3128MJDR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16158 | PA      | $16840.14      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-59                                                | FANNIE MAE FNR 1998 59 Z                               | CUSIP: 31359UB53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6037 | PA      | $6141.80       | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                                         | FANNIE MAE FNR 2015 10 SA                              | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     650505 | PA      | $36708.59      | 0.00%             | 2045-03-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 664543 GN 01/38 FIXED 6.5                    | CUSIP: 36295AHU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1498 | PA      | $1560.19       | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782295 GN 03/38 FIXED 5.5                    | CUSIP: 36241KRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10747 | PA      | $11272.38      | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745636 FN 06/35 FIXED VAR                    | CUSIP: 31403DLR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233749 | PA      | $244215.48     | 0.02%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A     | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     695634 | PA      | $686408.38     | 0.06%             | 2037-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722831 GN 12/39 FIXED 6                      | CUSIP: 3620A9A84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8130 | PA      | $8368.41       | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA4216 FR 12/50 FIXED 2.5            | CUSIP: 3133KKVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4167949 | PA      | $3546254.01    | 0.30%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080657 G2 12/32 FLOATING VAR              | CUSIP: 36225CWT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171290 | PA      | $174840.18     | 0.01%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2030                                                  | FREDDIE MAC FHR 2030 F                                 | CUSIP: 3133TCXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $411.40        | 0.00%             | 2028-02-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04144 FG 03/38 FIXED 5.5            | CUSIP: 3128M55D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43863 | PA      | $45556.54      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323621 FN 01/29 FIXED VAR                    | CUSIP: 31374TPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $295.79        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 954666 FN 09/37 FIXED 6                      | CUSIP: 31413TCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20115 | PA      | $20764.49      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903011 FN 12/36 FIXED 6                      | CUSIP: 31411BGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14475 | PA      | $15214.86      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004795 G2 09/40 FIXED 4                   | CUSIP: 36202FKG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71918 | PA      | $68101.67      | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 712594 GN 07/39 FIXED 5.5                    | CUSIP: 36297HUT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57638 | PA      | $59051.28      | 0.01%             | 2039-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724033 GN 11/39 FIXED 6                      | CUSIP: 3620AALN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35446 | PA      | $36401.82      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32      | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1056437 | PA      | $1045073.73    | 0.09%             | 2046-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06951 FG 08/40 FIXED 5.5            | CUSIP: 3128M9BU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7872 | PA      | $8172.65       | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05860 FG 02/40 FIXED 5.5            | CUSIP: 3128M7ZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11311 | PA      | $11734.27      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676842 GN 05/38 FIXED 5.5                    | CUSIP: 36295P5B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26850 | PA      | $28139.07      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1       | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53719 | PA      | $52431.17      | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 893888 FN 10/36 FIXED 6                      | CUSIP: 31410QCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        305 | PA      | $320.68        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700916 GN 11/38 FIXED 6                      | CUSIP: 36296TVH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10263 | PA      | $10643.31      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0497 FN 11/39 FIXED VAR                    | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1076134 | PA      | $1115506.59    | 0.10%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A49539 FG 06/36 FIXED 5.5            | CUSIP: 3128KAS44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36146 | PA      | $37096.27      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI8200 G2 09/48 FIXED 4.5                 | CUSIP: 3617HJDD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175749 | PA      | $170808.12     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 1A1        | CUSIP: 61751JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     749962 | PA      | $298438.33     | 0.03%             | 2047-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89352 FG 10/39 FIXED 4.5            | CUSIP: 312936L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94536 | PA      | $94512.23      | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782988 GN 04/40 FIXED 5.5                    | CUSIP: 36241LJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3048 | PA      | $3197.31       | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX8328 G2 06/47 FIXED 3.5                 | CUSIP: 36196LHD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     523639 | PA      | $484425.87     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A          | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4890851 | PA      | $4706145.40    | 0.40%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783798 FN 07/34 FIXED 5.5                    | CUSIP: 31405AX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25911 | PA      | $26599.65      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C        | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835577 | PA      | $195315.23     | 0.02%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5258 FR 06/53 FIXED 5              | CUSIP: 3133C5ZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114164 | PA      | $114570.11     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710859 GN 09/39 FIXED 5                      | CUSIP: 36297FWU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30590 | PA      | $31389.67      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 788825 FH 11/31 FLOATING VAR         | CUSIP: 31295MYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        207 | PA      | $211.33        | 0.00%             | 2031-11-01      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750486 FN 12/33 FIXED 5.5                    | CUSIP: 31403JXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9771 | PA      | $9860.80       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 679495 GN 01/38 FIXED 5.5                    | CUSIP: 36295S3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15670 | PA      | $16346.39      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002632 G2 08/28 FIXED 7.5                 | CUSIP: 36202C4R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $347.06        | 0.00%             | 2028-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM6158 FN 12/48 FLOATING VAR                 | CUSIP: 3140JAZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598479 | PA      | $618953.40     | 0.05%             | 2048-12-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0574 FN 09/43 FIXED 5                      | CUSIP: 3138W9T83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57262 | PA      | $58251.11      | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9977 FN 10/26 FIXED 3                      | CUSIP: 3138AQCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3008 | PA      | $2983.07       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A   | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14110646 | PA      | $12157219.38   | 1.04%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889466 FN 05/38 FIXED VAR                    | CUSIP: 31410KFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4696 | PA      | $4951.68       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04692 FG 02/35 FIXED 5.5            | CUSIP: 3128M6RM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1265914 | PA      | $1301080.64    | 0.11%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4940                                           | FREDDIE MAC FHR 4940 FE                                | CUSIP: 3137FQLW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1304999 | PA      | $1276154.93    | 0.11%             | 2050-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03111 FG 05/37 FIXED 5.5            | CUSIP: 3128M4YG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3809 | PA      | $3970.03       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BG5674 GN 07/48 FIXED 4                      | CUSIP: 3617GQJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1042489 | PA      | $1016458.04    | 0.09%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 651553 FN 07/32 FLOATING VAR                 | CUSIP: 31390NZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10511 | PA      | $10689.82      | 0.00%             | 2032-07-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 695998 GN 07/38 FIXED 5.5                    | CUSIP: 36296NGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53758 | PA      | $56382.98      | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91194 FG 07/28 FIXED 5              | CUSIP: 3128P7KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $379.73        | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080356 G2 12/29 FLOATING VAR              | CUSIP: 36225CME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $85.99         | 0.00%             | 2029-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC8518 FN 12/39 FIXED 5                      | CUSIP: 31417VPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1283 | PA      | $1314.87       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR1005 FN 01/43 FIXED 4                      | CUSIP: 3138NXDK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116353 | PA      | $113263.76     | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 360765 GN 12/28 FIXED 6.5                    | CUSIP: 36203VW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1029 | PA      | $1044.08       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902974 FN 12/36 FIXED 6                      | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58768 | PA      | $61961.00      | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A23085 FG 06/34 FIXED 5              | CUSIP: 31297ANA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11352 | PA      | $11456.55      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080074 G2 05/27 FLOATING VAR              | CUSIP: 36225CCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        285 | PA      | $285.97        | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080054 G2 03/27 FLOATING VAR              | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4944 | PA      | $4950.75       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5728 GN 06/45 FIXED 3                      | CUSIP: 36186NLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29214 | PA      | $26744.87      | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A60884 FG 06/37 FIXED 5.5            | CUSIP: 3128KQ6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11314 | PA      | $11592.73      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948697 FN 08/37 FIXED 6                      | CUSIP: 31413LNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6920 | PA      | $7211.66       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                 | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2539876 | PA      | $2509280.51    | 0.21%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G2602 FH 10/36 FLOATING VAR         | CUSIP: 3128QS3K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23812 | PA      | $24318.45      | 0.00%             | 2036-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080259 G2 02/29 FLOATING VAR              | CUSIP: 36225CJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1303 | PA      | $1310.74       | 0.00%             | 2029-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323702 FN 05/29 FIXED VAR                    | CUSIP: 31374TRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        861 | PA      | $880.19        | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2431                                                  | FREDDIE MAC FHR 2431 F                                 | CUSIP: 31339NQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.42         | 0.00%             | 2032-03-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A47402 FG 10/35 FIXED 5              | CUSIP: 3128K8GK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1754 | PA      | $1798.63       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658122 GN 10/36 FIXED 6.5                    | CUSIP: 36294SD38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2771 | PA      | $2896.45       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03117 FG 11/36 FIXED 6.5            | CUSIP: 3128M4YN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43773 | PA      | $45566.48      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254933 FN 09/33 FIXED 6.5                    | CUSIP: 31371LEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2429 | PA      | $2508.83       | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ4187 G2 09/48 FIXED 4.5                 | CUSIP: 3617HRUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     512867 | PA      | $498450.14     | 0.04%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI          | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     333117 | PA      | $15833.78      | 0.00%             | 2045-12-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A84179 FG 01/37 FIXED 4              | CUSIP: 312930UC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101913 | PA      | $101310.00     | 0.01%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8096 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2215000 | PA      | $2233655.33    | 0.19%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776974 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22332 | PA      | $22928.57      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782858 GN 11/39 FIXED 6                      | CUSIP: 36241LE77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7621 | PA      | $8033.85       | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004553 G2 10/39 FIXED 4.5                 | CUSIP: 36202FBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57466 | PA      | $56531.20      | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080651 G2 11/32 FLOATING VAR              | CUSIP: 36225CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4309 | PA      | $4398.07       | 0.00%             | 2032-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 449247 FN 01/29 FIXED 6                      | CUSIP: 31380TBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $101.99        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255741 FN 06/35 FIXED 6                      | CUSIP: 31371MBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26277 | PA      | $27647.78      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A     | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2574577 | PA      | $2575407.24    | 0.22%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663792 GN 01/37 FIXED 5                      | CUSIP: 36294YNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22656 | PA      | $23123.23      | 0.00%             | 2037-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662584 GN 09/37 FIXED 6.5                    | CUSIP: 36294XCV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33869 | PA      | $35162.53      | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                          | SEQUOIA MORTGAGE TRUST SEMT 5 A                        | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3029 | PA      | $2991.17       | 0.00%             | 2026-10-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A       | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30108 | PA      | $29836.58      | 0.00%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783363 GN 02/41 FIXED 5.5                    | CUSIP: 36241LWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8102 | PA      | $8440.20       | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0313 G2 08/42 FIXED 4                   | CUSIP: 36179MK25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20883 | PA      | $19735.01      | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754803 FN 01/34 FIXED 5.5                    | CUSIP: 31403QRY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3462 | PA      | $3507.58       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804320 FN 11/34 FIXED 5.5                    | CUSIP: 31406ASH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26097 | PA      | $27025.85      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776273 FN 05/34 FIXED 5.5                    | CUSIP: 31404RMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6840 | PA      | $6902.17       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-53                                                | FANNIE MAE FNR 2002 53 FK                              | CUSIP: 31392EHN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $152.41        | 0.00%             | 2032-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2455 G2 05/48 FIXED 4                   | CUSIP: 3617GLWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175183 | PA      | $165747.52     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452469 FN 11/28 FIXED 6.5                    | CUSIP: 31380WT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $177.62        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 467628 GN 03/29 FIXED 6.5                    | CUSIP: 36209CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $869.87        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 652847 FN 09/32 FIXED 6                      | CUSIP: 31390QHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12830 | PA      | $13210.29      | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902745 FN 11/36 FIXED 6                      | CUSIP: 31411A5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32326 | PA      | $33687.39      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9683 FN 10/28 FIXED 5.57                   | CUSIP: 3140LLXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     861083 | PA      | $883970.46     | 0.08%             | 2028-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 540157 GN 01/31 FIXED 7.5                    | CUSIP: 36212QB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6200 | PA      | $6248.33       | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555285 FN 03/33 FIXED VAR                    | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41153 | PA      | $42647.28      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 A         | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84255 | PA      | $82820.76      | 0.01%             | 2033-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01443 FG 01/33 FIXED 5.5            | CUSIP: 31292HS88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     252934 | PA      | $262659.47     | 0.02%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD8789 GN 03/43 FIXED 3.5                    | CUSIP: 36180MXS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24189 | PA      | $22588.47      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 606116 FN 09/31 FLOATING VAR                 | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2524 | PA      | $2550.84       | 0.00%             | 2031-09-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886413 FN 08/36 FIXED 6.5                    | CUSIP: 31410DYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36952 | PA      | $38745.38      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02419 FG 10/36 FIXED 6.5            | CUSIP: 3128M4AU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5877 | PA      | $6139.81       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080042 G2 02/27 FLOATING VAR              | CUSIP: 36225CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $276.33        | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550688 GN 10/35 FIXED 6.5                    | CUSIP: 36213CXR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1139 | PA      | $1195.10       | 0.00%             | 2035-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2            | CUSIP: 3137HA4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6100000 | PA      | $6189503.47    | 0.53%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783575 GN 03/40 FIXED 5.5                    | CUSIP: 36241L6L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29717 | PA      | $31000.93      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1                 | CUSIP: 81744HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222563 | PA      | $157849.42     | 0.01%             | 2047-01-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 812521 FN 02/35 FIXED 6                      | CUSIP: 31406KVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11315 | PA      | $11639.18      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A1                          | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     844128 | PA      | $451730.76     | 0.04%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 632578 FN 02/32 FIXED 6.5                    | CUSIP: 31389QXF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1170 | PA      | $1208.47       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781042 FN 06/34 FIXED 5.5                    | CUSIP: 31404WWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20800 | PA      | $21024.00      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 752927 FN 03/34 FIXED 5.5                    | CUSIP: 31403MPL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2298 | PA      | $2343.13       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                          | FANNIEMAE ACES FNA 2020 M33 X2                         | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6597475 | PA      | $384351.08     | 0.03%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903816 FN 12/36 FIXED 6                      | CUSIP: 31411CDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5868 | PA      | $6186.30       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03865 FG 12/37 FIXED 5.5            | CUSIP: 3128M5TW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8726 | PA      | $9091.59       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 834960 FN 07/35 FIXED 6                      | CUSIP: 31407MTR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2569 | PA      | $2663.81       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2084                                                  | FREDDIE MAC FHR 2084 ZC                                | CUSIP: 3133TG5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5440 | PA      | $5546.13       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 845357 FN 01/36 FIXED 6                      | CUSIP: 31408AE63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1023 | PA      | $1044.86       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V84392 FG 06/48 FIXED 4.5            | CUSIP: 3132L92Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39543 | PA      | $39095.71      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 757044 GN 12/40 FIXED 4                      | CUSIP: 36230RZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17743 | PA      | $17147.38      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545051 FN 09/29 FIXED VAR                    | CUSIP: 31385HQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $99.07         | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781696 GN 04/33 FIXED 6.5                    | CUSIP: 36225B3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24347 | PA      | $25314.27      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796705 FN 09/34 FLOATING VAR                 | CUSIP: 31405RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22044 | PA      | $22600.41      | 0.00%             | 2034-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6       | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38087 | PA      | $37839.37      | 0.00%             | 2033-09-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                        | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A      | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1553500.00    | 0.13%             | 2031-07-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080112 G2 09/27 FLOATING VAR              | CUSIP: 36225CDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $694.46        | 0.00%             | 2027-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 770075 FN 03/34 FIXED 5.5                    | CUSIP: 31404JQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12812 | PA      | $12968.34      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 657573 FN 10/32 FIXED 6                      | CUSIP: 31390VQ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2922 | PA      | $3000.35       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -246300000 | PA      | $-198575214.99 | -17.00%           | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080201 G2 05/28 FLOATING VAR              | CUSIP: 36225CGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3013 | PA      | $3019.16       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05191 FG 12/38 FIXED 5.5            | CUSIP: 3128M7C46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19558 | PA      | $20289.52      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0567 G2 07/47 FIXED 3.5                 | CUSIP: 3617B3TY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     355554 | PA      | $328933.89     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A       | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2001365 | PA      | $427871.51     | 0.04%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786521 FN 06/34 FIXED 5                      | CUSIP: 31405DYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53881 | PA      | $54734.76      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782294 GN 03/38 FIXED 5.5                    | CUSIP: 36241KRP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     510885 | PA      | $535746.32     | 0.05%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678060 FN 01/33 FIXED 6                      | CUSIP: 31391VJD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16296 | PA      | $16988.89      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003840 G2 04/36 FIXED 5                   | CUSIP: 36202EHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21941 | PA      | $22384.31      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A83000 FG 11/38 FIXED 5.5            | CUSIP: 312929KM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14285 | PA      | $14780.36      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 031848 FN 08/26 FLOATING VAR                 | CUSIP: 31361HL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $183.34        | 0.00%             | 2026-08-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 527273 GN 07/30 FIXED 8.5                    | CUSIP: 36211YXA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2222 | PA      | $2229.06       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                       | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1       | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      37598 | PA      | $47091.42      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5            | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5804 | PA      | $6041.87       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5        | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3114411 | PA      | $2599118.55    | 0.22%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257230 FN 06/38 FIXED 5                      | CUSIP: 31371NVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68902 | PA      | $70677.74      | 0.01%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005176 G2 09/41 FIXED 5                   | CUSIP: 36202FXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4307 | PA      | $4412.95       | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949054 FN 09/37 FIXED 6.5                    | CUSIP: 31413LZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4908 | PA      | $5130.72       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 138 WI         | CUSIP: 38376MCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197681 | PA      | $8160.30       | 0.00%             | 2045-08-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A       | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5242583 | PA      | $4565885.78    | 0.39%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL AGRICULTURE MTG CORP HM-1021                              | FEDERAL AGRICULTURAL MORTGAGE AMBS HM 1021 1           | CUSIP: 31316XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22467 | PA      | $22730.36      | 0.00%             | 2030-04-25      | Fixed         | 8.85%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 2319                                                  | FREDDIE MAC FHR 2319 PZ                                | CUSIP: 3133TT4X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38760 | PA      | $40369.01      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773676 FN 04/34 FIXED 5.5                    | CUSIP: 31404NQ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6514 | PA      | $6571.60       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545511 FN 12/31 FLOATING VAR                 | CUSIP: 31385JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $807.36        | 0.00%             | 2031-12-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777730 FN 05/34 FIXED 5.5                    | CUSIP: 31404TA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17000 | PA      | $17179.75      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002885 G2 02/30 FIXED 8.5                 | CUSIP: 36202DF22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $867.35        | 0.00%             | 2030-02-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668895 FN 10/32 FIXED 6                      | CUSIP: 31391KC88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6572 | PA      | $6774.31       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831927 FN 12/36 FIXED 6                      | CUSIP: 31407JHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7192 | PA      | $7582.57       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 653750 GN 03/36 FIXED 6.5                    | CUSIP: 36292NH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12639 | PA      | $13233.58      | 0.00%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942283 FN 08/37 FIXED 6                      | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99615 | PA      | $105030.39     | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8092 FN 07/42 FIXED VAR                    | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4025543 | PA      | $3926563.14    | 0.34%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92821 FG 07/40 FIXED 5              | CUSIP: 312941D20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1846 | PA      | $1894.09       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886403 FN 08/36 FIXED 6.5                    | CUSIP: 31410DX88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86799 | PA      | $90813.83      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0259 FN 03/37 FIXED 6                      | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2568 | PA      | $2698.93       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A80970 FG 08/38 FIXED 5.5            | CUSIP: 312927CF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21048 | PA      | $21834.96      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2756 G2 04/45 FIXED 4.5                 | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2050465 | PA      | $2038010.23    | 0.17%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5018 G2 02/48 FIXED 3                   | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2127686 | PA      | $1923927.42    | 0.16%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252453 FN 03/29 FIXED 6.5                    | CUSIP: 31371HMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $397.08        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737442 GN 09/40 FIXED 4                      | CUSIP: 3620ARHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38704 | PA      | $37147.19      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685630 GN 04/38 FIXED 6                      | CUSIP: 36296AVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22142 | PA      | $22838.25      | 0.00%             | 2038-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7070 FN 04/51 FIXED VAR                    | CUSIP: 3140XA2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4331728 | PA      | $3892765.59    | 0.33%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 303463 FN 06/29 FLOATING VAR                 | CUSIP: 31373UB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $93.55         | 0.00%             | 2029-06-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 991086 FN 11/38 FIXED 6.5                    | CUSIP: 31415V6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35467 | PA      | $37118.22      | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5            | CUSIP: 3128M5ED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81617 | PA      | $85068.41      | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671023 GN 08/37 FIXED 6                      | CUSIP: 36295HPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3447 | PA      | $3622.05       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003442 G2 09/33 FIXED 5                   | CUSIP: 36202DZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6288 | PA      | $6428.47       | 0.00%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5162 FR 06/42 FIXED 3              | CUSIP: 3133KYWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6048858 | PA      | $5599870.97    | 0.48%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677064 GN 07/38 FIXED 5.5                    | CUSIP: 36295QFD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35341 | PA      | $36613.11      | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C     | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3653824 | PA      | $3006682.78    | 0.26%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD5638 GN 05/43 FIXED 4                      | CUSIP: 36180HHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20230 | PA      | $19380.06      | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                | FANNIE MAE FNR 1998 22 FA                              | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        400 | PA      | $399.69        | 0.00%             | 2028-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479903 GN 01/31 FIXED 7.5                    | CUSIP: 36209SDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        375 | PA      | $378.03        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555640 FN 07/33 FIXED VAR                    | CUSIP: 31385XHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1503 | PA      | $1554.53       | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 526030 GN 08/30 FIXED 8.5                    | CUSIP: 36211XLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2197 | PA      | $2203.99       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535909 FN 05/31 FIXED VAR                    | CUSIP: 31384WKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.56         | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3              | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3295450 | PA      | $2905068.47    | 0.25%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844610 FN 12/35 FIXED 6                      | CUSIP: 31407YKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5834 | PA      | $6079.60       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-2                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 2 A11 144A         | CUSIP: 46650TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575322 | PA      | $551437.90     | 0.05%             | 2049-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91389 FG 08/31 FIXED 4              | CUSIP: 3128P7RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5746 | PA      | $5730.52       | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773696 FN 04/34 FIXED 5.5                    | CUSIP: 31404NRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6815 | PA      | $6875.50       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256639 FN 02/27 FIXED 5                      | CUSIP: 31371NBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2250 | PA      | $2251.00       | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 768155 FN 03/34 FIXED 5.5                    | CUSIP: 31404GMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11795 | PA      | $11903.60      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 560551 FN 11/30 FIXED 6.5                    | CUSIP: 31386DWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4523 | PA      | $4685.57       | 0.00%             | 2030-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1        | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     623420 | PA      | $345192.36     | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844000 FN 11/35 FLOATING VAR                 | CUSIP: 31407XUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3140 | PA      | $3170.96       | 0.00%             | 2035-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 657986 GN 10/36 FIXED 6.5                    | CUSIP: 36294R6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4255 | PA      | $4430.30       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A23803 FG 06/34 FIXED 5              | CUSIP: 31297BGL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2338 | PA      | $2395.20       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 936190 FN 05/37 FIXED 6.5                    | CUSIP: 31412VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48729 | PA      | $51051.06      | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 665963 GN 02/38 FIXED 6                      | CUSIP: 36295BZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14874 | PA      | $15629.58      | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937743 FN 05/37 FIXED 6                      | CUSIP: 31412XHU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22571 | PA      | $23262.88      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626938 GN 04/45 FIXED 4                      | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     735257 | PA      | $716915.96     | 0.06%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 068530 FN 09/27 FLOATING VAR                 | CUSIP: 31362REB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $40.34         | 0.00%             | 2027-09-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005339 G2 03/27 FIXED 2.5                 | CUSIP: 36202F4Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9217 | PA      | $9118.63       | 0.00%             | 2027-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 679243 GN 12/37 FIXED 6                      | CUSIP: 36295SS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3332 | PA      | $3475.28       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q25578 FG 04/44 FIXED 4              | CUSIP: 3132M52K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79936 | PA      | $77844.33      | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756181 FN 12/33 FIXED 5.5                    | CUSIP: 31403SCS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4770 | PA      | $4893.80       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 789133 FH 03/32 FLOATING VAR         | CUSIP: 31295NEE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1728 | PA      | $1764.71       | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD9755 FN 12/25 FIXED 4                      | CUSIP: 31418XZV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1552 | PA      | $1547.00       | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779589 FN 06/34 FIXED 5.5                    | CUSIP: 31404VC22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32327 | PA      | $32697.18      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 740173 FN 09/33 FIXED 5.5                    | CUSIP: 31402WJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1793.58       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79792 FG 07/38 FIXED 5              | CUSIP: 3128LD2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43671 | PA      | $43615.37      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782759 GN 09/39 FIXED 5.5                    | CUSIP: 36241LB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8193 | PA      | $8593.32       | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                    | COUNTRYWIDE HOME LOANS CWHL 2004 29 1A1                | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26032 | PA      | $25202.82      | 0.00%             | 2035-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618650 GN 09/36 FIXED 6.5                    | CUSIP: 36290VH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $422.54        | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677215 GN 08/38 FIXED 6.5                    | CUSIP: 36295QK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10870 | PA      | $11447.05      | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604897 GN 12/33 FIXED 5                      | CUSIP: 36200M7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        425 | PA      | $427.66        | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254796 FN 07/33 FIXED 6.5                    | CUSIP: 31371K7H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2698 | PA      | $2786.35       | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844214 FN 11/35 FLOATING VAR                 | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52746 | PA      | $53591.06      | 0.00%             | 2035-11-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 WO                                | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22195000 | PA      | $14473073.18   | 1.24%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LTD 2015-9A                                     | MOUNTAIN VIEW CLO LTD MVW 2015 9A A1R 144A             | CUSIP: 62432BAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     396550 | PA      | $396874.64     | 0.03%             | 2031-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30377 FG 12/27 FIXED 6              | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8351 | PA      | $8538.89       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780747 GN 03/28 FIXED 6.5                    | CUSIP: 36225AZL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $87.69         | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 666750 FN 11/32 FIXED 6                      | CUSIP: 31391GWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        966 | PA      | $987.04        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6       | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360027 | PA      | $266503.33     | 0.02%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                               | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1            | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111721 | PA      | $115022.64     | 0.01%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04595 FG 12/33 FIXED 5.5            | CUSIP: 3128M6NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9334 | PA      | $9440.95       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 530071 GN 08/30 FIXED 8.5                    | CUSIP: 36212C2C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $266.40        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775982 FN 07/34 FLOATING VAR                 | CUSIP: 31404RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49610 | PA      | $50287.89      | 0.00%             | 2034-07-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545204 FN 05/36 FLOATING VAR                 | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28492 | PA      | $28151.28      | 0.00%             | 2036-05-01      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080060 G2 04/27 FLOATING VAR              | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $463.90        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008793 G2 01/26 FLOATING VAR              | CUSIP: 36202KXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $289.01        | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 482771 GN 10/28 FIXED 6.5                    | CUSIP: 36209VJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.10         | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU4779 FN 09/43 FIXED 4.5                    | CUSIP: 3138X4JZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50669 | PA      | $50569.20      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810408 FN 01/35 FIXED 5.5                    | CUSIP: 31406HKV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        644 | PA      | $667.95        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04953 FG 09/38 FIXED 4.5            | CUSIP: 3128M6ZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4695 | PA      | $4743.55       | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 811801 FN 02/35 FLOATING VAR                 | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11841 | PA      | $12094.85      | 0.00%             | 2035-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888882 FN 08/37 FIXED VAR                    | CUSIP: 31410GRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3591 | PA      | $3804.91       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                     | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                 | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2365 | PA      | $2305.51       | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675059 GN 01/38 FIXED 5.5                    | CUSIP: 36295M5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20734 | PA      | $21554.79      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7441 FN 05/51 FIXED VAR                    | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3049732 | PA      | $2682621.83    | 0.23%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735649 FN 12/32 FIXED VAR                    | CUSIP: 31402RH28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5771 | PA      | $5972.60       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1360 FN 03/48 FIXED 3.5                    | CUSIP: 3140Q8QN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8311199 | PA      | $7663944.90    | 0.66%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 649488 GN 09/35 FIXED 5                      | CUSIP: 36292HRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1109 | PA      | $1132.11       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUSINESS FIN SERVICES 2002-2                             | ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1                | CUSIP: 000759CR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476079 | PA      | $376780.86     | 0.03%             | 2033-07-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 770708 GN 06/41 FIXED 5                      | CUSIP: 36176NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1141 | PA      | $1164.21       | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682906 GN 11/40 FIXED 5.5                    | CUSIP: 36295WU70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104834 | PA      | $108199.39     | 0.01%             | 2040-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710929 GN 10/39 FIXED 5                      | CUSIP: 36297FY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3322 | PA      | $3408.07       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                         | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1          | CUSIP: 759950AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189256 | PA      | $181129.00     | 0.02%             | 2032-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003013 G2 12/30 FIXED 8.5                 | CUSIP: 36202DK26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $279.36        | 0.00%             | 2030-12-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03447 FG 10/37 FIXED 5.5            | CUSIP: 3128M5EU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3999 | PA      | $4167.69       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1       | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     686709 | PA      | $605615.36     | 0.05%             | 2045-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 774936 FN 04/34 FIXED 5.5                    | CUSIP: 31404P4V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14512 | PA      | $14645.52      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04219 FG 04/38 FIXED 5.5            | CUSIP: 3128M6AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277266 | PA      | $287859.93     | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2004-K                                | WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 K 2A3        | CUSIP: 94981VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4854 | PA      | $4964.49       | 0.00%             | 2034-07-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 409335 FN 11/28 FIXED 6                      | CUSIP: 31378UV41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $65.16         | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A38837 FG 05/35 FIXED 4.5            | CUSIP: 31297UZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44095 | PA      | $44494.53      | 0.00%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002989 G2 10/30 FIXED 8.5                 | CUSIP: 36202DKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        964 | PA      | $1010.63       | 0.00%             | 2030-10-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804158 FN 12/34 FIXED 5.5                    | CUSIP: 31406AMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12137 | PA      | $12538.98      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ9327 FN 01/42 FIXED 3.5                    | CUSIP: 3138E2LH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108317 | PA      | $103102.02     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0549 G2 08/48 FIXED 5                   | CUSIP: 3617BFTE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96051 | PA      | $94833.88      | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01446 FG 06/41 FIXED 5              | CUSIP: 3132GETB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10705 | PA      | $10960.13      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735362 FN 03/35 FLOATING VAR                 | CUSIP: 31402Q5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11183 | PA      | $11273.99      | 0.00%             | 2035-03-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A43851 FG 03/36 FIXED 5              | CUSIP: 3128K4H40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11341 | PA      | $11647.79      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5            | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107531 | PA      | $107916.96     | 0.01%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531306 GN 08/30 FIXED 8.5                    | CUSIP: 36212EGP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10084 | PA      | $10313.48      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77399 FG 05/38 FIXED 5              | CUSIP: 3128LBGG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12653 | PA      | $12995.18      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 994016 FN 09/39 FIXED 4                      | CUSIP: 31416AGZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184638 | PA      | $180249.67     | 0.02%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003850 G2 05/36 FIXED 5                   | CUSIP: 36202EH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        856 | PA      | $875.05        | 0.00%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03458 FG 11/37 FIXED 5.5            | CUSIP: 3128M5E71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1031 | PA      | $1074.50       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01644 FG 02/34 FIXED 5.5            | CUSIP: 31283HZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4260 | PA      | $4372.57       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK1962 FN 03/48 FIXED 4                      | CUSIP: 3140HFFC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442467 | PA      | $424236.18     | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677596 GN 12/37 FIXED 6                      | CUSIP: 36295QXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1086 | PA      | $1120.44       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1       | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85996 | PA      | $86606.22      | 0.01%             | 2034-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809297 FN 02/35 FIXED 5.5                    | CUSIP: 31406GDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11668 | PA      | $12145.95      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                  | FREDDIE MAC FHR 2104 ZM                                | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26233 | PA      | $26778.36      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1996-48                                                | FANNIE MAE FNR 1996 48 Z                               | CUSIP: 31359KXE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $287.65        | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256045 FN 12/25 FIXED 5                      | CUSIP: 31371ML21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $525.39        | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                               | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 A           | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13883 | PA      | $13147.56      | 0.00%             | 2032-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716305 GN 06/39 FIXED 5                      | CUSIP: 3620A1YA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4222 | PA      | $4331.91       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 707895 GN 04/39 FIXED 5                      | CUSIP: 36297CNL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102676 | PA      | $105286.07     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688088 GN 11/38 FIXED 6.5                    | CUSIP: 36296DND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12158 | PA      | $12754.60      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608150 GN 04/33 FIXED 5.5                    | CUSIP: 36202STF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12554 | PA      | $13055.35      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9380 FN 04/31 FIXED VAR                    | CUSIP: 3138ERM64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1757129 | PA      | $1723252.89    | 0.15%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 621097 GN 03/37 FIXED 6                      | CUSIP: 36290X7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5663 | PA      | $5969.50       | 0.00%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778066 FN 05/34 FIXED 5.5                    | CUSIP: 31404TMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3447 | PA      | $3531.37       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080378 G2 02/30 FLOATING VAR              | CUSIP: 36225CM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $173.22        | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 990924 FN 09/38 FIXED 5.5                    | CUSIP: 31415VYV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121801 | PA      | $126101.71     | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782920 GN 03/40 FIXED 5.5                    | CUSIP: 36241LG59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19648 | PA      | $20607.25      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796797 FN 02/35 FIXED 5.5                    | CUSIP: 31405RGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52329 | PA      | $54139.38      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 772029 GN 07/41 FIXED 4                      | CUSIP: 36176PPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29836 | PA      | $28828.67      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2835 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     708330 | PA      | $718689.35     | 0.06%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ2293 FN 09/41 FIXED 4                      | CUSIP: 3138ATRP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67997 | PA      | $66310.34      | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190880 FN 11/28 FLOATING VAR                 | CUSIP: 31368H6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3648 | PA      | $3612.83       | 0.00%             | 2028-11-01      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-H16                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 F          | CUSIP: 38382YGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24570974 | PA      | $25160854.48   | 2.15%             | 2071-09-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902551 FN 11/36 FIXED 6                      | CUSIP: 31411AWL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1424 | PA      | $1496.36       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676015 GN 08/38 FIXED 6.5                    | CUSIP: 36295PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2212 | PA      | $2312.29       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05072 FG 01/39 FIXED 5.5            | CUSIP: 3128M66H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15958 | PA      | $16581.09      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT DEC25 XCBT 20251219                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -5072 | NC      | $-6208043.96   | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                                         | FANNIE MAE FNR 2016 52 PI                              | CUSIP: 3136AS6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     772647 | PA      | $83265.80      | 0.01%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1       | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264231 | PA      | $269699.56     | 0.02%             | 2034-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0126A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14400000 | PA      | $11060756.78   | 0.95%             | 2055-10-14      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                        | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                 | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6900 | PA      | $6770.03       | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783313 GN 02/41 FIXED 5.5                    | CUSIP: 36241LVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7641 | PA      | $7976.83       | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254595 FN 01/33 FIXED 6                      | CUSIP: 31371KXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12531 | PA      | $12954.66      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05267 FG 12/38 FIXED 5.5            | CUSIP: 3128M7FG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13672 | PA      | $14188.78      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                           | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 B1       | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5625 | PA      | $5371.63       | 0.00%             | 2031-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662759 GN 12/36 FIXED 6.5                    | CUSIP: 36294XJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11647 | PA      | $12172.27      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5166 FR 07/42 FIXED 3              | CUSIP: 3133KYW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600704 | PA      | $555758.88     | 0.05%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                               | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5       | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61726 | PA      | $61238.28      | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2001-T4                                   | FANNIEMAE GRANTOR TRUST FNGT 2001 T4 A1                | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39021 | PA      | $40110.80      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF3074 G2 07/48 FIXED 4                   | CUSIP: 3617G9MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25892 | PA      | $24497.79      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7589 G2 09/51 FIXED 2.5                 | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33156084 | PA      | $28578859.07   | 2.45%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745637 FN 12/34 FIXED VAR                    | CUSIP: 31403DLS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1791 | PA      | $1881.00       | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                                  | FREDDIE MAC FHR 2080 Z                                 | CUSIP: 3133TG3U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2293.15       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002645 G2 09/28 FIXED 7                   | CUSIP: 36202C5E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        795 | PA      | $815.62        | 0.00%             | 2028-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783007 GN 06/40 FIXED 4.5                    | CUSIP: 36241LKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1082348 | PA      | $1067482.98    | 0.09%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                            | FREDDIEMAC STRIP FHS 303 C19                           | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2641160 | PA      | $433160.10     | 0.04%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2003-T4                                   | FANNIEMAE GRANTOR TRUST FNGT 2003 T4 1A                | CUSIP: 31393AU96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $915.88        | 0.00%             | 2033-09-26      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A72667 FG 02/38 FIXED 5              | CUSIP: 3128L56C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14751 | PA      | $15150.30      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080045 G2 02/27 FLOATING VAR              | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4380 | PA      | $4378.92       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS6886 G2 03/46 FIXED 3.5                 | CUSIP: 36193SUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1040171 | PA      | $962316.44     | 0.08%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 690910 GN 06/38 FIXED 5.5                    | CUSIP: 36296GR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10287 | PA      | $10589.26      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR2210 FN 05/43 FIXED 4                      | CUSIP: 3138NYN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123433 | PA      | $120728.11     | 0.01%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91218 FG 11/28 FIXED 6              | CUSIP: 3128P7K77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        596 | PA      | $609.38        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92922 FG 07/40 FIXED 5              | CUSIP: 312941G76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54617 | PA      | $56030.71      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 782156 G2 05/37 FIXED 5                   | CUSIP: 36241KMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17590 | PA      | $18008.04      | 0.00%             | 2037-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 1A1        | CUSIP: 07384MWW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39009 | PA      | $38414.03      | 0.00%             | 2033-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782848 GN 08/39 FIXED 5.5                    | CUSIP: 36241LEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2796 | PA      | $2900.68       | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828982 FN 08/35 FLOATING VAR                 | CUSIP: 31407E6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20670 | PA      | $21115.37      | 0.00%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 865591 FH 03/29 FLOATING VAR         | CUSIP: 31348UF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        751 | PA      | $745.81        | 0.00%             | 2029-03-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719922 GN 10/39 FIXED 5.5                    | CUSIP: 3620A5YT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76869 | PA      | $79336.70      | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92269 FG 05/40 FIXED 4.5            | CUSIP: 312940QW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1590474 | PA      | $1587273.90    | 0.14%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A      | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4302634 | PA      | $3878374.13    | 0.33%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35819 FG 07/35 FIXED 5              | CUSIP: 31297RPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15480 | PA      | $15528.93      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2003-SD2                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 2A       | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6847 | PA      | $6744.74       | 0.00%             | 2043-06-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6217 G2 10/48 FIXED 5                   | CUSIP: 3617HF4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116375 | PA      | $116048.96     | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                         | INDYMAC ARM TRUST INARM 2001 H2 A2                     | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1184 | PA      | $1147.39       | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01938 FG 09/35 FIXED 5.5            | CUSIP: 3128LXEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27048 | PA      | $28190.27      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796242 FN 11/34 FIXED 6.5                    | CUSIP: 31405QS74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16658 | PA      | $17196.43      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU8053 FN 09/43 FIXED 4.5                    | CUSIP: 3138X75P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89754 | PA      | $89576.62      | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A98016 FG 06/39 FIXED 4.5            | CUSIP: 3129463Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2598 | PA      | $2590.41       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7152 FN 02/28 VARIABLE                     | CUSIP: 3140JB5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5992297 | PA      | $6010187.01    | 0.51%             | 2028-02-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 711090 FN 07/33 FIXED 5.5                    | CUSIP: 31401K7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5890 | PA      | $6000.75       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01200 11/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $941358.70     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR         | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8599 | PA      | $8782.12       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                          | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                 | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1805995 | PA      | $1808613.23    | 0.15%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                          | FANNIE MAE FNR 2021 3 TI                               | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7289429 | PA      | $1247181.99    | 0.11%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A54203 FG 11/36 FIXED 6.5            | CUSIP: 3128KGU48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3621 | PA      | $3804.33       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832445 FN 08/35 FIXED 5                      | CUSIP: 31407JZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58223 | PA      | $59581.77      | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV0016 FN 10/28 FIXED 3                      | CUSIP: 3138XBAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49746 | PA      | $48936.72      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $22321240.25   | 1.91%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5502 FR 06/51 FIXED 3              | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2402627 | PA      | $2116611.82    | 0.18%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46767 FG 09/35 FIXED 5.5            | CUSIP: 3128K7QU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4152 | PA      | $4322.74       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928362 FN 06/27 FIXED 6.5                    | CUSIP: 31412LMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1976 | PA      | $2040.15       | 0.00%             | 2027-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04320 FG 02/38 FIXED 6              | CUSIP: 3128M6DZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4625 | PA      | $4820.86       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782382 GN 08/38 FIXED 5.5                    | CUSIP: 36241KUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34974 | PA      | $36519.50      | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5            | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     677461 | PA      | $631547.34     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4616 FN 02/48 FIXED 4                      | CUSIP: 3140H6DW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1340995 | PA      | $1289297.83    | 0.11%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 953433 FN 11/37 FIXED 6.5                    | CUSIP: 31413RV29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44329 | PA      | $46864.93      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888813 FN 03/37 FIXED VAR                    | CUSIP: 31410GN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39721 | PA      | $41850.38      | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A5        | CUSIP: 06050HKT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        425 | PA      | $413.37        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.15500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1323436.33    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0232 FN 11/29 FIXED 4.5                    | CUSIP: 31417YHJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6095 | PA      | $6112.47       | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080414 G2 06/30 FLOATING VAR              | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7631 | PA      | $7627.25       | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711479 GN 12/39 FIXED 5                      | CUSIP: 36297GM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112935 | PA      | $117556.76     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C31320 FG 10/29 FIXED 7              | CUSIP: 31293WPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        152 | PA      | $159.03        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02700 FG 01/37 FIXED 6.5            | CUSIP: 3128M4KM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1097 | PA      | $1148.52       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820207 FN 05/35 FIXED 6                      | CUSIP: 31406UGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22614 | PA      | $23612.22      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08456 FG 07/41 FIXED 5              | CUSIP: 3128MJQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8825 | PA      | $9031.84       | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9942 FN 04/48 FIXED 4                      | CUSIP: 3140HCBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119162 | PA      | $115194.87     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783638 GN 07/41 FIXED 5.5                    | CUSIP: 3622A2BF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10174 | PA      | $10541.18      | 0.00%             | 2041-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 460719 GN 01/28 FIXED 6.5                    | CUSIP: 36208TYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $309.94        | 0.00%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A82423 FG 10/38 FIXED 5              | CUSIP: 312928VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13285 | PA      | $13413.61      | 0.00%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                    | LUMINENT MORTGAGE TRUST LUM 2006 7 1A1                 | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     206664 | PA      | $199679.61     | 0.02%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 808413 FN 01/35 FIXED 5.5                    | CUSIP: 31406FDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8772 | PA      | $9059.53       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 373145 FN 02/26 FLOATING VAR                 | CUSIP: 31377CP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $279.91        | 0.00%             | 2026-02-01      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A58677 FG 03/37 FIXED 5.5            | CUSIP: 3128KMUA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1147.17       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05181 FG 01/39 FIXED 5.5            | CUSIP: 3128M7CS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56579 | PA      | $58902.26      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1       | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127550 | PA      | $119993.82     | 0.01%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A55275 FG 12/36 FIXED 5.5            | CUSIP: 3128KH2G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $111.10        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04604 FG 12/34 FIXED 5.5            | CUSIP: 3128M6NV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6494 | PA      | $6677.16       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01883 FG 08/35 FIXED 5              | CUSIP: 3128LXCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $293.39        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5057 FR 04/51 FIXED 3              | CUSIP: 3133KLTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6681100 | PA      | $5878255.31    | 0.50%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 849803 FN 05/35 FIXED 6.5                    | CUSIP: 31408FDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5272 | PA      | $5539.27       | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735654 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132880 | PA      | $133850.83     | 0.01%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949069 FN 09/37 FIXED 6.5                    | CUSIP: 31413L2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9361 | PA      | $9823.47       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769802 FN 03/34 FIXED 5.5                    | CUSIP: 31404JGK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19766 | PA      | $19975.51      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                 | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221898 | PA      | $219498.22     | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004113 G2 04/38 FIXED 5                   | CUSIP: 36202ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151819 | PA      | $155407.92     | 0.01%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 693511 GN 07/38 FIXED 6.5                    | CUSIP: 36296KN40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12304 | PA      | $12815.11      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A     | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310688 | PA      | $288069.81     | 0.02%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 822615 FN 05/35 FIXED 6.5                    | CUSIP: 31406W3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31911 | PA      | $33269.17      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080727 G2 08/33 FLOATING VAR              | CUSIP: 36225CYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110518 | PA      | $112175.57     | 0.01%             | 2033-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 642135 GN 09/36 FIXED 6                      | CUSIP: 36291YLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3508 | PA      | $3613.69       | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02976 FG 06/37 FIXED 5.5            | CUSIP: 3128M4T94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11430 | PA      | $11913.72      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080365 G2 01/30 FLOATING VAR              | CUSIP: 36225CMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $288.59        | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1        | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53384 | PA      | $52909.90      | 0.00%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-89                                                | FANNIE MAE FNR 1997 89 ZA                              | CUSIP: 31359RPS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5318 | PA      | $5397.42       | 0.00%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 720739 GN 10/39 FIXED 5.5                    | CUSIP: 3620A6V87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173536 | PA      | $179799.40     | 0.02%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02608 FG 02/37 FIXED 5.5            | CUSIP: 3128M4GR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5148 | PA      | $5365.32       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1       | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38775 | PA      | $38359.28      | 0.00%             | 2036-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2570 G2 05/48 FIXED 4                   | CUSIP: 3617G82B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165389 | PA      | $156480.60     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722105 GN 12/39 FIXED 5.5                    | CUSIP: 3620A8GN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8739 | PA      | $9116.12       | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692176 GN 07/39 FIXED 6.5                    | CUSIP: 36296H6M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        357 | PA      | $383.18        | 0.00%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                 | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     519486 | PA      | $513534.89     | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756230 FN 01/34 FIXED 5.5                    | CUSIP: 31403SEB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6863 | PA      | $7043.00       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04630 FG 11/29 FIXED 6              | CUSIP: 3128M6PP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.81         | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682899 GN 09/40 FIXED 6                      | CUSIP: 36295WUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27298 | PA      | $28297.38      | 0.00%             | 2040-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04625 FG 06/36 FIXED 6              | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6619 | PA      | $6933.51       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77314 FG 05/38 FIXED 5.5            | CUSIP: 3128LBDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $149.30        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05044 FG 08/38 FIXED 5.5            | CUSIP: 3128M65D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30245 | PA      | $31474.85      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69945 FG 12/37 FIXED 5.5            | CUSIP: 3128L2BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109510 | PA      | $113349.33     | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                              | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1         | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132263 | PA      | $116530.89     | 0.01%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77808 FG 05/38 FIXED 5.5            | CUSIP: 3128LBU97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14041 | PA      | $14528.51      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671182 GN 12/37 FIXED 6.5                    | CUSIP: 36295HUF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $432.10        | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896344 FN 10/36 FIXED 6                      | CUSIP: 31410SZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14460 | PA      | $15200.07      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754785 FN 04/34 FIXED 5.5                    | CUSIP: 31403QRE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16066 | PA      | $16223.09      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A95755 FG 12/40 FIXED 5              | CUSIP: 312944MC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1184 | PA      | $1207.05       | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986648 FN 09/37 FIXED 6                      | CUSIP: 31415RBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3271 | PA      | $3433.52       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948690 FN 08/37 FIXED 6                      | CUSIP: 31413LNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32371 | PA      | $34025.76      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 825393 FN 06/35 FIXED 6                      | CUSIP: 31407A7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8210 | PA      | $8445.20       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QC8831 FR 10/51 FIXED 3              | CUSIP: 3133ATY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1010455 | PA      | $903693.44     | 0.08%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782280 GN 02/38 FIXED 5.5                    | CUSIP: 36241KQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5194 | PA      | $5443.66       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03870 FG 02/38 FIXED 5              | CUSIP: 3128M5T34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10560 | PA      | $10845.91      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002922 G2 05/30 FIXED 8                   | CUSIP: 36202DG70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5338 | PA      | $5630.44       | 0.00%             | 2030-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06031 FG 03/40 FIXED 5.5            | CUSIP: 3128M8A87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103723 | PA      | $107686.42     | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4287 FN 11/40 FIXED VAR                    | CUSIP: 3138ELXR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1677938 | PA      | $1769113.89    | 0.15%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799689 FN 11/34 FIXED 5.5                    | CUSIP: 31405UNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        104 | PA      | $105.42        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1670 G2 06/48 FIXED 4                   | CUSIP: 3617BU2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     351145 | PA      | $341346.72     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080096 G2 07/27 FLOATING VAR              | CUSIP: 36225CDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $443.51        | 0.00%             | 2027-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784041 GN 08/45 FIXED 4                      | CUSIP: 3622A2P22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2591778 | PA      | $2481450.43    | 0.21%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08175 FG 01/37 FIXED 6.5            | CUSIP: 3128MJFR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10075 | PA      | $10659.83      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002430 G2 05/27 FIXED 7                   | CUSIP: 36202CVX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        302 | PA      | $309.89        | 0.00%             | 2027-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS         | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     424112 | PA      | $22184.16      | 0.00%             | 2043-06-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31300 FG 07/36 FIXED 4.5            | CUSIP: 31281BNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4563 | PA      | $4586.67       | 0.00%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9998 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220740 | PA      | $202864.35     | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0361 FN 09/39 FIXED VAR                    | CUSIP: 31418MMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67926 | PA      | $71617.47      | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9315 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     758168 | PA      | $710844.83     | 0.06%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                                         | FANNIE MAE FNR 2014 42 SA                              | CUSIP: 3136AKPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     295873 | PA      | $12058.67      | 0.00%             | 2044-07-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675063 GN 01/38 FIXED 6                      | CUSIP: 36295M5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2711 | PA      | $2857.37       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0204A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18600000 | PA      | $17099286.71   | 1.46%             | 2040-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1         | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081247 | PA      | $1036572.01    | 0.09%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7001 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     805979 | PA      | $686415.92     | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4306 FN 04/51 FIXED 2.5                    | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6766440 | PA      | $5746924.84    | 0.49%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21      | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183870 | PA      | $183685.41     | 0.02%             | 2045-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A22      | CUSIP: 161631AX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1501967 | PA      | $654180.02     | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942569 FN 08/37 FIXED 6                      | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1877 | PA      | $1964.99       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434239 GN 03/29 FIXED 6.5                    | CUSIP: 36207KLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $397.86        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 538722 GN 05/35 FIXED 6.5                    | CUSIP: 36212NPF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3055 | PA      | $3188.07       | 0.00%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672937 GN 08/38 FIXED 6                      | CUSIP: 36295KS20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15944 | PA      | $16807.86      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75114 FG 03/38 FIXED 5.5            | CUSIP: 3128L8VF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22219 | PA      | $22722.81      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE9298 FN 11/25 FIXED 3.5                    | CUSIP: 31419LKL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2081 | PA      | $2074.59       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544860 FN 09/34 FLOATING VAR                 | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        923 | PA      | $914.95        | 0.00%             | 2034-09-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2007-A                           | BAYVIEW FINANCIAL ACQUISITION BAYV 2007 A 2A           | CUSIP: 07325VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558801 | PA      | $531106.80     | 0.05%             | 2037-05-28      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1160 G2 07/43 FIXED 5                   | CUSIP: 36179NJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190234 | PA      | $195260.76     | 0.02%             | 2043-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 914984 FN 04/37 FIXED 6                      | CUSIP: 31411URD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5165 | PA      | $5429.58       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780580 GN 06/27 FIXED 7.5                    | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $144.56        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP 419                                               | FANNIEMAE STRIP FNS 419 C3                             | CUSIP: 31395Q5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1347372 | PA      | $182474.53     | 0.02%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FH         | CUSIP: 38380QJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6414451 | PA      | $6494687.79    | 0.56%             | 2070-07-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2001-M2                                           | FANNIEMAE ACES FNA 2001 M2 Z2                          | CUSIP: 313920HM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38154 | PA      | $37982.10      | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 661333 FN 09/32 FIXED 6.5                    | CUSIP: 31391AV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $112.39        | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHR 2046                                                          | FREDDIE MAC FHR 2046 G                                 | CUSIP: 3133TDCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1017.47       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                               | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4          | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7189679 | PA      | $6972404.96    | 0.60%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                            | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A     | CUSIP: 1248MGAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240341 | PA      | $70767.20      | 0.01%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701529 GN 02/38 FIXED 6.5                    | CUSIP: 36296ULJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1364 | PA      | $1373.91       | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08443 FG 04/41 FIXED 4.5            | CUSIP: 3128MJP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7474 | PA      | $7490.03       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29147472 | PA      | $27474315.00   | 2.35%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 440805 FN 09/28 FIXED 6                      | CUSIP: 31380HU62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $82.95         | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2002-WMC1                           | SALOMON BROTHERS MORTGAGE SECU SBM7 2002 WMC1 M1       | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27719 | PA      | $27676.57      | 0.00%             | 2032-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9731 FN 10/28 FIXED 5.61                   | CUSIP: 3140LLY54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     491000 | PA      | $504553.69     | 0.04%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719899 GN 08/39 FIXED 6                      | CUSIP: 3620A5X46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68247 | PA      | $70963.37      | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                               | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A              | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19356 | PA      | $19321.43      | 0.00%             | 2031-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5085 FR 06/53 FIXED 5              | CUSIP: 3133C5UJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107460 | PA      | $108003.17     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6280 G2 11/48 FIXED 5                   | CUSIP: 3617HF6R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     517336 | PA      | $515887.02     | 0.04%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771677 FN 03/34 FIXED 6.5                    | CUSIP: 31404LJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $436.39        | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535708 FN 02/31 FIXED VAR                    | CUSIP: 31384WDM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $58.62         | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 640070 FN 03/32 FIXED 6.5                    | CUSIP: 31390ACF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $350.15        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB7673 FN 01/33 FIXED 2.5                    | CUSIP: 31417EQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1397930 | PA      | $1332118.02    | 0.11%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678128 FN 01/33 FIXED 6                      | CUSIP: 31391VLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100792 | PA      | $102980.84     | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04567 FG 07/38 FIXED 5.5            | CUSIP: 3128M6MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21613 | PA      | $22438.76      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3310 G2 12/45 FIXED 3.5                 | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3555007 | PA      | $3308825.98    | 0.28%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U7OYA4 PIMCO SWAPTION 4.25 PUT USD 20251128         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   23500000 | NC      | $12384.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173490 | PA      | $170855.46     | 0.01%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848450 FN 12/35 FIXED 6                      | CUSIP: 31408DTF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60038 | PA      | $62241.40      | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS4009 FN 12/39 FIXED 3.5                    | CUSIP: 3138WDN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1233651 | PA      | $1180369.72    | 0.10%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2234 FN 08/38 FIXED 4                      | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     562078 | PA      | $557242.40     | 0.05%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                  | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2055626 | PA      | $452310.26     | 0.04%             | 2046-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR2152 FN 02/43 FIXED 4                      | CUSIP: 3138NYMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56159 | PA      | $55344.73      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                      | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119083 | PA      | $46414.88      | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A       | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121393 | PA      | $23762.87      | 0.00%             | 2037-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1        | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45678 | PA      | $44968.43      | 0.00%             | 2033-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 893898 FN 10/36 FIXED 6                      | CUSIP: 31410QDB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3510 | PA      | $3689.97       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                      | ACE SECURITIES CORP. ACE 2005 HE7 M1                   | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88670 | PA      | $96529.42      | 0.01%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-894910.42    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 624207 GN 01/34 FIXED 5.5                    | CUSIP: 36291CNY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3196 | PA      | $3208.07       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A47293 FG 10/35 FIXED 5.5            | CUSIP: 3128K8C61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18651 | PA      | $19195.94      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724390 GN 10/39 FIXED 4.5                    | CUSIP: 3620AAXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71679 | PA      | $71365.51      | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886653 FN 08/36 FIXED 6                      | CUSIP: 31410EBW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1347 | PA      | $1390.50       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678888 FN 01/33 FIXED 6                      | CUSIP: 31391WF55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4942 | PA      | $5050.02       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782655 GN 05/39 FIXED 5.5                    | CUSIP: 36241K5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32937 | PA      | $34542.44      | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732941 GN 01/40 FIXED 5.5                    | CUSIP: 3620ALHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22370 | PA      | $23212.66      | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                                           | FREDDIE MAC FHR 4255 SN                                | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2641964 | PA      | $2678242.40    | 0.23%             | 2035-05-15      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3285 FN 09/39 FIXED 3.5                    | CUSIP: 3138WCUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251717 | PA      | $241341.52     | 0.02%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254676 FN 03/33 FIXED 6                      | CUSIP: 31371K2H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1004 | PA      | $1039.71       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4521 FN 08/38 FIXED VAR                    | CUSIP: 3140J9AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1094248 | PA      | $1080315.06    | 0.09%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2537 FN 06/53 FIXED 5                      | CUSIP: 3140NJZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96446 | PA      | $96968.20      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986767 FN 07/38 FIXED 5.5                    | CUSIP: 31415RFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38616 | PA      | $39950.92      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604712 GN 10/33 FIXED 5                      | CUSIP: 36200MYH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        902 | PA      | $911.80        | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 872277 FN 05/36 FIXED 6                      | CUSIP: 31409JCN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        780 | PA      | $803.86        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37326 FG 09/35 FIXED 5              | CUSIP: 31297TD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11965 | PA      | $12258.72      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3              | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4359628 | PA      | $4072304.32    | 0.35%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 970643 FN 10/38 FIXED 6.5                    | CUSIP: 31414MZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $334.20        | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434128 GN 12/28 FIXED 6.5                    | CUSIP: 36207KHD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $134.20        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889883 FN 03/38 FIXED VAR                    | CUSIP: 31410KUG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9574 | PA      | $9994.87       | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                                           | FREDDIE MAC FHR 3598 JI                                | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41752 | PA      | $1950.98       | 0.00%             | 2037-10-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677309 GN 09/38 FIXED 6.5                    | CUSIP: 36295QN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10187 | PA      | $10666.43      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796013 FN 09/34 FIXED 5.5                    | CUSIP: 31405QK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        731 | PA      | $757.18        | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3             | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     447416 | PA      | $421164.48     | 0.04%             | 2035-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004015 G2 08/37 FIXED 5                   | CUSIP: 36202EN88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21598 | PA      | $22111.55      | 0.00%             | 2037-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4      | CUSIP: 02147CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1474360 | PA      | $1075289.15    | 0.09%             | 2046-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 494522 FN 04/29 FIXED 5.5                    | CUSIP: 31382WLB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4498 | PA      | $4581.78       | 0.00%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05479 FG 03/39 FIXED 5.5            | CUSIP: 3128M7M45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91924 | PA      | $95660.92      | 0.01%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF         | CUSIP: 38380QMV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6781939 | PA      | $6908996.88    | 0.59%             | 2070-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1296 FN 02/26 FIXED 3.575                  | CUSIP: 3140HSNN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8963300.61    | 0.77%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46669 FG 08/35 FIXED 4.5            | CUSIP: 3128K7MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1429 | PA      | $1441.70       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 513655 GN 08/29 FIXED 6.5                    | CUSIP: 36211HTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3494 | PA      | $3556.43       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 487128 GN 04/29 FIXED 6.5                    | CUSIP: 36210BD93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        654 | PA      | $680.24        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AU4789 G2 11/46 FIXED 3.5                 | CUSIP: 36194SKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149144 | PA      | $137981.28     | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713697 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6521 | PA      | $6578.18       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.01250 04/09/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $374784.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-1                                    | HOMEBANC MORTGAGE TRUST HMBT 2004 1 2A                 | CUSIP: 43739EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45236 | PA      | $44426.64      | 0.00%             | 2029-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 E A1         | CUSIP: 06050HJH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16507 | PA      | $16662.50      | 0.00%             | 2031-06-20      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889072 FN 12/37 FIXED VAR                    | CUSIP: 31410GW90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6483 | PA      | $6869.87       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                               | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2           | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1708142 | PA      | $1676014.05    | 0.14%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                                           | FREDDIE MAC FHR 3962 KS                                | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229109 | PA      | $13922.69      | 0.00%             | 2038-06-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008781 G2 01/26 FLOATING VAR              | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $84.29         | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722770 GN 09/39 FIXED 6                      | CUSIP: 3620A86F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4399 | PA      | $4527.51       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775298 FN 05/34 FIXED 5.5                    | CUSIP: 31404QKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40341 | PA      | $41760.96      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                             | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1         | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     306487 | PA      | $304502.46     | 0.03%             | 2032-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37622 FG 09/35 FIXED 5.5            | CUSIP: 31297TPF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36665 | PA      | $38096.18      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-4                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 4 3A1A       | CUSIP: 41161PL76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510157 | PA      | $146881.17     | 0.01%             | 2046-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080106 G2 08/27 FLOATING VAR              | CUSIP: 36225CDL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1433 | PA      | $1433.94       | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO4769 FN 05/42 FIXED 4                      | CUSIP: 3138LVJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13420 | PA      | $13049.21      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555203 FN 09/32 FIXED VAR                    | CUSIP: 31385WX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2985 | PA      | $3068.19       | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA         | CUSIP: 38375US27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3069113 | PA      | $2992591.39    | 0.26%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008967 G2 09/26 FLOATING VAR              | CUSIP: 36202K6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $128.63        | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A43850 FG 03/36 FIXED 5              | CUSIP: 3128K4H32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10719 | PA      | $11002.63      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 658394 FN 06/33 FIXED 6                      | CUSIP: 31390WNK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $119.97        | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080156 G2 01/28 FLOATING VAR              | CUSIP: 36225CE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8853 | PA      | $8824.56       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI4896 FN 06/26 FIXED 4                      | CUSIP: 3138AJNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        796 | PA      | $793.34        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-92                                         | FANNIE MAE FNR 2014 92 SB                              | CUSIP: 3136AMEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262240 | PA      | $14481.30      | 0.00%             | 2045-01-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555528 FN 04/33 FIXED VAR                    | CUSIP: 31385XD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41599 | PA      | $43012.52      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688031 GN 10/38 FIXED 6.5                    | CUSIP: 36296DLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7993 | PA      | $8426.38       | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2617 G2 06/47 FIXED 3.5                 | CUSIP: 3617AE4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     455245 | PA      | $421154.90     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                                         | FANNIE MAE FNR 2012 77 IO                              | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305117 | PA      | $15172.84      | 0.00%             | 2052-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 508450 GN 02/31 FIXED 7.5                    | CUSIP: 36211BZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        519 | PA      | $522.82        | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04458 FG 06/38 FIXED 5.5            | CUSIP: 3128M6JB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2897 | PA      | $3004.83       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 326                                            | FREDDIEMAC STRIP FHS 326 F2                            | CUSIP: 3132HT3R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     794092 | PA      | $792113.31     | 0.07%             | 2044-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                         | FANNIE MAE FNR 2015 58 AI                              | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302383 | PA      | $17362.87      | 0.00%             | 2055-08-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03328 FG 09/37 FIXED 5.5            | CUSIP: 3128M5A59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5941 | PA      | $6191.84       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0156 FN 08/29 FIXED 5                      | CUSIP: 31417YE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12701 | PA      | $12864.58      | 0.00%             | 2029-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841085 FN 09/35 FIXED 6                      | CUSIP: 31407UNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5254 | PA      | $5416.02       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR         | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3423 | PA      | $3516.00       | 0.00%             | 2035-08-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545010 FN 05/36 FLOATING VAR                 | CUSIP: 31385HN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $821.05        | 0.00%             | 2036-05-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724058 GN 11/39 FIXED 5.5                    | CUSIP: 3620AAMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16006 | PA      | $16585.50      | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617332 GN 12/36 FIXED 6.5                    | CUSIP: 36290TY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        899 | PA      | $939.41        | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04838 FG 01/38 FIXED 5.5            | CUSIP: 3128M6V70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12792 | PA      | $13332.50      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0006 G2 04/27 FIXED 2.5                 | CUSIP: 36179MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15677 | PA      | $15495.59      | 0.00%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 678761 GN 11/37 FIXED 6                      | CUSIP: 36295SB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49625 | PA      | $51644.94      | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7534 FN 04/50 FIXED VAR                    | CUSIP: 3140XBLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282986 | PA      | $261577.85     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544781 FN 02/30 FLOATING VAR                 | CUSIP: 31385HFW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13113 | PA      | $13098.37      | 0.00%             | 2030-02-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08269 FG 05/38 FIXED 5.5            | CUSIP: 3128MJJP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4133 | PA      | $4289.17       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA8498 FN 07/37 FIXED 5.5                    | CUSIP: 31416SNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78691 | PA      | $81469.13      | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A       | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12426 | PA      | $12085.18      | 0.00%             | 2045-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 498847 GN 12/30 FIXED 8.5                    | CUSIP: 36210QEU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        412 | PA      | $412.58        | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 773307 GN 11/41 FIXED 4.5                    | CUSIP: 36176Q3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52122 | PA      | $51173.82      | 0.00%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04723 FG 03/38 FIXED 5              | CUSIP: 3128M6SL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        953 | PA      | $978.32        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-6                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 6 A11 144A         | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1101492 | PA      | $1061811.76    | 0.09%             | 2049-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662443 GN 06/37 FIXED 6                      | CUSIP: 36294W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1735 | PA      | $1801.72       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 892558 FN 07/36 FIXED 6                      | CUSIP: 31410NTP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8044 | PA      | $8455.84       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.13500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $993285.74     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ9192 FN 01/27 FIXED 3                      | CUSIP: 3138E2GA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32598 | PA      | $32315.27      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                              | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1          | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4217 | PA      | $4145.28       | 0.00%             | 2033-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57663 FG 12/36 FIXED 5.5            | CUSIP: 3128KLQQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1266 | PA      | $1319.43       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5279 FR 06/53 FIXED 5              | CUSIP: 3133C52L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149281 | PA      | $149875.45     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5249 FR 07/43 FIXED 4.5            | CUSIP: 3133KYZN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1410577 | PA      | $1407207.13    | 0.12%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452035 FN 11/28 FIXED 5.5                    | CUSIP: 31380WEG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1513 | PA      | $1538.65       | 0.00%             | 2028-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.71000 03/12/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-76307.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93996 FG 09/40 FIXED 4.5            | CUSIP: 312942NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32789 | PA      | $32885.24      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5097 FN 07/43 FIXED 4.5                    | CUSIP: 31418EUX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1554323 | PA      | $1547444.58    | 0.13%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008844 G2 03/26 FLOATING VAR              | CUSIP: 36202KZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $177.54        | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 303744 FN 02/31 FLOATING VAR                 | CUSIP: 31373ULZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11043 | PA      | $11010.45      | 0.00%             | 2031-02-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888695 FN 08/37 FIXED VAR                    | CUSIP: 31410GKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $575.91        | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 461975 GN 12/30 FIXED 8.5                    | CUSIP: 36208VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3561 | PA      | $3601.27       | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2107                                                  | FREDDIE MAC FHR 2107 G                                 | CUSIP: 3133TGZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14970 | PA      | $15003.59      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00781 FG 04/29 FIXED 6.5            | CUSIP: 31292G2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $285.00        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC1241 FN 07/39 FIXED 5                      | CUSIP: 31417KLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30397 | PA      | $31164.92      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080113 G2 09/27 FLOATING VAR              | CUSIP: 36225CDT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $138.28        | 0.00%             | 2027-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8982 FR 10/32 FIXED 2.5            | CUSIP: 3131XC6T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7366 | PA      | $7090.00       | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                                           | FREDDIE MAC FHR 3684 JI                                | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277522 | PA      | $16234.34      | 0.00%             | 2036-11-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A      | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122845 | PA      | $86371.32      | 0.01%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3      | CUSIP: 23242GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266373 | PA      | $208386.34     | 0.02%             | 2046-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK3399 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3X48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17471 | PA      | $16980.08      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21      | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     421155 | PA      | $146571.54     | 0.01%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8736 FN 01/49 FIXED 4.5                    | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     637922 | PA      | $628897.62     | 0.05%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05335 FG 03/39 FIXED 5              | CUSIP: 3128M7HL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     403521 | PA      | $414367.33     | 0.04%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A34515 FG 04/35 FIXED 4.5            | CUSIP: 31297QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1333 | PA      | $1344.81       | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357850 FN 07/35 FIXED 5.5                    | CUSIP: 31376KQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126402 | PA      | $131375.46     | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 787022 FN 06/34 FIXED 5.5                    | CUSIP: 31405ELB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        221 | PA      | $223.37        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G07165 FG 12/41 FIXED 4.5            | CUSIP: 3128M9JJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1250921 | PA      | $1259593.89    | 0.11%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1         | CUSIP: 05946XXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180090 | PA      | $169364.56     | 0.01%             | 2035-05-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555281 FN 03/33 FIXED VAR                    | CUSIP: 31385W2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6267 | PA      | $6483.73       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1      | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24541 | PA      | $21220.07      | 0.00%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944606 FN 07/37 FIXED 5.5                    | CUSIP: 31413F3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2089 | PA      | $2168.27       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782508 GN 12/38 FIXED 5.5                    | CUSIP: 36241KYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18151 | PA      | $19037.99      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781936 GN 06/35 FIXED 4.5                    | CUSIP: 36241KEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2908 | PA      | $2914.17       | 0.00%             | 2035-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810769 FN 01/35 FIXED 6                      | CUSIP: 31406HW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11040 | PA      | $11445.45      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9140 G2 01/48 FIXED 3.5                 | CUSIP: 3617BREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1889699 | PA      | $1748214.85    | 0.15%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782690 GN 06/39 FIXED 5                      | CUSIP: 36241K7B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     247307 | PA      | $253769.82     | 0.02%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-1                                      | VENDEE MORTGAGE TRUST VENDE 2000 1 1A                  | CUSIP: 911760NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48374 | PA      | $49667.58      | 0.00%             | 2030-01-15      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 665647 FN 10/32 FIXED 6.5                    | CUSIP: 31391FP85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1283 | PA      | $1325.16       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-5A                                          | CIFC FUNDING LTD CIFC 2017 5A AR 144A                  | CUSIP: 12551MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5016388.70    | 0.43%             | 2037-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $797740.90     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256789 FN 06/27 FIXED 6.5                    | CUSIP: 31371NF67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4936 | PA      | $5094.42       | 0.00%             | 2027-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535126 FN 12/28 FIXED VAR                    | CUSIP: 31384VPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8055 | PA      | $8236.92       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-NC1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1        | CUSIP: 04542BAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94957 | PA      | $96714.57      | 0.01%             | 2032-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4821                                           | FREDDIE MAC FHR 4821 FL                                | CUSIP: 3137FHED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     954759 | PA      | $923463.33     | 0.08%             | 2048-06-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                                  | FREDDIE MAC FHR 2178 PI                                | CUSIP: 3133TLUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $41.63         | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4645 FN 10/38 FIXED VAR                    | CUSIP: 3140J9ET4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200180 | PA      | $188876.98     | 0.02%             | 2038-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BA4544 FN 11/35 FIXED 4                      | CUSIP: 3140E9BN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1699207 | PA      | $1686417.87    | 0.14%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A    | CUSIP: 126671ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672610 | PA      | $688773.67     | 0.06%             | 2032-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                   | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262704 | PA      | $249399.51     | 0.02%             | 2037-11-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080058 G2 04/27 FLOATING VAR              | CUSIP: 36225CB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1460 | PA      | $1464.51       | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0715 FN 12/40 FIXED VAR                    | CUSIP: 31419AYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4019493 | PA      | $3923953.47    | 0.34%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1      | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106258 | PA      | $95522.51      | 0.01%             | 2036-01-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948564 FN 08/38 FIXED 6.5                    | CUSIP: 31413LJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74460 | PA      | $78010.56      | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI6880 GN 01/45 FIXED 3                      | CUSIP: 36198TUD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132909 | PA      | $119694.02     | 0.01%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 410987 GN 02/39 FIXED 5.5                    | CUSIP: 36206GRG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5212 | PA      | $5399.18       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0706B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $9424111.23    | 0.81%             | 2054-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7102 FN 11/32 FIXED 4.5                    | CUSIP: 3140LH3L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $7082165.93    | 0.61%             | 2032-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710683 GN 07/39 FIXED 4.5                    | CUSIP: 36297FRC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14170 | PA      | $14156.76      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI8341 FN 07/26 FIXED 4                      | CUSIP: 3138ANHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.26          | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937612 FN 06/37 FIXED 6                      | CUSIP: 31412XDR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241699 | PA      | $254836.37     | 0.02%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080384 G2 03/30 FLOATING VAR              | CUSIP: 36225CNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24223 | PA      | $24339.83      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A24611 FG 06/34 FIXED 4.5            | CUSIP: 31297CDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $412.07        | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01304 FG 06/41 FIXED 5              | CUSIP: 3132GENV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106442 | PA      | $109196.96     | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-RM1                                      | ACE SECURITIES CORP. ACE 2004 RM1 M1                   | CUSIP: 004421FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66798 | PA      | $65988.00      | 0.01%             | 2034-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5034 FN 12/33 FIXED VAR                    | CUSIP: 3140J9SY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1590806 | PA      | $1590366.76    | 0.14%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05120 FG 12/38 FIXED 5.5            | CUSIP: 3128M7AV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121952 | PA      | $126512.52     | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 877155 G2 05/30 FLOATING VAR              | CUSIP: 36208AMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15384 | PA      | $15539.30      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3         | CUSIP: 542514HV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24154 | PA      | $21821.97      | 0.00%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4              | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     758963 | PA      | $730788.29     | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04503 FG 11/35 FIXED 5.5            | CUSIP: 3128M6KQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17570 | PA      | $18312.08      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11889 | PA      | $11449.94      | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902851 FN 12/36 FIXED 6.5                    | CUSIP: 31411BBU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71372 | PA      | $74673.02      | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 780123 FN 05/34 FIXED 5.5                    | CUSIP: 31404VVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27491 | PA      | $28468.50      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701993 GN 02/39 FIXED 4.5                    | CUSIP: 36296U3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1194 | PA      | $1193.75       | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN5883 FN 03/49 FIXED 5                      | CUSIP: 3140JNRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200858 | PA      | $201973.09     | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005282 G2 01/42 FIXED 5                   | CUSIP: 36202F2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1167890 | PA      | $1198761.88    | 0.10%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886048 FN 07/36 FIXED 6                      | CUSIP: 31410DL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12389 | PA      | $13022.28      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5989 FN 11/48 FLOATING VAR                 | CUSIP: 3140JAUP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     412288 | PA      | $425895.03     | 0.04%             | 2048-11-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889992 FN 06/38 FIXED VAR                    | CUSIP: 31410KXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20461 | PA      | $21276.31      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04222 FG 04/38 FIXED 5.5            | CUSIP: 3128M6AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25794 | PA      | $26874.61      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A         | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1704 | PA      | $1721.52       | 0.00%             | 2034-03-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904015 FN 01/37 FIXED 6                      | CUSIP: 31411CK42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5184 | PA      | $5383.57       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01242 FG 06/41 FIXED 5.5            | CUSIP: 3132GELX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18359 | PA      | $18763.36      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900135 FN 09/36 FIXED 6.5                    | CUSIP: 31410XBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9931 | PA      | $10406.62      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03122 FG 07/37 FIXED 5.5            | CUSIP: 3128M4YT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7481 | PA      | $7796.90       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A43941 FG 03/36 FIXED 5.5            | CUSIP: 3128K4LW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14353 | PA      | $14959.11      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35938 FG 07/35 FIXED 5              | CUSIP: 31297RS32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29537 | PA      | $29669.26      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 891565 G2 01/59 FLOATING VAR              | CUSIP: 36208A2R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8931 | PA      | $9004.49       | 0.00%             | 2059-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5831 G2 07/47 FIXED 3.5                 | CUSIP: 3617AJPQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     450956 | PA      | $417189.32     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2893 G2 06/48 FIXED 4                   | CUSIP: 3617G9GA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97236 | PA      | $91998.78      | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.14500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $420856.11     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A45408 FG 06/35 FIXED 6.5            | CUSIP: 3128K6AH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2437 | PA      | $2518.33       | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A       | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72277 | PA      | $72069.12      | 0.01%             | 2045-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2       | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33080 | PA      | $14605.92      | 0.00%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933505 FN 02/38 FIXED 6                      | CUSIP: 31412SR23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50336 | PA      | $51999.74      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.45250 03/08/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $139479.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735501 FN 05/35 FIXED VAR                    | CUSIP: 31402RDE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127836 | PA      | $134612.68     | 0.01%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002412 G2 04/27 FIXED 7                   | CUSIP: 36202CVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $161.04        | 0.00%             | 2027-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659684 GN 10/36 FIXED 6.5                    | CUSIP: 36294T2R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16841 | PA      | $17841.08      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670978 GN 11/37 FIXED 6.5                    | CUSIP: 36295HM31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28443 | PA      | $29617.47      | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0900 FN 07/43 FIXED VAR                    | CUSIP: 3140XGAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9788430 | PA      | $9298504.07    | 0.80%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                   | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1             | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388849 | PA      | $197979.34     | 0.02%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA         | CUSIP: 38379FDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402539 | PA      | $18221.63      | 0.00%             | 2042-06-20      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01798 FG 12/32 FIXED 5.5            | CUSIP: 31283H7K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1883 | PA      | $1949.29       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G96-3                                                  | FANNIE MAE FNR G96 3 Z                                 | CUSIP: 31359KV87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16900 | PA      | $16995.40      | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00835 FG 07/29 FIXED 6.5            | CUSIP: 31292G4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $132.36        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA3699 GN 08/42 FIXED 3.5                    | CUSIP: 36178BDC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     236598 | PA      | $221306.09     | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080115 G2 09/27 FLOATING VAR              | CUSIP: 36225CDV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1558.52       | 0.00%             | 2027-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ7035 G2 04/47 FIXED 3.5                 | CUSIP: 36197KY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     353535 | PA      | $327071.04     | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92666 FG 06/40 FIXED 5.5            | CUSIP: 3129406B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22065 | PA      | $22770.70      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698649 GN 11/38 FIXED 6                      | CUSIP: 36296REW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7698 | PA      | $7959.36       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD2154 FN 05/40 FIXED 5                      | CUSIP: 31418PMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107637 | PA      | $108910.55     | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4826 FN 02/48 FIXED 3.5                    | CUSIP: 3140H6LG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     755200 | PA      | $699386.52     | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005307 G2 02/42 FIXED 5                   | CUSIP: 36202F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90848 | PA      | $93248.96      | 0.01%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929896 FN 09/38 FIXED 6.5                    | CUSIP: 31412NC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93716 | PA      | $97948.65      | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1          | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46280 | PA      | $46876.77      | 0.00%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| UCFC MANU HOUSING 1996-1                                          | UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M          | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      25545 | PA      | $25044.11      | 0.00%             | 2028-01-15      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04216 FG 12/37 FIXED 5.5            | CUSIP: 3128M6AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21899 | PA      | $22823.83      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-15                                                | FANNIE MAE FNR 2001 15 Z                               | CUSIP: 31359SPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66166 | PA      | $67961.38      | 0.01%             | 2031-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 789552 FH 05/32 FLOATING VAR         | CUSIP: 31295NTH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3955 | PA      | $4010.64       | 0.00%             | 2032-05-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A15829 FG 11/33 FIXED 5.5            | CUSIP: 31296QPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        330 | PA      | $338.14        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357515 FN 03/34 FIXED 5.5                    | CUSIP: 31376KDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4892 | PA      | $4962.78       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8724 FN 07/33 FIXED 4.63                   | CUSIP: 3140LKVS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3452435 | PA      | $3497537.85    | 0.30%             | 2033-07-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0022 FN 04/29 FIXED 4.5                    | CUSIP: 31417YAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4648 | PA      | $4668.40       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750711 FN 10/33 FIXED 6.5                    | CUSIP: 31403KAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5910 | PA      | $6156.99       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-56                                                | FANNIE MAE FNR 2001 56 KZ                              | CUSIP: 313921FR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76993 | PA      | $79657.75      | 0.01%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809360 FN 02/35 FIXED 5.5                    | CUSIP: 31406GE96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14103 | PA      | $14635.94      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02683 FG 02/37 FIXED 6.5            | CUSIP: 3128M4J46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10136 | PA      | $10551.50      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 819570 FN 04/35 FIXED 6                      | CUSIP: 31406TQX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71586 | PA      | $73316.45      | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008847 G2 04/26 FLOATING VAR              | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $84.78         | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A           | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141081 | PA      | $129057.21     | 0.01%             | 2033-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4265                                           | FREDDIE MAC FHR 4265 LS                                | CUSIP: 3137B5RV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3250941 | PA      | $3029383.88    | 0.26%             | 2035-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 389785 GN 12/32 FIXED 5.5                    | CUSIP: 36205F6W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11146 | PA      | $11561.02      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 759477 FN 02/34 FIXED 5.5                    | CUSIP: 31403VXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4638 | PA      | $4710.88       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 739755 FN 01/34 FIXED 5.5                    | CUSIP: 31402VZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51274 | PA      | $52384.51      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A11990 FG 08/33 FIXED 5              | CUSIP: 31296LF71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $131.29        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-35                                                | FANNIE MAE FNR 2001 35 ZG                              | CUSIP: 313920SU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77192 | PA      | $80049.95      | 0.01%             | 2031-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-57                                         | FANNIE MAE FNR 2016 57 FN                              | CUSIP: 3136ATEK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     656540 | PA      | $647722.73     | 0.06%             | 2046-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  283000000 | PA      | $248630425.42  | 21.29%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4825                                           | FREDDIE MAC FHR 4825 NI                                | CUSIP: 3137FH6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     835351 | PA      | $137862.36     | 0.01%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                             | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A        | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32180 | PA      | $13662.83      | 0.00%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5              | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17172 | PA      | $17113.97      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB6642 FR 12/50 FIXED 1.5            | CUSIP: 3133ADLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99580 | PA      | $76900.89      | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH4090 FN 02/26 FIXED 3.5                    | CUSIP: 3138A5RL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1772 | PA      | $1764.33       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 509444 GN 12/29 FIXED 8.5                    | CUSIP: 36211C5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $375.96        | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0626B2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -226700000 | PA      | $-234436334.73 | -20.07%           | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781964 FN 06/34 FIXED 5.5                    | CUSIP: 31404XWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1871 | PA      | $1936.94       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3485 G2 08/47 FIXED 3.5                 | CUSIP: 3617AT2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     568725 | PA      | $526138.77     | 0.05%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080109 G2 08/27 FLOATING VAR              | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        660 | PA      | $662.79        | 0.00%             | 2027-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03240 FG 05/37 FIXED 5.5            | CUSIP: 3128M44Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2711 | PA      | $2825.48       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782365 GN 07/38 FIXED 6                      | CUSIP: 36241KTW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13938 | PA      | $14692.84      | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5069 G2 03/48 FIXED 4.5                 | CUSIP: 36179TT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14412 | PA      | $14088.54      | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9605 FR 04/52 FIXED 3              | CUSIP: 3133B7U63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234792 | PA      | $208278.68     | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-36                                                | FANNIE MAE FNR 2000 36 F                               | CUSIP: 31358SVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12420 | PA      | $12392.65      | 0.00%             | 2030-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 389782 GN 12/32 FIXED 5.5                    | CUSIP: 36205F6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1719 | PA      | $1750.49       | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 920169 FN 09/36 FIXED 6.5                    | CUSIP: 31412BJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14562 | PA      | $15260.71      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A86492 FG 05/39 FIXED 4.5            | CUSIP: 312933F90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9836 | PA      | $9916.57       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847709 FH 07/35 FLOATING VAR         | CUSIP: 3128JRR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67020 | PA      | $68828.26      | 0.01%             | 2035-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545980 FN 06/32 FLOATING VAR                 | CUSIP: 31385JQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12245 | PA      | $12501.80      | 0.00%             | 2032-06-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080114 G2 09/27 FLOATING VAR              | CUSIP: 36225CDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $136.42        | 0.00%             | 2027-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832562 FN 09/35 FLOATING VAR                 | CUSIP: 31407J5X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27904 | PA      | $28530.86      | 0.00%             | 2035-09-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                               | GSAMP TRUST GSAMP 2006 S6 A1B                          | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7471562 | PA      | $34790.58      | 0.00%             | 2036-10-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004083 G2 02/38 FIXED 5                   | CUSIP: 36202ERC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5069 | PA      | $5189.60       | 0.00%             | 2038-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254478 FN 10/32 FIXED 6                      | CUSIP: 31371KUB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3786 | PA      | $3911.00       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01841 FG 06/35 FIXED 5.5            | CUSIP: 3128LXBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12495 | PA      | $12981.17      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                 | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11167367 | PA      | $10246694.04   | 0.88%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080171 G2 02/28 FLOATING VAR              | CUSIP: 36225CFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $230.04        | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771910 FN 04/34 FIXED 5.5                    | CUSIP: 31404LR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4349 | PA      | $4386.90       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1        | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318129 | PA      | $124573.11     | 0.01%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779067 GN 04/42 FIXED 3.5                    | CUSIP: 36176XJL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28144 | PA      | $26324.98      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC2375 FN 10/38 FIXED 6.5                    | CUSIP: 31417LT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45268 | PA      | $47435.90      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 481483 FN 02/29 FIXED 6                      | CUSIP: 31382F2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $186.37        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5667 G2 06/48 FIXED 4                   | CUSIP: 3617GQJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     486547 | PA      | $472971.93     | 0.04%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531298 GN 08/30 FIXED 8.5                    | CUSIP: 36212EGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $230.81        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 708330 GN 02/39 FIXED 5.5                    | CUSIP: 36297C4P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4574 | PA      | $4739.43       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 811773 FN 01/35 FIXED 5.5                    | CUSIP: 31406J2E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5215 | PA      | $5428.33       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                               | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1          | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77461 | PA      | $44151.62      | 0.00%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831952 FN 11/36 FIXED 6.5                    | CUSIP: 31407JH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10147 | PA      | $10616.20      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4362 FN 11/32 FIXED 2                      | CUSIP: 3140H5Z46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100298 | PA      | $93829.14      | 0.01%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080526 G2 07/31 FLOATING VAR              | CUSIP: 36225CSQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7105 | PA      | $7126.24       | 0.00%             | 2031-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23913 | PA      | $23057.61      | 0.00%             | 2034-10-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03614 FG 05/37 FIXED 5.5            | CUSIP: 3128M5K33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46575 | PA      | $48506.71      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3621                                           | FREDDIE MAC FHR 3621 WI                                | CUSIP: 31398W2S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     250512 | PA      | $14026.25      | 0.00%             | 2037-05-15      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH3643 FN 06/47 FIXED 5                      | CUSIP: 3140GSBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124075 | PA      | $124380.03     | 0.01%             | 2047-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $7152207.44    | 0.61%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA7886 GN 05/47 FIXED 4                      | CUSIP: 3617ALXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199201 | PA      | $190046.02     | 0.02%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3046 FN 03/52 FIXED 2.5                    | CUSIP: 3140QNL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652405 | PA      | $556316.06     | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-581732.71    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 898809 FN 11/36 FIXED 6                      | CUSIP: 31410VR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2606 | PA      | $2739.30       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5041971.10    | 0.43%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 808202 FN 01/35 FIXED 5.5                    | CUSIP: 31406E3K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15798 | PA      | $16342.79      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-28                                         | FANNIE MAE FNR 2018 28 CA                              | CUSIP: 3136B1P32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227318 | PA      | $204030.96     | 0.02%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 557521 GN 07/31 FIXED 6.5                    | CUSIP: 36213LLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $55.82         | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841978 FN 03/35 FLOATING VAR                 | CUSIP: 31407VM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23763 | PA      | $23437.33      | 0.00%             | 2035-03-01      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2894 G2 06/45 FIXED 4.5                 | CUSIP: 36179RGB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39223 | PA      | $38951.99      | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE3307 GN 10/46 FIXED 2.5                    | CUSIP: 36180VU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     310912 | PA      | $269746.56     | 0.02%             | 2046-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                   | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1               | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203224 | PA      | $182497.67     | 0.02%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1        | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4079 | PA      | $3542.52       | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 823498 FN 05/35 FIXED 6                      | CUSIP: 31406X3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10687 | PA      | $11007.76      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30450 FG 01/29 FIXED 6              | CUSIP: 3128CUQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        570 | PA      | $582.46        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 631530 GN 07/34 FIXED 5                      | CUSIP: 36291LST3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1094 | PA      | $1112.84       | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02188 FG 06/36 FIXED 5              | CUSIP: 3128LXND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12933 | PA      | $13269.63      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 703036 GN 07/39 FIXED 4.5                    | CUSIP: 36296WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     692483 | PA      | $700806.80     | 0.06%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781029 GN 05/29 FIXED 6.5                    | CUSIP: 36225BEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23265 | PA      | $23960.34      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A      | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57189 | PA      | $53313.99      | 0.00%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 223535 FN 12/30 FLOATING VAR                 | CUSIP: 31369XHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11179 | PA      | $11290.47      | 0.00%             | 2030-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5            | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7823 | PA      | $8128.23       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0462 FN 02/37 FIXED 6                      | CUSIP: 31416VQQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64719 | PA      | $67133.21      | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735642 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108499 | PA      | $108630.76     | 0.01%             | 2042-08-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802071 FN 10/34 FIXED 5.5                    | CUSIP: 31405XCG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9184 | PA      | $9527.85       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU9994 FN 10/43 FIXED 4                      | CUSIP: 3138XAC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203849 | PA      | $197948.11     | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35745 FG 06/35 FIXED 5.5            | CUSIP: 31297RL21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43883 | PA      | $44399.68      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-6                             | TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A          | CUSIP: 87222PAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     845175 | PA      | $188888.18     | 0.02%             | 2037-01-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08192 FG 04/37 FIXED 5.5            | CUSIP: 3128MJGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7276 | PA      | $7583.27       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782976 GN 03/39 FIXED 5.5                    | CUSIP: 36241LJV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10085 | PA      | $10511.59      | 0.00%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9982 FN 10/45 FIXED VAR                    | CUSIP: 3138ESCU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191058 | PA      | $195765.24     | 0.02%             | 2045-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0698 G2 01/43 FIXED 3                   | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2163686 | PA      | $1993675.54    | 0.17%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 674999 GN 12/37 FIXED 6                      | CUSIP: 36295M3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6890 | PA      | $7239.50       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 481627 GN 08/29 FIXED 7.5                    | CUSIP: 36209UA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $646.28        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 610920 FH 06/28 FLOATING VAR         | CUSIP: 31337NAV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $664.07        | 0.00%             | 2028-06-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1138 GN 08/47 FIXED 4                      | CUSIP: 3617B4HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293472 | PA      | $279982.94     | 0.02%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683112 FN 02/33 FIXED 5.5                    | CUSIP: 31400B3V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2991 | PA      | $3085.07       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5            | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     279078 | PA      | $286759.19     | 0.02%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080085 G2 06/27 FLOATING VAR              | CUSIP: 36225CCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1118 | PA      | $1122.32       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                            | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A          | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53630 | PA      | $53362.66      | 0.00%             | 2031-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                     | ARGENT SECURITIES INC. ARSI 2005 W2 M1                 | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540157 | PA      | $536504.33     | 0.05%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783233 GN 07/40 FIXED 5.5                    | CUSIP: 36241LSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144470 | PA      | $150199.83     | 0.01%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1631 FN 09/49 FIXED VAR                    | CUSIP: 3140X4Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3773859 | PA      | $3325183.37    | 0.28%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 496113 FN 04/29 FIXED 6.5                    | CUSIP: 31382YDS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2114 | PA      | $2198.98       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008880 G2 06/26 FLOATING VAR              | CUSIP: 36202K2M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1042.59       | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 669050 GN 05/37 FIXED 6.5                    | CUSIP: 36295FH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3272 | PA      | $3413.53       | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3924                                           | FREDDIE MAC FHR 3924 KI                                | CUSIP: 3137AF6R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76360 | PA      | $731.96        | 0.00%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-84                                         | FANNIE MAE FNR 2014 84 AI                              | CUSIP: 3136AL2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1549688 | PA      | $9935.21       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922005 FN 12/36 FIXED 6                      | CUSIP: 31412DKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125791 | PA      | $131222.12     | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 641967 GN 04/36 FIXED 5.5                    | CUSIP: 36291YFG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1916 | PA      | $1985.37       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004979 G2 03/41 FIXED 5                   | CUSIP: 36202FQ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400565 | PA      | $410416.26     | 0.04%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5675 G2 07/48 FIXED 4                   | CUSIP: 3617GQJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     334406 | PA      | $325077.07     | 0.03%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080059 G2 04/27 FLOATING VAR              | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $415.51        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806506 FN 10/44 FLOATING VAR                 | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38955 | PA      | $39437.47      | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02360 FG 10/36 FIXED 5.5            | CUSIP: 3128LXTR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2567 | PA      | $2667.69       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.36750 11/28/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $92834.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003747 G2 08/35 FIXED 5                   | CUSIP: 36202EEU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7345 | PA      | $7493.67       | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680222 GN 01/38 FIXED 6                      | CUSIP: 36295TVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3138 | PA      | $3267.11       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                                | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A        | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6066 | PA      | $5833.91       | 0.00%             | 2029-09-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                    | FREMONT HOME LOAN TRUST FHLT 2006 B 2A4                | CUSIP: 35729QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5741731 | PA      | $1792697.72    | 0.15%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS8509 FN 12/46 FIXED 3                      | CUSIP: 3138WJN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4885716 | PA      | $4451575.48    | 0.38%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                      | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2978561 | PA      | $2623249.39    | 0.22%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256946 FN 10/27 FIXED 6.5                    | CUSIP: 31371NL37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12296 | PA      | $12692.84      | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06385 FG 08/40 FIXED 5.5            | CUSIP: 3128M8NA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17273 | PA      | $17925.87      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ8592 GN 04/47 FIXED 4                      | CUSIP: 36197MRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300453 | PA      | $286644.17     | 0.02%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3638 FN 08/44 FIXED VAR                    | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1372745 | PA      | $1337004.00    | 0.11%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479529 GN 08/30 FIXED 8.5                    | CUSIP: 36209RVW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5201 | PA      | $5299.54       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08314 FG 01/39 FIXED 5.5            | CUSIP: 3128MJK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83992 | PA      | $87133.44      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9048 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1178105 | PA      | $1089886.98    | 0.09%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617153 GN 07/36 FIXED 6.5                    | CUSIP: 36290TTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $500.70        | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81280 FG 08/38 FIXED 5              | CUSIP: 312927M52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5990 | PA      | $5977.69       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820058 FN 05/35 FIXED 6                      | CUSIP: 31406UB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8788 | PA      | $9066.70       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 757772 FN 10/34 FIXED 5.5                    | CUSIP: 31403T2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6349 | PA      | $6455.31       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ8426 G2 03/47 FIXED 3.5                 | CUSIP: 36197MLF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     443383 | PA      | $410191.34     | 0.04%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719769 GN 02/40 FIXED 6                      | CUSIP: 3620A5T25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2300 | PA      | $2371.00       | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617859 GN 12/37 FIXED 6.5                    | CUSIP: 36290UMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6613 | PA      | $7143.88       | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01974 FG 12/35 FIXED 5              | CUSIP: 3128LXFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39382 | PA      | $40406.63      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1       | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56871 | PA      | $21652.14      | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A64391 FG 08/37 FIXED 6              | CUSIP: 3128KU2Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $559.52        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN2458 FR 12/33 FIXED 3.5            | CUSIP: 3131Y8WT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13813 | PA      | $13563.31      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555272 FN 03/33 FIXED VAR                    | CUSIP: 31385W2D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7543 | PA      | $7801.23       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003829 G2 03/36 FIXED 5                   | CUSIP: 36202EHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36577 | PA      | $37406.51      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357844 FN 07/35 FIXED 6                      | CUSIP: 31376KP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31459 | PA      | $33020.71      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2903 FN 02/32 FIXED 3                      | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162774 | PA      | $158842.78     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899495 FN 05/37 FIXED 6                      | CUSIP: 31410WKG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64513 | PA      | $66883.07      | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U63001 FG 07/43 FIXED 3              | CUSIP: 3132JRKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     870130 | PA      | $795663.81     | 0.07%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX4793 G2 03/47 FIXED 3.5                 | CUSIP: 36196GKE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150890 | PA      | $139591.66     | 0.01%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782932 GN 04/40 FIXED 5                      | CUSIP: 36241LHH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155115 | PA      | $159052.76     | 0.01%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A78296 FG 06/38 FIXED 5              | CUSIP: 3128LCGD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41188 | PA      | $41330.18      | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4029 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     536797 | PA      | $496606.57     | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL1137 GN 01/45 FIXED 3.5                    | CUSIP: 36183WHN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36144 | PA      | $33807.92      | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008927 G2 07/26 FLOATING VAR              | CUSIP: 36202K4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $543.15        | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0025 G2 04/42 FIXED 5                   | CUSIP: 36179MA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3818 | PA      | $3918.72       | 0.00%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779022 FN 06/34 FIXED 5.5                    | CUSIP: 31404UPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9920 | PA      | $10010.00      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX3410 G2 03/47 FIXED 3.5                 | CUSIP: 36196EYF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9180 | PA      | $8492.69       | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                  | FREDDIE MAC FHR 2411 FJ                                | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16953 | PA      | $16906.06      | 0.00%             | 2029-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0514 FN 09/38 FIXED 6.5                    | CUSIP: 31416VSC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82251 | PA      | $87487.20      | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 BF                              | CUSIP: 31396XXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1173594 | PA      | $1175206.91    | 0.10%             | 2037-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782131 GN 12/36 FIXED 5.5                    | CUSIP: 36241KLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5903 | PA      | $6132.54       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTG CORP LOAN TRUST 2002-HE1                               | GMAC MORTGAGE CORPORATION LOAN GMACM 2002 HE1 A2       | CUSIP: 361856BU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3952 | PA      | $3453.97       | 0.00%             | 2029-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782150 GN 04/37 FIXED 5.5                    | CUSIP: 36241KL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21723 | PA      | $22462.79      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG3914 G2 05/48 FIXED 3.5                 | CUSIP: 3617GNK33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     353159 | PA      | $326711.58     | 0.03%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0424A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1498255.80    | 0.13%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0810 FN 06/51 FIXED 1.5                    | CUSIP: 3140QK3U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117922 | PA      | $90975.76      | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 456276 FN 12/28 FIXED 6                      | CUSIP: 31381B2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $67.01         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04531 FG 01/38 FIXED 5.5            | CUSIP: 3128M6LL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12030 | PA      | $12495.93      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080185 G2 04/28 FLOATING VAR              | CUSIP: 36225CF35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $2022.13       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8329 G2 08/47 FIXED 3.5                 | CUSIP: 3617B0HE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598224 | PA      | $553422.72     | 0.05%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929836 FN 08/38 FIXED 6                      | CUSIP: 31412NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4924 | PA      | $5185.55       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI         | CUSIP: 38376T6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     634056 | PA      | $28345.49      | 0.00%             | 2045-09-20      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                           | FREDDIE MAC FHR 4989 FB                                | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2015665 | PA      | $1988343.19    | 0.17%             | 2040-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4632 FN 06/42 FIXED 3                      | CUSIP: 31418EEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     584277 | PA      | $537555.04     | 0.05%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 846597 FN 12/35 FIXED 6.5                    | CUSIP: 31408BRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1427 | PA      | $1472.51       | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20E                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20E 1          | CUSIP: 83162CRU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     271206 | PA      | $274531.07     | 0.02%             | 2028-05-01      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683288 FN 02/33 FIXED 5.5                    | CUSIP: 31400CCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        413 | PA      | $426.37        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 798815 FN 12/34 FIXED 5.5                    | CUSIP: 31405TN81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $167.07        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2833 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     678077 | PA      | $683708.63     | 0.06%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                 | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1            | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90652 | PA      | $58106.28      | 0.00%             | 2045-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.18500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2220670.83   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30607 FG 09/32 FIXED 3.5            | CUSIP: 3128CUU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     905238 | PA      | $890278.10     | 0.08%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0382 FN 04/30 FIXED 4                      | CUSIP: 31417YM87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $554.21        | 0.00%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 757021 FN 04/34 FIXED 5.5                    | CUSIP: 31403TAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15110 | PA      | $15658.61      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655348 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2099 | PA      | $2208.21       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC5222 G2 09/47 FIXED 3.5                 | CUSIP: 3617B8YT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     432905 | PA      | $400495.45     | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A60612 FG 05/37 FIXED 5.5            | CUSIP: 3128KQVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5680 | PA      | $5901.76       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03458 FG 02/40 FIXED 5              | CUSIP: 31292KZX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42485 | PA      | $43584.07      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04399 FG 07/38 FIXED 5.5            | CUSIP: 3128M6GG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8836 | PA      | $9177.45       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04628 FG 05/33 FIXED 6              | CUSIP: 3128M6PM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6262 | PA      | $6504.58       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56000 04/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $122531.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008830 G2 03/26 FLOATING VAR              | CUSIP: 36202KY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1395 | PA      | $1394.33       | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                         | FANNIE MAE FNR 2016 76 CS                              | CUSIP: 3136ATY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170784 | PA      | $7535.63       | 0.00%             | 2046-10-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH4551 FN 02/26 FIXED 3.5                    | CUSIP: 3138A6BV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5073 | PA      | $5050.35       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 472978 GN 06/29 FIXED 6.5                    | CUSIP: 36209JM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        744 | PA      | $755.62        | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 867653 FN 05/36 FIXED 6                      | CUSIP: 31409C5N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4689 | PA      | $4858.90       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        570 | PA      | $576.77        | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323397 FN 11/28 FIXED VAR                    | CUSIP: 31374TGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $55.24         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906472 FN 01/37 FIXED 6                      | CUSIP: 31411FCH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13260 | PA      | $13831.84      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC9901 G2 11/47 FIXED 3.5                 | CUSIP: 3617BEAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     591373 | PA      | $547099.82     | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2301 FN 12/51 FIXED 3                      | CUSIP: 3140QMRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3730790 | PA      | $3285492.82    | 0.28%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0940 FR 03/52 FIXED 3              | CUSIP: 3132DNBH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     448079 | PA      | $397483.79     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93156 FG 07/40 FIXED 5              | CUSIP: 312941QH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40755 | PA      | $41156.02      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 739739 FN 12/33 FIXED 5.5                    | CUSIP: 31402VZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $57.65         | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX9643 FN 04/30 FIXED 2                      | CUSIP: 3138YBWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52006 | PA      | $49993.97      | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918407 FN 05/37 FIXED 6                      | CUSIP: 31411YKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61260 | PA      | $63776.63      | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4434 FN 06/48 FIXED VAR                    | CUSIP: 3140J84U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     744774 | PA      | $754889.77     | 0.06%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A88843 FG 11/37 FIXED 5.5            | CUSIP: 312935ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8357 | PA      | $8709.77       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479099 GN 01/30 FIXED 8.5                    | CUSIP: 36209RGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        750 | PA      | $752.35        | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878534 FN 02/36 FIXED 6                      | CUSIP: 31409UBB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15921 | PA      | $16496.97      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 6                                          | SEQUOIA MORTGAGE TRUST SEMT 6 A                        | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2329 | PA      | $2306.80       | 0.00%             | 2027-04-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0600 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3UZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     497221 | PA      | $460003.48     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663771 GN 01/37 FIXED 6.5                    | CUSIP: 36294YMU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5004 | PA      | $5210.96       | 0.00%             | 2037-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM0076 FN 03/50 FIXED VAR                    | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3134610 | PA      | $2801653.15    | 0.24%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3666 FN 06/43 FIXED VAR                    | CUSIP: 3138ELCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95158 | PA      | $92590.44      | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 704664 FN 04/33 FIXED 5.5                    | CUSIP: 31401CZ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5579 | PA      | $5629.80       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91255 FG 06/29 FIXED 4              | CUSIP: 3128P7MC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5794 | PA      | $5772.44       | 0.00%             | 2029-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A62249 FG 06/37 FIXED 5.5            | CUSIP: 3128KSQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4807 | PA      | $4917.48       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080706 G2 07/33 FLOATING VAR              | CUSIP: 36225CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233333 | PA      | $235082.49     | 0.02%             | 2033-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08448 FG 05/41 FIXED 5              | CUSIP: 3128MJQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26139 | PA      | $26815.21      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3432 FN 02/48 FIXED 3.5                    | CUSIP: 3140H4Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73135 | PA      | $67518.54      | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14258 FG 09/33 FIXED 5.5            | CUSIP: 31296NWT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4803 | PA      | $4850.81       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW6509 FN 06/44 FIXED 4.5                    | CUSIP: 3138XWGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157370 | PA      | $155967.52     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                        | FANNIE MAE FNR 2012 111 HS                             | CUSIP: 3136A9HB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     329739 | PA      | $227716.88     | 0.02%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5064 GN 03/45 FIXED 3                      | CUSIP: 36184BTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48034 | PA      | $43257.23      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 634253 FN 03/32 FIXED 6.5                    | CUSIP: 31389STJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7455 | PA      | $7696.96       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 868993 FN 05/36 FLOATING VAR                 | CUSIP: 31409ENJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8021 | PA      | $8276.53       | 0.00%             | 2036-05-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1885                                                  | FREDDIE MAC FHR 1885 FA                                | CUSIP: 3133T83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1099 | PA      | $1098.60       | 0.00%             | 2026-09-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                            | FREDDIEMAC STRIP FHS 330 F4                            | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     448051 | PA      | $442894.39     | 0.04%             | 2037-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05283 FG 01/39 FIXED 5.5            | CUSIP: 3128M7FY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4278 | PA      | $4448.19       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2        | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82380 | PA      | $82002.25      | 0.01%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30393 FG 05/28 FIXED 6              | CUSIP: 3128CUNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3015 | PA      | $3082.28       | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69653 FG 12/37 FIXED 5.5            | CUSIP: 3128L1WN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46206 | PA      | $47952.66      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700829 GN 10/38 FIXED 5.5                    | CUSIP: 36296TSS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1319 | PA      | $1356.20       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70500 01/10/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $450088.83     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04614 FG 02/34 FIXED 6              | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16323 | PA      | $16931.66      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.19200 11/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $437735.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46280 FG 07/35 FIXED 5              | CUSIP: 3128K66R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137960 | PA      | $141433.41     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 803876 FN 12/34 FIXED 5.5                    | CUSIP: 31406ACM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6824 | PA      | $7081.61       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                                         | FANNIE MAE FNR 2015 50 SB                              | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1364390 | PA      | $79810.66      | 0.01%             | 2045-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8810 FR 03/52 FIXED 3              | CUSIP: 3133B6YF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     579931 | PA      | $510798.16     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848408 FN 12/35 FIXED 6                      | CUSIP: 31408DR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2526 | PA      | $2655.26       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783609 GN 10/40 FIXED 4.5                    | CUSIP: 3622A2AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14986 | PA      | $14944.60      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7579 FN 02/42 FIXED VAR                    | CUSIP: 3138EQM58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70696 | PA      | $73599.85      | 0.01%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080053 G2 03/27 FLOATING VAR              | CUSIP: 36225CBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $279.95        | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA5561 FN 04/50 FIXED 3.5                    | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     770322 | PA      | $715892.48     | 0.06%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3359 FN 04/38 FIXED 3                      | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2522967 | PA      | $2380479.71    | 0.20%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 UO                                | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2564149 | PA      | $1647320.12    | 0.14%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929207 FN 03/38 FIXED 6.5                    | CUSIP: 31412MKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13218 | PA      | $14006.20      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806211 FN 01/35 FIXED 5.5                    | CUSIP: 31406CVC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9624 | PA      | $9869.87       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03112 FG 06/37 FIXED 6.5            | CUSIP: 3128M4YH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8241 | PA      | $8578.17       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA9306 FN 02/51 FIXED 3                      | CUSIP: 3140QHKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11372198 | PA      | $10000992.20   | 0.86%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008949 G2 08/26 FLOATING VAR              | CUSIP: 36202K5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1965 | PA      | $1971.37       | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BE6179 GN 12/47 FIXED 4                      | CUSIP: 3617G02L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55424 | PA      | $52796.82      | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1004 FN 10/43 FIXED 5                      | CUSIP: 3138XCDJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28984 | PA      | $29352.99      | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008848 G2 04/26 FLOATING VAR              | CUSIP: 36202KZM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $447.44        | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946646 FN 09/37 FIXED 6                      | CUSIP: 31413JET7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $576.90        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A              | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1339640 | PA      | $874794.67     | 0.07%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A36258 FG 07/35 FIXED 5              | CUSIP: 31297R5T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73035 | PA      | $74994.84      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686776 GN 06/38 FIXED 6.5                    | CUSIP: 36296B6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9204 | PA      | $9584.08       | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769702 FN 04/34 FIXED 5.5                    | CUSIP: 31404JDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12604 | PA      | $12861.92      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A       | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416876 | PA      | $381744.59     | 0.03%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4213 FN 09/43 FIXED VAR                    | CUSIP: 3138ELVF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1868297 | PA      | $1814610.17    | 0.16%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03073 FG 07/37 FIXED 5.5            | CUSIP: 3128M4XA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8049 | PA      | $8389.33       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4945                                           | FREDDIE MAC FHR 4945 F                                 | CUSIP: 3137FQLE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320136 | PA      | $316945.80     | 0.03%             | 2046-12-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779479 FN 06/34 FIXED 5.5                    | CUSIP: 31404U6Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14145 | PA      | $14284.70      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03696 FG 01/38 FIXED 5.5            | CUSIP: 3128M5NM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $257.17        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782336 GN 05/38 FIXED 6                      | CUSIP: 36241KSZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7659 | PA      | $7977.93       | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $30206862.00   | 2.59%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 390256 FH 07/30 FLOATING VAR         | CUSIP: 31346VH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39709 | PA      | $38890.47      | 0.00%             | 2030-07-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01708 FG 06/41 FIXED 5              | CUSIP: 3132GE3R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13737 | PA      | $13872.19      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 175344 GN 07/29 FIXED 6.5                    | CUSIP: 36216UWD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        755 | PA      | $767.26        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A    | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2761410 | PA      | $2764564.62    | 0.24%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14359 FG 10/33 FIXED 5.5            | CUSIP: 31296NZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9032 | PA      | $9121.17       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080407 G2 05/30 FLOATING VAR              | CUSIP: 36225CNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3865 | PA      | $3859.13       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5            | CUSIP: 3132A9UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1030584 | PA      | $990860.65     | 0.08%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800747 FN 10/34 FIXED 5.5                    | CUSIP: 31405VTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50977 | PA      | $52772.05      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904601 FN 11/36 FIXED 6                      | CUSIP: 31411DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1645 | PA      | $1734.29       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC-1998-62                                          | FANNIE MAE FNR 1998 62 ZD                              | CUSIP: 31359UL86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37418 | PA      | $37218.63      | 0.00%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2       | CUSIP: 39538WHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     448713 | PA      | $400876.83     | 0.03%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO5356 FN 12/49 FIXED 3                      | CUSIP: 3140K05S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1105593 | PA      | $986988.65     | 0.08%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5733 GN 06/45 FIXED 3                      | CUSIP: 36186NLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83460 | PA      | $75161.14      | 0.01%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781001 GN 03/29 FIXED 7.5                    | CUSIP: 36225BDE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $251.25        | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA3975 FN 04/38 FIXED 5.5                    | CUSIP: 31416MMZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15535 | PA      | $15675.50      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700804 GN 10/38 FIXED 5.5                    | CUSIP: 36296TRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88116 | PA      | $90741.15      | 0.01%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 529546 GN 08/30 FIXED 8.5                    | CUSIP: 36212CHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4051 | PA      | $4064.59       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA7937 GN 06/47 FIXED 4                      | CUSIP: 3617ALZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77530 | PA      | $73966.11      | 0.01%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0304A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53675000 | PA      | $51422367.06   | 4.40%             | 2040-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4544                                           | FREDDIE MAC FHR 4544 IP                                | CUSIP: 3137BMQG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3009078 | PA      | $524963.52     | 0.04%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 2A       | CUSIP: 933638AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460383 | PA      | $427673.29     | 0.04%             | 2047-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782416 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21084 | PA      | $22027.67      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782775 GN 10/39 FIXED 6                      | CUSIP: 36241LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7016 | PA      | $7391.24       | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02252 FG 07/36 FIXED 5.5            | CUSIP: 3128LXQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13953 | PA      | $14542.51      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU5019 FN 10/43 FIXED 4                      | CUSIP: 3138X4SH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35232 | PA      | $34332.28      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 768089 GN 06/41 FIXED 4.5                    | CUSIP: 36176KC21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204939 | PA      | $202536.67     | 0.02%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782542 GN 01/39 FIXED 4.5                    | CUSIP: 36241KZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182371 | PA      | $182314.28     | 0.02%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.18000 11/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1477003.84    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 752414 GN 11/40 FIXED 4.5                    | CUSIP: 36230LVF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25653 | PA      | $25317.87      | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 617739 FN 08/32 FIXED 6                      | CUSIP: 31388XHQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3323 | PA      | $3395.29       | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7974 FN 11/33 FIXED 4                      | CUSIP: 3140HM2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2055494 | PA      | $2054926.69    | 0.18%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A1        | CUSIP: 41161PHE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13981 | PA      | $11716.62      | 0.00%             | 2034-11-19      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5            | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6449 | PA      | $6486.67       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM8662 FN 08/51 FIXED VAR                    | CUSIP: 3140XCTU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3299433 | PA      | $2904286.14    | 0.25%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782404 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51937 | PA      | $54425.97      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775474 FN 05/34 FIXED 5.5                    | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18611 | PA      | $19293.75      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE6600 GN 06/43 FIXED 3.5                    | CUSIP: 36181AKM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39198 | PA      | $36618.26      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831936 FN 11/36 FIXED 6                      | CUSIP: 31407JHM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10181 | PA      | $10525.44      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323412 FN 12/28 FIXED VAR                    | CUSIP: 31374TGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        810 | PA      | $839.35        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782407 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212016 | PA      | $222333.16     | 0.02%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4520 | PA      | $4303.23       | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q35988 FG 09/45 FIXED 4              | CUSIP: 3132QSUN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261912 | PA      | $254181.01     | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 871488 FN 04/36 FIXED 6.5                    | CUSIP: 31409HF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $147.22        | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                            | CVS PASS THROUGH TRUST PASS THRU CE 12/28 6.036        | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     467536 | PA      | $477341.24     | 0.04%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2003-SEA                                              | GSAMP TRUST GSAMP 2003 SEA A1                          | CUSIP: 36228FVH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12284 | PA      | $12851.24      | 0.00%             | 2033-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782350 GN 06/38 FIXED 5.5                    | CUSIP: 36241KTF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39107 | PA      | $40889.01      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781987 GN 10/35 FIXED 5.5                    | CUSIP: 36241KF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17622 | PA      | $18307.19      | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784295 G2 03/47 FIXED 3.5                 | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5802176 | PA      | $5353898.00    | 0.46%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716768 GN 04/39 FIXED 5                      | CUSIP: 3620A2JM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30077 | PA      | $30596.90      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04788 FG 09/38 FIXED 5.5            | CUSIP: 3128M6UM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46485 | PA      | $48223.38      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781885 GN 03/35 FIXED 5                      | CUSIP: 36241KCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        432 | PA      | $441.74        | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1       | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38351 | PA      | $31566.22      | 0.00%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5            | CUSIP: 3132A4FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2563 | PA      | $2428.96       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14624 FG 10/33 FIXED 5              | CUSIP: 31296PD58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1379 | PA      | $1401.01       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) DEC25 XCBT 20251231                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      11264 | NC      | $2022481.81    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663884 GN 02/37 FIXED 6                      | CUSIP: 36294YRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5672 | PA      | $5833.54       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-W12                                               | FANNIEMAE WHOLE LOAN FNW 2002 W12 AV1                  | CUSIP: 31392GSR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5576 | PA      | $5489.03       | 0.00%             | 2033-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698386 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     667037 | PA      | $666831.35     | 0.06%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 490213 GN 07/29 FIXED 6.5                    | CUSIP: 36210ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $590.04        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565164 GN 10/33 FIXED 5.5                    | CUSIP: 36213UZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $195.02        | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03498 FG 11/37 FIXED 5.5            | CUSIP: 3128M5GF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2433 | PA      | $2535.57       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2154 G2 03/48 FIXED 4                   | CUSIP: 3617GLMB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254611 | PA      | $247507.68     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782832 GN 12/39 FIXED 5.5                    | CUSIP: 36241LED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1184 | PA      | $1250.01       | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4      | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1935159 | PA      | $1820116.13    | 0.16%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604639 GN 09/33 FIXED 5                      | CUSIP: 36200MV83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1047 | PA      | $1058.66       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0167 FN 02/57 FIXED 3                      | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3938649 | PA      | $3486578.51    | 0.30%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3105 G2 09/45 FIXED 3.5                 | CUSIP: 36179RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1796626 | PA      | $1674902.81    | 0.14%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697489 GN 09/38 FIXED 6                      | CUSIP: 36296P2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1209 | PA      | $1261.37       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765345 FN 06/34 FIXED 5.5                    | CUSIP: 31404DHW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37661 | PA      | $38958.74      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H0426A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12900000 | PA      | $12511892.79   | 1.07%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A83694 FG 12/38 FIXED 5.5            | CUSIP: 312930C73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40916 | PA      | $41322.65      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922919 FN 02/37 FIXED 6                      | CUSIP: 31412EK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124985 | PA      | $127710.13     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008814 G2 02/26 FLOATING VAR              | CUSIP: 36202KYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $341.81        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1      | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3155 | PA      | $3056.08       | 0.00%             | 2033-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775177 FN 05/34 FIXED 5.5                    | CUSIP: 31404QFS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62740 | PA      | $64609.73      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784010 GN 03/45 FIXED 4                      | CUSIP: 3622A2N32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1395326 | PA      | $1360744.78    | 0.12%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765414 FN 08/34 FIXED 6.5                    | CUSIP: 31404DK31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        544 | PA      | $567.11        | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA3718 FN 06/49 FIXED 4                      | CUSIP: 3140QBDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12305825 | PA      | $11809321.41   | 1.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05852 FG 03/39 FIXED 5.5            | CUSIP: 3128M7ZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106674 | PA      | $110663.78     | 0.01%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN0932 FN 12/48 FIXED 4                      | CUSIP: 3140JHBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2181955 | PA      | $2094557.19    | 0.18%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9166 FN 10/51 FIXED VAR                    | CUSIP: 3140XDFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2097692 | PA      | $1846888.32    | 0.16%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A72749 FG 02/38 FIXED 5.5            | CUSIP: 3128L6BS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304063 | PA      | $316053.44     | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771034 FN 04/34 FIXED 5.5                    | CUSIP: 31404KSX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243772 | PA      | $252444.25     | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002231 G2 06/26 FIXED 7                   | CUSIP: 36202CPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.46         | 0.00%             | 2026-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C79405 FG 05/33 FIXED 5              | CUSIP: 31288JNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $122.56        | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1513 FN 06/53 FIXED 5                      | CUSIP: 3140NHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     341016 | PA      | $341995.67     | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS4556 FN 03/40 FIXED 3.5                    | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     461398 | PA      | $440755.71     | 0.04%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD0824 FN 10/46 FIXED 3                      | CUSIP: 3140F74J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188398 | PA      | $170531.42     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 449010 GN 08/27 FIXED 8.5                    | CUSIP: 36208EYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15580 | PA      | $15696.53      | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A61634 FG 06/34 FIXED 5              | CUSIP: 3128KRY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14903 | PA      | $15268.66      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35287 FG 06/35 FIXED 5.5            | CUSIP: 31297Q2U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25382 | PA      | $26363.44      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A     | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276407 | PA      | $271915.23     | 0.02%             | 2037-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93652 FG 09/40 FIXED 5              | CUSIP: 312942BV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        697 | PA      | $717.33        | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A26750 FG 09/34 FIXED 5.5            | CUSIP: 31297EQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46017 | PA      | $47692.96      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A48438 FG 05/36 FIXED 6.5            | CUSIP: 3128K9LT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13035 | PA      | $13796.04      | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2118                                                  | FREDDIE MAC FHR 2118 PE                                | CUSIP: 3133THS81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13335 | PA      | $13648.56      | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                                           | FREDDIE MAC FHR 3635 IB                                | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86441 | PA      | $4365.49       | 0.00%             | 2037-10-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 846942 FH 02/31 FLOATING VAR         | CUSIP: 3128HDWB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.46          | 0.00%             | 2031-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A   | CUSIP: 16678RAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113777 | PA      | $106992.83     | 0.01%             | 2035-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692396 GN 02/39 FIXED 6.5                    | CUSIP: 36296JGD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45098 | PA      | $47043.61      | 0.00%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04573 FG 07/38 FIXED 5.5            | CUSIP: 3128M6MW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15979 | PA      | $16589.79      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QA4115 FR 11/49 FIXED 3              | CUSIP: 31339USC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2610706 | PA      | $2342567.95    | 0.20%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 830817 FN 10/35 FIXED 6                      | CUSIP: 31407HAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14022 | PA      | $14527.06      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 901607 FN 11/36 FIXED 6.5                    | CUSIP: 31410YU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5248 | PA      | $5417.74       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252180 FN 10/28 FIXED 6.5                    | CUSIP: 31371HCR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $477.43        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775217 FN 05/34 FIXED 5.5                    | CUSIP: 31404QG29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19022 | PA      | $19196.83      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080199 G2 05/28 FLOATING VAR              | CUSIP: 36225CGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        693 | PA      | $693.65        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 648540 FN 06/32 FIXED 6                      | CUSIP: 31390KPZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5855 | PA      | $5981.04       | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56911 FG 02/37 FIXED 5.5            | CUSIP: 3128KKVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13031 | PA      | $13540.47      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080221 G2 08/28 FLOATING VAR              | CUSIP: 36225CG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        930 | PA      | $932.64        | 0.00%             | 2028-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06729 FG 08/40 FIXED 5.5            | CUSIP: 3128M8Y24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64717 | PA      | $66962.19      | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4845                                           | FREDDIE MAC FHR 4845 WF                                | CUSIP: 3137FK2D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1599277 | PA      | $1580248.61    | 0.14%             | 2048-12-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799982 FN 12/34 FIXED 5.5                    | CUSIP: 31405UXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.06         | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL CL6189 GN 03/52 FIXED 4                      | CUSIP: 3617YD2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2307714 | PA      | $2187743.28    | 0.19%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949728 FN 09/37 FIXED 6.5                    | CUSIP: 31413MSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8041 | PA      | $8381.33       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944021 FN 08/37 FIXED 6                      | CUSIP: 31413FG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4254 | PA      | $4442.09       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2454                                                  | FREDDIE MAC FHR 2454 FQ                                | CUSIP: 31392KC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9124 | PA      | $9195.49       | 0.00%             | 2031-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3288 FN 12/32 FIXED 2                      | CUSIP: 31418CUN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257307 | PA      | $241083.72     | 0.02%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080198 G2 05/28 FLOATING VAR              | CUSIP: 36225CGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1313 | PA      | $1321.07       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949542 FN 10/37 FIXED 6                      | CUSIP: 31413MLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62678 | PA      | $64477.64      | 0.01%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD 2020-25A                                        | MAGNETITE CLO LTD MAGNE 2020 25A A 144A                | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     589538 | PA      | $590806.41     | 0.05%             | 2032-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704672 GN 08/39 FIXED 5.5                    | CUSIP: 36296X2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30941 | PA      | $31933.66      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                 | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183192 | PA      | $181220.60     | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781048 GN 06/29 FIXED 6.5                    | CUSIP: 36225BEV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7070 | PA      | $7273.54       | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662065 GN 12/36 FIXED 6.5                    | CUSIP: 36294WQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15523 | PA      | $16268.62      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB9007 FR 02/51 FIXED 1.5            | CUSIP: 3133AGAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20266 | PA      | $15677.53      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AX2582 GN 02/47 FIXED 3                      | CUSIP: 36196D2P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66202 | PA      | $59618.47      | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940642 FN 08/37 FIXED 6                      | CUSIP: 31413BP39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4345 | PA      | $4580.69       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795111 FN 10/34 FIXED 5.5                    | CUSIP: 31405PKY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $294.87        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809177 FN 01/35 FLOATING VAR                 | CUSIP: 31406F6N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5101 | PA      | $5142.32       | 0.00%             | 2035-01-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080029 G2 01/27 FLOATING VAR              | CUSIP: 36225CA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $473.95        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689754 GN 08/38 FIXED 6                      | CUSIP: 36296FH71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14622 | PA      | $15221.93      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C90968 FG 05/26 FIXED 5              | CUSIP: 3128P7CD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $482.58        | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942912 FN 08/37 FIXED 6                      | CUSIP: 31413EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23744 | PA      | $24479.52      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91696 FG 07/43 FIXED 4              | CUSIP: 3132HBXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     414145 | PA      | $404047.06     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888352 FN 05/37 FIXED VAR                    | CUSIP: 31410F5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1269 | PA      | $1321.19       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77057 FG 05/38 FIXED 5.5            | CUSIP: 3128LAZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6636 | PA      | $6887.86       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A74678 FG 03/38 FIXED 5.5            | CUSIP: 3128L8FT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10723 | PA      | $10939.77      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $961792.04     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                              | FREDDIE MAC FHR 2142 Z                                 | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7185 | PA      | $7247.03       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS8787 FN 02/32 FIXED 2                      | CUSIP: 3138WJXR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13916 | PA      | $13239.27      | 0.00%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90133 FG 08/42 FIXED 4              | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2964667 | PA      | $2896067.20    | 0.25%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B     | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     211414 | PA      | $181313.08     | 0.02%             | 2046-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM1222 G2 05/49 FIXED 3.5                 | CUSIP: 3617JRLB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399462 | PA      | $364610.30     | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  364000000 | PA      | $352928725.24  | 30.22%            | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1999-2                                 | AFC HOME EQUITY LOAN TRUST AFC 1999 2 1A               | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113241 | PA      | $85442.15      | 0.01%             | 2029-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479294 GN 04/30 FIXED 8.5                    | CUSIP: 36209RNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $392.25        | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 988578 FN 08/38 FIXED 5.5                    | CUSIP: 31415TFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52807 | PA      | $54787.39      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                                           | FREDDIE MAC FHR 4142 KI                                | CUSIP: 3137AX5M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     426075 | PA      | $8879.71       | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93343 FG 08/40 FIXED 5              | CUSIP: 312941WC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5282 | PA      | $5418.35       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04633 FG 01/37 FIXED 5              | CUSIP: 3128M6PS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3418 | PA      | $3503.18       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254006 FN 10/31 FIXED 6                      | CUSIP: 31371KDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $132.47        | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR19                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR19 3A1      | CUSIP: 45660GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6412096 | PA      | $5438117.10    | 0.47%             | 2036-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1        | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359435 | PA      | $342547.75     | 0.03%             | 2035-12-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928206 FN 04/37 FIXED 6                      | CUSIP: 31412LGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2455 | PA      | $2588.86       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771022 FN 04/34 FIXED 5.5                    | CUSIP: 31404KSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14329 | PA      | $14461.88      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2820                                                  | FREDDIE MAC FHR 2820 FY                                | CUSIP: 31395CEC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        431 | PA      | $429.89        | 0.00%             | 2034-07-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                  | FREDDIE MAC FHR 2266 F                                 | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $23.70         | 0.00%             | 2030-11-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                         | FANNIE MAE FNR 2016 63 YI                              | CUSIP: 3136ATXU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173215 | PA      | $14129.48      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TIAA CLO III LTD 2017-2A                                          | TEACHERS INSURANCE AND ANNUITY TIA 2017 2A A 144A      | CUSIP: 87272HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      72365 | PA      | $72414.13      | 0.01%             | 2031-01-16      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918178 FN 05/37 FIXED 6                      | CUSIP: 31411YCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        728 | PA      | $764.83        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 483629 GN 09/28 FIXED 6.5                    | CUSIP: 36209WHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $483.03        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q21792 FG 09/43 FIXED 4.5            | CUSIP: 3132JN7D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140463 | PA      | $140353.86     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2961 G2 07/45 FIXED 3.5                 | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     716722 | PA      | $668313.34     | 0.06%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004164 G2 06/38 FIXED 6                   | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4298 | PA      | $4368.62       | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781920 GN 05/35 FIXED 5.5                    | CUSIP: 36241KDZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2194 | PA      | $2270.08       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725773 FN 09/34 FIXED VAR                    | CUSIP: 31402DJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16769 | PA      | $17251.95      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735806 FN 06/35 FLOATING VAR                 | CUSIP: 31402RNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14401 | PA      | $14765.52      | 0.00%             | 2035-06-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4010 FN 07/43 FIXED VAR                    | CUSIP: 3138ELN41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        537 | PA      | $506.75        | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA6424 FN 07/50 FIXED 3                      | CUSIP: 3140QED66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4268142 | PA      | $3765402.53    | 0.32%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107251 | PA      | $102488.92     | 0.01%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01469 FG 12/32 FIXED 5.5            | CUSIP: 31283HT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        835 | PA      | $867.41        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10        | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     367117 | PA      | $344517.84     | 0.03%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11       | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1896270 | PA      | $1398729.93    | 0.12%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-12A                               | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A      | CUSIP: 04942UAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     772164 | PA      | $772846.13     | 0.07%             | 2031-10-24      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008909 G2 07/26 FLOATING VAR              | CUSIP: 36202K3S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        444 | PA      | $444.19        | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080708 G2 07/33 FLOATING VAR              | CUSIP: 36225CYE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     266317 | PA      | $270282.43     | 0.02%             | 2033-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93853 FG 09/40 FIXED 5              | CUSIP: 312942H65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4759 | PA      | $4882.61       | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS8686 FN 01/47 FIXED 3                      | CUSIP: 3138WJUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     496372 | PA      | $448882.26     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A73872 FG 03/38 FIXED 5              | CUSIP: 3128L7JR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4851.76       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D97932 FG 07/28 FIXED 5              | CUSIP: 3128E4Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6428 | PA      | $6473.65       | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA8482 G2 06/47 FIXED 3.5                 | CUSIP: 3617AMM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331095 | PA      | $306306.49     | 0.03%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886110 FN 07/36 FIXED 6                      | CUSIP: 31410DN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2595 | PA      | $2719.51       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                           | FREDDIE MAC FHR 4324 IO                                | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110360 | PA      | $7491.93       | 0.00%             | 2036-08-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1        | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49013 | PA      | $48633.63      | 0.00%             | 2035-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A83772 FG 01/39 FIXED 5.5            | CUSIP: 312930FM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1066 | PA      | $1102.81       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06614 FG 12/35 FIXED 5              | CUSIP: 3128M8VF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34604 | PA      | $35453.81      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04624 FG 02/33 FIXED 6              | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10545 | PA      | $10953.05      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725237 FN 03/34 FIXED VAR                    | CUSIP: 31402CV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29847 | PA      | $30956.52      | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080395 G2 04/30 FLOATING VAR              | CUSIP: 36225CNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216096 | PA      | $216483.57     | 0.02%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725815 FN 12/33 FIXED VAR                    | CUSIP: 31402DK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4881 | PA      | $5024.47       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91116 FG 11/27 FIXED 6              | CUSIP: 3128P7GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4107 | PA      | $4199.19       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 623611 FN 02/32 FIXED 6                      | CUSIP: 31389EYG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60596 | PA      | $62163.56      | 0.01%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6768 FN 05/41 FIXED VAR                    | CUSIP: 3138EPQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312194 | PA      | $329158.16     | 0.03%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02236 FG 06/36 FIXED 5.5            | CUSIP: 3128LXPV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $146.56        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06193 FG 05/40 FIXED 5.5            | CUSIP: 3128M8GA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42579 | PA      | $44223.39      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO9700 FN 07/42 FIXED 3.5                    | CUSIP: 3138M1X60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1181 | PA      | $1118.98       | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2338 FN 11/46 FIXED VAR                    | CUSIP: 3140XHS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4431895 | PA      | $4076078.06    | 0.35%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782716 GN 07/39 FIXED 5                      | CUSIP: 36241LAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85082 | PA      | $85964.99      | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782490 GN 12/38 FIXED 5                      | CUSIP: 36241KXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9047 | PA      | $9270.50       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 881602 FN 02/36 FIXED 6.5                    | CUSIP: 31409XNT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        709 | PA      | $747.98        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783571 GN 12/33 FIXED 5                      | CUSIP: 36241L6G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9522 | PA      | $9730.39       | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905380 FN 11/36 FIXED 6.5                    | CUSIP: 31411D2M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257652 | PA      | $271814.89     | 0.02%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04590 FG 03/32 FIXED 5.5            | CUSIP: 3128M6NF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $82.87         | 0.00%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 846512 FH 08/27 FLOATING VAR         | CUSIP: 3128HDGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $300.77        | 0.00%             | 2027-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BP6203 GN 11/49 FIXED 3.5                    | CUSIP: 3617LC3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     501654 | PA      | $459735.91     | 0.04%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002898 G2 03/30 FIXED 8.5                 | CUSIP: 36202DGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $400.42        | 0.00%             | 2030-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0524A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5110544.15    | 0.44%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS         | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1736402 | PA      | $1167309.48    | 0.10%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 081016 G2 08/34 FLOATING VAR              | CUSIP: 36225DDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79698 | PA      | $80985.11      | 0.01%             | 2034-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080802 G2 01/34 FLOATING VAR              | CUSIP: 36225C3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     833390 | PA      | $859025.89     | 0.07%             | 2034-01-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A64516 FG 08/37 FIXED 6.5            | CUSIP: 3128KVAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7755 | PA      | $8207.66       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2 JUMBOS                             | CUSIP: 21H0206B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99600000 | PA      | $82362849.50   | 7.05%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002473 G2 08/27 FIXED 7.5                 | CUSIP: 36202CXA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        184 | PA      | $186.09        | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080416 G2 06/30 FLOATING VAR              | CUSIP: 36225CPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107752 | PA      | $107656.85     | 0.01%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT8165 FN 06/43 FIXED 4                      | CUSIP: 3138WWCB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1332499 | PA      | $1294146.47    | 0.11%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03202 FG 09/37 FIXED 5.5            | CUSIP: 3128M43K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9200 | PA      | $9589.07       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04538 FG 03/38 FIXED 5.5            | CUSIP: 3128M6LT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $928.40        | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1            | CUSIP: 59020UUK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2589 | PA      | $2328.99       | 0.00%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A2                             | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     544264 | PA      | $535087.59     | 0.05%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -46524588 | PA      | $-43853929.63  | -3.75%            | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008842 G2 03/26 FLOATING VAR              | CUSIP: 36202KZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $52.04         | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776396 FN 04/34 FIXED 5.5                    | CUSIP: 31404RRR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3270 | PA      | $3320.35       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1910 FN 01/44 FIXED VAR                    | CUSIP: 3140XHDQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304993 | PA      | $290105.29     | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00785 FG 06/29 FIXED 6.5            | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1212 | PA      | $1253.11       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0644 FN 12/25 FIXED 4.5                    | CUSIP: 31417YWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $379.04        | 0.00%             | 2025-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8211 FN 05/28 FIXED 4.55                   | CUSIP: 3140LKDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $202975.89     | 0.02%             | 2028-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 782431 G2 10/38 FIXED 5                   | CUSIP: 36241KVY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64369 | PA      | $65989.04      | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678137 FN 01/33 FIXED 6                      | CUSIP: 31391VLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70808 | PA      | $72334.65      | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 953930 FN 12/37 FIXED 6.5                    | CUSIP: 31413SHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $287.22        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C60346 FG 10/31 FIXED 6.5            | CUSIP: 31298YL33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3676 | PA      | $3844.82       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                     | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                 | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15397 | PA      | $6095.67       | 0.00%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 704096 FN 05/33 FIXED 5.5                    | CUSIP: 31401CGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.38         | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080418 G2 06/30 FLOATING VAR              | CUSIP: 36225CPC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70552 | PA      | $70705.96      | 0.01%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/21/23-3Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $103405.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904453 FN 11/36 FIXED 6                      | CUSIP: 31411CZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4858 | PA      | $5026.34       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN1084 FR 11/33 FIXED 3.5            | CUSIP: 3131Y7FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10618 | PA      | $10480.13      | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1248 FN 11/42 FIXED 3                      | CUSIP: 31418AL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     845845 | PA      | $764460.43     | 0.07%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764229 FN 01/34 FIXED 6.5                    | CUSIP: 31404CA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2511 | PA      | $2593.21       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 917880 FN 05/37 FIXED 6                      | CUSIP: 31411XXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10883 | PA      | $11509.73      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                | FANNIE MAE FNR 2002 21 FD                              | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        524 | PA      | $525.31        | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 913929 FN 02/37 FIXED 6.5                    | CUSIP: 31411SLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1912 | PA      | $1994.05       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782423 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12001 | PA      | $12586.86      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486951 GN 02/29 FIXED 6.5                    | CUSIP: 36210A5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3236 | PA      | $3259.88       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559806 FN 10/30 FLOATING VAR                 | CUSIP: 31386C3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9994 | PA      | $10064.25      | 0.00%             | 2030-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 793997 FN 09/34 FIXED 5.5                    | CUSIP: 31405NDA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7193 | PA      | $7465.15       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778067 FN 04/34 FIXED 5.5                    | CUSIP: 31404TMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3608 | PA      | $3740.78       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                           | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1       | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43609 | PA      | $42404.38      | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0818 FN 08/31 FIXED 4                      | CUSIP: 31417Y4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102488 | PA      | $101992.58     | 0.01%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5173 FR 08/42 FIXED 3              | CUSIP: 3133KYXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     206965 | PA      | $191169.39     | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750518 FN 12/33 FIXED 5.5                    | CUSIP: 31403JYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6492 | PA      | $6550.71       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323835 FN 05/29 FIXED VAR                    | CUSIP: 31374TV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $158.96        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256653 FN 03/27 FIXED 6.5                    | CUSIP: 31371NBW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1457 | PA      | $1503.69       | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04845 FG 05/36 FIXED 6              | CUSIP: 3128M6WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1118872 | PA      | $1180751.56    | 0.10%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0504A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $404182.40     | 0.03%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735883 FN 03/33 FIXED VAR                    | CUSIP: 31402RRC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10200 | PA      | $10587.41      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A36995 FG 09/35 FIXED 5.5            | CUSIP: 31297SXY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9970 | PA      | $10296.36      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 36A A1AR 144A               | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2939751 | PA      | $2946740.75    | 0.25%             | 2032-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764480 GN 05/41 FIXED 5                      | CUSIP: 36176FCR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4286 | PA      | $4359.21       | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 653158 GN 04/36 FIXED 5.5                    | CUSIP: 36292MTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1596 | PA      | $1659.56       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04448 FG 07/38 FIXED 5.5            | CUSIP: 3128M6HZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6740 | PA      | $6999.80       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4660 FN 07/42 FIXED 3                      | CUSIP: 31418EFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1627378 | PA      | $1506583.53    | 0.13%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 898810 FN 11/36 FIXED 6                      | CUSIP: 31410VR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5439 | PA      | $5667.92       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7829 G2 01/52 FIXED 3.5                 | CUSIP: 36179WVW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6455755 | PA      | $5941835.21    | 0.51%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                | FANNIE MAE FNR 1997 79 PL                              | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20169 | PA      | $20214.54      | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 313968 FN 12/27 FLOATING VAR                 | CUSIP: 31374GW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2370 | PA      | $2384.08       | 0.00%             | 2027-12-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 897472 FN 11/36 FIXED 6                      | CUSIP: 31410UCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2260 | PA      | $2308.50       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677323 GN 09/38 FIXED 6.5                    | CUSIP: 36295QPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $150.20        | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7792 GN 11/42 FIXED 3.5                    | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6321 | PA      | $5912.26       | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 713866 GN 09/39 FIXED 5                      | CUSIP: 36297KCB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4746 | PA      | $4812.18       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433689 GN 04/28 FIXED 7                      | CUSIP: 36207JXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $46.71         | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W2                                      | FANNIEMAE WHOLE LOAN FNW 2001 W2 AF6                   | CUSIP: 313920XZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $59.89         | 0.00%             | 2031-10-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-28                                         | FANNIE MAE FNR 2013 28 YS                              | CUSIP: 3136AC5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2616502 | PA      | $328574.31     | 0.03%             | 2042-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A         | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2490772 | PA      | $2155345.07    | 0.18%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3          | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138841 | PA      | $135630.72     | 0.01%             | 2034-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03368 FG 12/33 FIXED 6.5            | CUSIP: 3128M5CD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1902 | PA      | $1988.71       | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AY8034 G2 03/47 FIXED 3.5                 | CUSIP: 36196X4T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     829474 | PA      | $767364.02     | 0.07%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH6393 G2 07/48 FIXED 4.5                 | CUSIP: 3617H4C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     364751 | PA      | $354430.84     | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779445 FN 06/34 FIXED 5.5                    | CUSIP: 31404U5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49913 | PA      | $51670.27      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2333 FN 02/50 FIXED VAR                    | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256239 | PA      | $238407.31     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                          | LEHMAN XS TRUST LXS 2006 16N A322                      | CUSIP: 52522DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1567954 | PA      | $1206852.61    | 0.10%             | 2046-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                  | FREDDIE MAC FHR 2177 F                                 | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $220.17        | 0.00%             | 2029-08-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323362 FN 11/28 FIXED VAR                    | CUSIP: 31374TFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        985 | PA      | $1010.13       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A   | CUSIP: 16678RDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41337 | PA      | $39735.92      | 0.00%             | 2036-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                           | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A         | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     813707 | PA      | $814166.23     | 0.07%             | 2031-07-27      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906131 FN 01/37 FIXED 6                      | CUSIP: 31411EVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15470 | PA      | $16211.34      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 935188 FN 06/39 FIXED 6                      | CUSIP: 31412UND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24856 | PA      | $25626.00      | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 602285 FN 08/31 FIXED 6.5                    | CUSIP: 31388ECW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6011 | PA      | $6206.30       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832238 FN 08/35 FIXED 6                      | CUSIP: 31407JS37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29544 | PA      | $30745.02      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675394 GN 05/38 FIXED 6.5                    | CUSIP: 36295NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75087 | PA      | $78352.11      | 0.01%             | 2038-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462599 GN 03/28 FIXED 6.5                    | CUSIP: 36208V3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $482.95        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 843026 FN 09/35 FLOATING VAR                 | CUSIP: 31407WSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34699 | PA      | $35070.80      | 0.00%             | 2035-09-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RC1860 FR 04/36 FIXED 2              | CUSIP: 3133L8B53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6849883 | PA      | $6331767.49    | 0.54%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                | FANNIE MAE FNR 2002 21 FC                              | CUSIP: 31392CRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1047 | PA      | $1050.61       | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004058 G2 12/37 FIXED 5                   | CUSIP: 36202EQK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11313 | PA      | $11569.67      | 0.00%             | 2037-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5443 FN 04/40 FIXED VAR                    | CUSIP: 3138ENBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29285 | PA      | $30783.46      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2452                                                  | FREDDIE MAC FHR 2452 FG                                | CUSIP: 31392K6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $215.20        | 0.00%             | 2032-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02308 FG 09/36 FIXED 5.5            | CUSIP: 3128LXR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2071 | PA      | $2158.03       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765853 FN 02/34 FIXED 5.5                    | CUSIP: 31404DZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        547 | PA      | $565.57        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE7016 GN 06/43 FIXED 3.5                    | CUSIP: 36181AYM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219104 | PA      | $204946.46     | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 620193 FN 01/32 FIXED 6                      | CUSIP: 31389A7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6184 | PA      | $6317.39       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.99750 09/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $339617.03     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1             | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69494 | PA      | $66632.19      | 0.01%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080542 G2 09/31 FLOATING VAR              | CUSIP: 36225CS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52211 | PA      | $52464.59      | 0.00%             | 2031-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01818 FG 05/35 FIXED 5              | CUSIP: 3128LXAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     711109 | PA      | $728567.65     | 0.06%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A72770 FG 02/38 FIXED 5.5            | CUSIP: 3128L6CF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55459 | PA      | $57377.38      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 891564 G2 10/58 FLOATING VAR              | CUSIP: 36208AZ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1149.86       | 0.00%             | 2058-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5089 FR 06/53 FIXED 5              | CUSIP: 3133C5UN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181627 | PA      | $182323.98     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 805413 FN 01/35 FIXED 5.5                    | CUSIP: 31406BYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55515 | PA      | $57790.95      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 329                                            | FREDDIEMAC STRIP FHS 329 C5                            | CUSIP: 31325VHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5605033 | PA      | $901929.62     | 0.08%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725946 FN 11/34 FIXED VAR                    | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19547 | PA      | $20107.40      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   91205000 | PA      | $80124839.27   | 6.86%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3894 FN 09/31 FIXED 4                      | CUSIP: 31418DKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60819 | PA      | $60522.66      | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781261 GN 02/31 FIXED 7.5                    | CUSIP: 36225BMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.14         | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 780090 FH 12/32 FLOATING VAR         | CUSIP: 31342AC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4154 | PA      | $4216.75       | 0.00%             | 2032-12-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903822 FN 12/36 FIXED 6.5                    | CUSIP: 31411CD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29912 | PA      | $30883.08      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4070 FN 06/53 FIXED 5                      | CUSIP: 3140NLQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     411354 | PA      | $415127.23     | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0200 FN 04/51 FIXED 3                      | CUSIP: 3140QKGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11449833 | PA      | $10094354.63   | 0.86%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2        | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     328071 | PA      | $315517.08     | 0.03%             | 2035-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602552 GN 03/36 FIXED 5                      | CUSIP: 36200JL99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5709 | PA      | $5810.92       | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3670 FN 02/43 FIXED VAR                    | CUSIP: 3138ELCG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     853546 | PA      | $830431.41     | 0.07%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0072 G2 05/27 FIXED 2.5                 | CUSIP: 36179MCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140268 | PA      | $138646.44     | 0.01%             | 2027-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5034                                           | FREDDIE MAC FHR 5034 MI                                | CUSIP: 3137F6K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5552343 | PA      | $754767.76     | 0.06%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555254 FN 01/33 FIXED VAR                    | CUSIP: 31385WZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $610.64        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01953 FG 10/35 FIXED 4.5            | CUSIP: 3128LXE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123925 | PA      | $125048.42     | 0.01%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 322                                            | FREDDIEMAC STRIP FHS 322 V1                            | CUSIP: 3132HTY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1113814 | PA      | $1035214.69    | 0.09%             | 2043-12-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002359 G2 01/27 FIXED 7                   | CUSIP: 36202CTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $35.28         | 0.00%             | 2027-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955031 FN 10/37 FIXED 6.5                    | CUSIP: 31413TPQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $476.77        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH7500 FN 11/47 FIXED 3.5                    | CUSIP: 3140GWKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1302783 | PA      | $1200719.30    | 0.10%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 877157 G2 05/30 FLOATING VAR              | CUSIP: 36208AMT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24431 | PA      | $24450.88      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1030 FN 11/43 FIXED 5                      | CUSIP: 3138XCEC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45240 | PA      | $45597.64      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783231 FN 09/34 FIXED 6                      | CUSIP: 31405AEC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8177 | PA      | $8515.69       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 850616 FN 02/36 FLOATING VAR                 | CUSIP: 31408GAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7338 | PA      | $7471.87       | 0.00%             | 2036-02-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05326 FG 02/38 FIXED 5              | CUSIP: 3128M7HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     841647 | PA      | $862838.27     | 0.07%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 566499 GN 10/33 FIXED 5                      | CUSIP: 36213WKL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2014 | PA      | $2065.54       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01226 FG 06/41 FIXED 5              | CUSIP: 3132GELF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4781 | PA      | $4890.86       | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1        | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14610 | PA      | $12870.43      | 0.00%             | 2035-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002959 G2 08/30 FIXED 8.5                 | CUSIP: 36202DJC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2751 | PA      | $2894.56       | 0.00%             | 2030-08-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775641 FN 05/34 FIXED 5.5                    | CUSIP: 31404QWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84577 | PA      | $85881.06      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02249 FG 07/36 FIXED 5.5            | CUSIP: 3128LXQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10059 | PA      | $10451.66      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698330 GN 05/39 FIXED 5                      | CUSIP: 36296QY37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94868 | PA      | $97347.22      | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9433 FR 03/52 FIXED 3              | CUSIP: 3133B7PS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     430674 | PA      | $379075.32     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1      | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8635 | PA      | $8693.11       | 0.00%             | 2030-11-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A       | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2145 | PA      | $2028.50       | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 751203 FN 01/34 FIXED 5.5                    | CUSIP: 31403KRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2429 | PA      | $2515.12       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                           | FREDDIE MAC FHR 4165 TI                                | CUSIP: 3137AYSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1416427 | PA      | $71178.85      | 0.01%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04587 FG 08/38 FIXED 5.5            | CUSIP: 3128M6NC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17146 | PA      | $17794.61      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9367 FN 08/33 FIXED 4.58                   | CUSIP: 3140LLMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1014023.32    | 0.09%             | 2033-08-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3     | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525253 | PA      | $384700.35     | 0.03%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783473 GN 11/41 FIXED 3.5                    | CUSIP: 36241L2E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     698208 | PA      | $655564.82     | 0.06%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9610 FN 09/38 FIXED 5.3                    | CUSIP: 3140LLVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1009991 | PA      | $1066345.93    | 0.09%             | 2038-09-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0441 FN 05/40 FIXED VAR                    | CUSIP: 31419AP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     276264 | PA      | $292757.27     | 0.03%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5084 FR 06/53 FIXED 5              | CUSIP: 3133C5UH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108359 | PA      | $109039.16     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 081404 G2 07/35 FLOATING VAR              | CUSIP: 36225DR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108841 | PA      | $109419.79     | 0.01%             | 2035-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -3214 | NC      | $-1683971.08   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004924 G2 01/41 FIXED 5                   | CUSIP: 36202FPH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37972 | PA      | $38975.35      | 0.00%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5368 FN 08/47 FIXED 3.5                    | CUSIP: 3140GT6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     544355 | PA      | $509292.38     | 0.04%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC4                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC4 M5       | CUSIP: 76112BC81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1368435 | PA      | $1348921.63    | 0.12%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686876 GN 05/38 FIXED 6                      | CUSIP: 36296CCM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20306 | PA      | $20944.47      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A1         | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     660732 | PA      | $619264.75     | 0.05%             | 2047-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257163 FN 04/28 FIXED 5                      | CUSIP: 31371NTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38700 | PA      | $38948.70      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922213 FN 11/36 FIXED 5.5                    | CUSIP: 31412DSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11122 | PA      | $11217.74      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 572165 FN 01/31 FIXED 6.5                    | CUSIP: 31386STW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $413.36        | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782560 GN 02/39 FIXED 5.5                    | CUSIP: 36241KZZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45785 | PA      | $47861.04      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-201.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS9302 FN 03/37 FIXED 4                      | CUSIP: 3138WKKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1893591 | PA      | $1876562.46    | 0.16%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 824962 FN 05/35 FIXED 6                      | CUSIP: 31407AQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3526 | PA      | $3626.37       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 703814 FN 05/33 FIXED 5.5                    | CUSIP: 31401B3X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14482 | PA      | $14720.46      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904864 FN 01/37 FIXED 6                      | CUSIP: 31411DJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1571 | PA      | $1618.80       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03204 FG 11/35 FIXED 5.5            | CUSIP: 3128M43M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39832 | PA      | $41513.82      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080604 G2 05/32 FLOATING VAR              | CUSIP: 36225CU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73810 | PA      | $75024.98      | 0.01%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655352 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        673 | PA      | $704.54        | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                                           | FREDDIE MAC FHR 4394 WI                                | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88037 | PA      | $4931.16       | 0.00%             | 2041-08-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820457 | PA      | $698522.50     | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771778 FN 03/34 FIXED 5.5                    | CUSIP: 31404LM31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        852 | PA      | $860.26        | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777125 FN 04/34 FIXED 5.5                    | CUSIP: 31404SLE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1870 | PA      | $1925.33       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931952 FN 01/37 FIXED 6.5                    | CUSIP: 31412QL98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2026 | PA      | $2131.78       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795410 FN 09/34 FIXED 6.5                    | CUSIP: 31405PVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10632 | PA      | $11090.83      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2       | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123535 | PA      | $117750.73     | 0.01%             | 2034-03-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080272 G2 04/29 FLOATING VAR              | CUSIP: 36225CJS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1129 | PA      | $1128.85       | 0.00%             | 2029-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783177 GN 09/40 FIXED 4.5                    | CUSIP: 36241LQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20707 | PA      | $20674.80      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955007 FN 09/37 FIXED 6.5                    | CUSIP: 31413TNY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1177.41       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004289 G2 11/38 FIXED 5                   | CUSIP: 36202EXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     361567 | PA      | $371117.88     | 0.03%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 895852 FN 11/35 FLOATING VAR                 | CUSIP: 31410SH59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204718 | PA      | $207275.24     | 0.02%             | 2035-11-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 665310 FN 10/32 FIXED 6                      | CUSIP: 31391FDP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7605 | PA      | $7768.76       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 759098 FN 01/34 FIXED 5.5                    | CUSIP: 31403VKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $104.71        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/55 4.75                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131600000 | PA      | $132072937.50  | 11.31%            | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889890 FN 01/38 FIXED VAR                    | CUSIP: 31410KUP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     236248 | PA      | $249181.58     | 0.02%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773846 FN 04/34 FIXED 5.5                    | CUSIP: 31404NWF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2139 | PA      | $2157.84       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0302 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3KP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     601637 | PA      | $556589.15     | 0.05%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778266 FN 05/34 FIXED 5.5                    | CUSIP: 31404TTX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60391 | PA      | $61139.81      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 547823 GN 01/31 FIXED 7.5                    | CUSIP: 36212YSL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $321.12        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE7017 GN 06/43 FIXED 3.5                    | CUSIP: 36181AYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2303940 | PA      | $2145133.33    | 0.18%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 3A          | CUSIP: 86359BWG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8513 | PA      | $8291.84       | 0.00%             | 2034-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81278 FG 08/38 FIXED 5              | CUSIP: 312927M37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2632 | PA      | $2653.03       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 685321 FN 02/33 FIXED 6                      | CUSIP: 31400ELA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2361 | PA      | $2459.45       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0270 FN 11/38 FIXED 6                      | CUSIP: 31416VJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5929 | PA      | $6231.52       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896113 FN 06/36 FIXED 6                      | CUSIP: 31410SSA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15087 | PA      | $15415.84      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1     | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21528 | PA      | $21314.28      | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR         | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $488.12        | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 685049 FN 03/34 FIXED 5.5                    | CUSIP: 31400EBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2169 | PA      | $2245.59       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                  | FREDDIE MAC FHR 4836 PO                                | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8957758 | PA      | $5579733.66    | 0.48%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008876 G2 05/26 FLOATING VAR              | CUSIP: 36202K2H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        625 | PA      | $625.42        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 440657 FN 10/28 FIXED 6.5                    | CUSIP: 31380HQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.26         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256086 FN 12/25 FIXED 5                      | CUSIP: 31371MNB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        862 | PA      | $859.86        | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q60520 FG 12/48 FIXED 4              | CUSIP: 3132VLSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1446200 | PA      | $1392733.30    | 0.12%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56000 05/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $106516.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775778 FN 05/34 FIXED 5.5                    | CUSIP: 31404Q2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8918 | PA      | $9231.82       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH9863 FN 04/26 FIXED 4                      | CUSIP: 3138AB5Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        848 | PA      | $845.01        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 661528 GN 12/36 FIXED 6.5                    | CUSIP: 36294V4M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10343 | PA      | $10809.04      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 780840 G2 07/28 FIXED 8.5                 | CUSIP: 36225A4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3124 | PA      | $3143.68       | 0.00%             | 2028-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323591 FN 03/29 FIXED VAR                    | CUSIP: 31374TNG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        621 | PA      | $640.92        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 160 IE         | CUSIP: 38380B5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136144 | PA      | $8447.83       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A   | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5385390 | PA      | $5392874.72    | 0.46%             | 2051-07-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8567 FR 02/32 FIXED 2.5            | CUSIP: 3131XCQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30907 | PA      | $29626.69      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8806 FR 03/52 FIXED 3              | CUSIP: 3133B6YB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287086 | PA      | $253179.23     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04837 FG 09/37 FIXED 5.5            | CUSIP: 3128M6V62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1740 | PA      | $1813.72       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 617707 FN 05/32 FIXED 6                      | CUSIP: 31388XGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5814 | PA      | $5954.30       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA2546 FN 03/39 FIXED 5.5                    | CUSIP: 31416KZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10069 | PA      | $10450.36      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080197 G2 05/28 FLOATING VAR              | CUSIP: 36225CGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1195 | PA      | $1204.50       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR         | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1085 | PA      | $1099.97       | 0.00%             | 2030-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0941 FR 04/52 FIXED 3              | CUSIP: 3132DNBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1183566 | PA      | $1052196.37    | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755327 FN 12/33 FIXED 6                      | CUSIP: 31403RD88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3684 | PA      | $3764.92       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764548 FN 03/34 FIXED 5.5                    | CUSIP: 31404CL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6242 | PA      | $6426.63       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689889 GN 09/38 FIXED 6                      | CUSIP: 36296FNE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $972.81        | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946744 FN 08/37 FIXED 6                      | CUSIP: 31413JHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54335 | PA      | $55885.14      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 956232 FN 11/37 FIXED 6.5                    | CUSIP: 31413UY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29383 | PA      | $30628.17      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937938 FN 06/37 FIXED 6                      | CUSIP: 31412XPX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4481 | PA      | $4670.18       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1     | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     335483 | PA      | $324775.65     | 0.03%             | 2045-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933017 FN 10/37 FIXED 6.5                    | CUSIP: 31412SAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6417 | PA      | $6700.50       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2419 FN 02/50 FIXED VAR                    | CUSIP: 3140X5VM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19192794 | PA      | $16910812.65   | 1.45%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930770 FN 03/29 FIXED 4.5                    | CUSIP: 31412PCF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6378 | PA      | $6394.83       | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831646 FN 08/26 FIXED 6.5                    | CUSIP: 31407H5F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $34.08         | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004715 G2 06/40 FIXED 5                   | CUSIP: 36202FGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     788731 | PA      | $811521.02     | 0.07%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776973 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128914 | PA      | $132291.28     | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 792592 FN 08/34 FIXED 6.5                    | CUSIP: 31405LRM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5418 | PA      | $5639.68       | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A    | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     967631 | PA      | $806001.43     | 0.07%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003001 G2 11/30 FIXED 8.5                 | CUSIP: 36202DKN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1480 | PA      | $1559.29       | 0.00%             | 2030-11-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782579 GN 02/39 FIXED 5.5                    | CUSIP: 36241K2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32598 | PA      | $33995.30      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR6606 GN 02/50 FIXED 3                      | CUSIP: 3617M5KT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234444 | PA      | $209957.14     | 0.02%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008815 G2 02/26 FLOATING VAR              | CUSIP: 36202KYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $229.27        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A          | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1714774 | PA      | $476841.90     | 0.04%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 757194 FN 12/33 FIXED 5.5                    | CUSIP: 31403TGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35148 | PA      | $35456.90      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A59302 FG 04/37 FIXED 5.5            | CUSIP: 3128KNKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $213.12        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 566470 FN 02/31 FIXED 6                      | CUSIP: 31386LJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2882 | PA      | $2944.13       | 0.00%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080387 G2 03/30 FLOATING VAR              | CUSIP: 36225CND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4193 | PA      | $4213.97       | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256821 FN 07/27 FIXED 6.5                    | CUSIP: 31371NG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6071 | PA      | $6267.12       | 0.00%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995930 FN 04/39 FIXED VAR                    | CUSIP: 31416CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43796 | PA      | $44928.61      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI2052 FN 05/41 FIXED 4                      | CUSIP: 3138AFH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     475768 | PA      | $463674.47     | 0.04%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852029 FN 01/36 FIXED 6                      | CUSIP: 31408HSS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        643 | PA      | $666.28        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080686 G2 04/33 FLOATING VAR              | CUSIP: 36225CXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     346360 | PA      | $352445.43     | 0.03%             | 2033-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802328 FN 11/34 FIXED 5.5                    | CUSIP: 31405XLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2622 | PA      | $2668.21       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.11750 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1012512.58    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 746066 GN 04/41 FIXED 4.5                    | CUSIP: 3620C1Z74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221985 | PA      | $220000.04     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06954 FG 05/40 FIXED 6              | CUSIP: 3128M9BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27833 | PA      | $29374.53      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                                  | FREDDIE MAC FHR 2457 PE                                | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18785 | PA      | $19655.40      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3        | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443857 | PA      | $260833.28     | 0.02%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910930 FN 02/37 FIXED 6.5                    | CUSIP: 31411LA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10425 | PA      | $10890.87      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                               | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB      | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35288 | PA      | $33689.36      | 0.00%             | 2033-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30412 FG 03/28 FIXED 6              | CUSIP: 3128CUN51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6255 | PA      | $6395.48       | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0185 FN 08/39 FIXED 5.5                    | CUSIP: 31417YF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     687973 | PA      | $691343.18     | 0.06%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764322 GN 11/41 FIXED 3.5                    | CUSIP: 36176E4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2649 | PA      | $2490.16       | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256170 FN 03/26 FIXED 5                      | CUSIP: 31371MQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1500 | PA      | $1496.05       | 0.00%             | 2026-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 733344 GN 04/40 FIXED 5.5                    | CUSIP: 3620ALWD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        862 | PA      | $879.84        | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08221 FG 09/37 FIXED 5.5            | CUSIP: 3128MJG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2332 | PA      | $2427.31       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEWARK BSL CLO 2 LTD 2017 1A                                      | NEWARK BSL CLO 2 LTD. NBCLO 2017 1A A1R 144A           | CUSIP: 65023PAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2435139 | PA      | $2438795.85    | 0.21%             | 2030-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1        | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        616 | PA      | $595.73        | 0.00%             | 2034-07-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452329 FN 12/28 FIXED 6                      | CUSIP: 31380WPN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1082 | PA      | $1105.24       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783076 GN 09/39 FIXED 6                      | CUSIP: 36241LMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        631 | PA      | $664.96        | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4034 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     759410 | PA      | $685648.04     | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080092 G2 07/27 FLOATING VAR              | CUSIP: 36225CC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $522.62        | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781636 GN 07/33 FIXED 5.5                    | CUSIP: 36225BY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        908 | PA      | $942.59        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04359 FG 06/38 FIXED 5.5            | CUSIP: 3128M6E87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     214071 | PA      | $222076.29     | 0.02%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776376 FN 05/34 FIXED 5.5                    | CUSIP: 31404RQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7196 | PA      | $7261.56       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689545 FN 01/33 FIXED 6                      | CUSIP: 31400KBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $425.84        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91167 FG 04/28 FIXED 5              | CUSIP: 3128P7JL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15971 | PA      | $16096.87      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C90931 FG 11/25 FIXED 5              | CUSIP: 3128P7A86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1999 | PA      | $1995.72       | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844719 FN 12/35 FIXED 6                      | CUSIP: 31407YPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2786 | PA      | $2915.99       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782780 GN 09/39 FIXED 5.5                    | CUSIP: 36241LCR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215622 | PA      | $226155.78     | 0.02%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1J1219 FH 10/35 FLOATING VAR         | CUSIP: 3128NHK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9711 | PA      | $9916.73       | 0.00%             | 2035-10-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080070 G2 05/27 FLOATING VAR              | CUSIP: 36225CCG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $235.75        | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91149 FG 01/28 FIXED 6              | CUSIP: 3128P7H22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4026 | PA      | $4116.27       | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01515 FG 02/33 FIXED 5              | CUSIP: 31283HVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $248.81        | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1        | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        678 | PA      | $668.84        | 0.00%             | 2034-01-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                  | FREDDIE MAC FHR 2395 FT                                | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4565 | PA      | $4556.02       | 0.00%             | 2031-12-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771130 FN 04/34 FIXED 5.5                    | CUSIP: 31404KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19287 | PA      | $19463.94      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ3529 G2 07/47 FIXED 3.5                 | CUSIP: 36197F4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393223 | PA      | $363777.27     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725880 FN 09/34 FIXED VAR                    | CUSIP: 31402DM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        407 | PA      | $423.28        | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254447 FN 09/32 FIXED 6                      | CUSIP: 31371KTC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3349 | PA      | $3456.59       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A50941 FG 07/36 FIXED 6.5            | CUSIP: 3128KDBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1769 | PA      | $1854.84       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899681 FN 08/37 FIXED 6.5                    | CUSIP: 31410WRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24345 | PA      | $25548.33      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  143218000 | PA      | $138934667.56  | 11.90%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777820 FN 04/34 FIXED 5.5                    | CUSIP: 31404TDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28546 | PA      | $28801.18      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4015 FN 06/53 FIXED 5                      | CUSIP: 3140NLN96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115695 | PA      | $116243.88     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                            | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A5        | CUSIP: 18976GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319721 | PA      | $281219.96     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01737 FG 12/34 FIXED 5              | CUSIP: 31283H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1974 | PA      | $2005.18       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080181 G2 03/28 FLOATING VAR              | CUSIP: 36225CFX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $531.96        | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002936 G2 06/30 FIXED 8.5                 | CUSIP: 36202DHM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $463.01        | 0.00%             | 2030-06-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865171 FN 02/36 FIXED 5.5                    | CUSIP: 31409AFL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $103.61        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 392411 FN 02/28 FIXED 6.5                    | CUSIP: 31377Z3U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2418 | PA      | $2495.22       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782333 GN 06/38 FIXED 5.5                    | CUSIP: 36241KSW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73206 | PA      | $76781.38      | 0.01%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-64                                         | FANNIE MAE FNR 2016 64 IA                              | CUSIP: 3136ATUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1979574 | PA      | $225610.62     | 0.02%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01772 FG 02/35 FIXED 5              | CUSIP: 31283H6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $209.80        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 880893 FN 04/36 FIXED 6                      | CUSIP: 31409WUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1734 | PA      | $1783.03       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-HE1                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 A2        | CUSIP: 22540VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79222 | PA      | $76228.87      | 0.01%             | 2032-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809203 FN 01/35 FIXED 6.5                    | CUSIP: 31406GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22249 | PA      | $22964.47      | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080578 G2 02/32 FLOATING VAR              | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29429 | PA      | $29871.14      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732484 GN 02/40 FIXED 6                      | CUSIP: 3620AKXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20497 | PA      | $21090.46      | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4256 FN 02/51 FIXED 2.5                    | CUSIP: 31418DWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2345585 | PA      | $1992099.50    | 0.17%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677081 GN 07/38 FIXED 6.5                    | CUSIP: 36295QFW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7996 | PA      | $8388.72       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A55128 FG 12/36 FIXED 5.5            | CUSIP: 3128KHVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3501 | PA      | $3586.04       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008874 G2 05/26 FLOATING VAR              | CUSIP: 36202K2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $91.71         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 373182 FN 05/36 FLOATING VAR                 | CUSIP: 31377CRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        968 | PA      | $954.58        | 0.00%             | 2036-05-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91216 FG 09/28 FIXED 6              | CUSIP: 3128P7K51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2920 | PA      | $2985.57       | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1       | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349798 | PA      | $246752.36     | 0.02%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02620 FG 02/37 FIXED 5.5            | CUSIP: 3128M4G56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $538.71        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0324A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   97900000 | PA      | $94861090.02   | 8.12%             | 2040-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4771 G2 10/47 FIXED 4.5                 | CUSIP: 36179TJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103661 | PA      | $101333.31     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809617 FN 02/35 FIXED 5.5                    | CUSIP: 31406GPA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $221.45        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A        | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106644 | PA      | $103981.39     | 0.01%             | 2042-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB7517 FN 01/33 FIXED 2.5                    | CUSIP: 31417EK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425771 | PA      | $405998.01     | 0.03%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD8163 G2 12/47 FIXED 3.5                 | CUSIP: 3617BQB80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331770 | PA      | $306930.79     | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H0306A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  228350000 | PA      | $203891127.79  | 17.46%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05922 FG 07/39 FIXED 5.5            | CUSIP: 3128M74F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25164 | PA      | $26129.72      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS1339 FN 12/43 FIXED 5                      | CUSIP: 3138WAPZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136039 | PA      | $138277.08     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 798412 FN 10/34 FIXED 5.5                    | CUSIP: 31405TAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        772 | PA      | $795.74        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005261 G2 12/41 FIXED 5                   | CUSIP: 36202FZ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     574013 | PA      | $588306.23     | 0.05%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 907337 FN 03/37 FIXED 6                      | CUSIP: 31411GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4919 | PA      | $5070.24       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922439 FN 01/37 FIXED 6                      | CUSIP: 31412DZC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12897 | PA      | $13556.70      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75525 FG 04/38 FIXED 5              | CUSIP: 3128L9D67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $651.18        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784433 G2 02/48 FIXED 3.5                 | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5277772 | PA      | $4883848.00    | 0.42%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C75023 FG 12/32 FIXED 5              | CUSIP: 31288DSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $173.85        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080283 G2 05/29 FLOATING VAR              | CUSIP: 36225CJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6026 | PA      | $6030.32       | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2189                                                  | FREDDIE MAC FHR 2189 F                                 | CUSIP: 3133TLXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19399 | PA      | $19481.83      | 0.00%             | 2027-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535078 FN 02/29 FIXED VAR                    | CUSIP: 31384VM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $268.48        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 495830 GN 01/29 FIXED 6.5                    | CUSIP: 36210LY31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1745.17       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 521655 GN 12/29 FIXED 8.5                    | CUSIP: 36211SQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5954 | PA      | $5974.17       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04629 FG 01/29 FIXED 6              | CUSIP: 3128M6PN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1961 | PA      | $2004.52       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1       | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423799 | PA      | $383374.40     | 0.03%             | 2037-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH8543 G2 07/48 FIXED 4.5                 | CUSIP: 3617H6P42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238643 | PA      | $231934.48     | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91237 FG 02/29 FIXED 5              | CUSIP: 3128P7LS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6510 | PA      | $6557.58       | 0.00%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 819990 FN 04/35 FIXED 6                      | CUSIP: 31406T7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1141 | PA      | $1183.01       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91112 FG 10/27 FIXED 6              | CUSIP: 3128P7GV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2475 | PA      | $2530.53       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806313 FN 11/34 FIXED 6                      | CUSIP: 31406CYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4617 | PA      | $4776.34       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1514 FN 09/49 FIXED VAR                    | CUSIP: 3140X4VG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3117955 | PA      | $2747244.14    | 0.24%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01578 FG 04/33 FIXED 6.5            | CUSIP: 31292HXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1066 | PA      | $1102.27       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080047 G2 02/27 FLOATING VAR              | CUSIP: 36225CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3810 | PA      | $3815.59       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005303 G2 02/42 FIXED 4                   | CUSIP: 36202F3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9520 | PA      | $9014.42       | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831618 FN 06/36 FIXED 6.5                    | CUSIP: 31407H4B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17135 | PA      | $18038.27      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1        | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71210 | PA      | $66240.18      | 0.01%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668342 FN 12/32 FIXED 6                      | CUSIP: 31391JP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13337 | PA      | $13626.51      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0262 FN 05/58 FIXED 3                      | CUSIP: 3140FXJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4145367 | PA      | $3628753.04    | 0.31%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735643 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105361 | PA      | $105990.62     | 0.01%             | 2042-08-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ3493 G2 03/47 FIXED 3.5                 | CUSIP: 36197F3A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312389 | PA      | $288999.13     | 0.02%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080196 G2 05/28 FLOATING VAR              | CUSIP: 36225CGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        481 | PA      | $481.91        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 941137 FN 10/37 FIXED 6.5                    | CUSIP: 31413CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3559 | PA      | $3719.16       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701501 GN 12/38 FIXED 5                      | CUSIP: 36296UKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5204 | PA      | $5339.60       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724182 GN 08/39 FIXED 5.5                    | CUSIP: 3620AARB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29544 | PA      | $30713.40      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-102                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 102 PI         | CUSIP: 38379NWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     842053 | PA      | $77919.85      | 0.01%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 751193 FN 02/34 FIXED 5.5                    | CUSIP: 31403KRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5761 | PA      | $5968.17       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607658 GN 02/33 FIXED 5.5                    | CUSIP: 36202SB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3097 | PA      | $3210.08       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 993549 FN 04/39 FIXED 4                      | CUSIP: 31415YWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61027 | PA      | $59715.00      | 0.01%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 871232 FN 04/36 FIXED 6                      | CUSIP: 31409G4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15744 | PA      | $16229.68      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA3979 FN 03/37 FIXED 5                      | CUSIP: 31416MM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76210 | PA      | $76376.55      | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91251 FG 06/29 FIXED 4.5            | CUSIP: 3128P7L84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24691 | PA      | $24787.00      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02085 FG 03/36 FIXED 6              | CUSIP: 3128LXJ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        866 | PA      | $914.16        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA3813 G2 07/47 FIXED 3.5                 | CUSIP: 3617AGGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423695 | PA      | $391969.71     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2837 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     525515 | PA      | $527407.60     | 0.05%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 065581 FN 08/28 FLOATING VAR                 | CUSIP: 31362M2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6011 | PA      | $5943.36       | 0.00%             | 2028-08-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256023 FN 12/35 FIXED 6                      | CUSIP: 31371MLC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103000 | PA      | $108591.26     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04044 FG 03/38 FIXED 5.5            | CUSIP: 3128M5ZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24399 | PA      | $25331.00      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI0141 FN 04/41 FIXED 4                      | CUSIP: 3138ADEP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     743618 | PA      | $728240.88     | 0.06%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 667332 GN 03/37 FIXED 6.5                    | CUSIP: 36295DLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1289 | PA      | $1344.12       | 0.00%             | 2037-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008788 G2 01/26 FLOATING VAR              | CUSIP: 36202KXR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $160.46        | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928184 FN 04/37 FIXED 5.5                    | CUSIP: 31412LFZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9968 | PA      | $10342.03      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4695 FN 07/42 FIXED 3                      | CUSIP: 31418EGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138814 | PA      | $128207.93     | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0379 FN 09/43 FIXED 4                      | CUSIP: 3138W9M56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133211 | PA      | $129806.68     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886293 FN 07/36 FIXED 6.5                    | CUSIP: 31410DUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     164470 | PA      | $172599.86     | 0.01%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 547428 FN 06/30 FLOATING VAR                 | CUSIP: 31385ND97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6685 | PA      | $6744.25       | 0.00%             | 2030-06-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08378 FG 10/39 FIXED 6              | CUSIP: 3128MJM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9684 | PA      | $10092.33      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2122 FN 06/53 FIXED 5                      | CUSIP: 3140NJLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194792 | PA      | $196020.45     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 793765 FN 10/34 FIXED 5.5                    | CUSIP: 31405MZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50455 | PA      | $52211.95      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4643 FN 05/42 FIXED 3                      | CUSIP: 31418EER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     913254 | PA      | $843752.21     | 0.07%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080150 G2 01/28 FLOATING VAR              | CUSIP: 36225CEY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7458 | PA      | $7447.32       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1548 FN 04/52 FIXED VAR                    | CUSIP: 3140XGWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     946748 | PA      | $805959.85     | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91164 FG 03/28 FIXED 5              | CUSIP: 3128P7JH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26773 | PA      | $26984.93      | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 801462 FN 11/34 FIXED 5.5                    | CUSIP: 31405WMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1064 | PA      | $1101.67       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080446 G2 08/30 FLOATING VAR              | CUSIP: 36225CP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8820 | PA      | $8869.44       | 0.00%             | 2030-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800412 FN 12/34 FIXED 5.5                    | CUSIP: 31405VGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159413 | PA      | $164965.43     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804644 FN 12/34 FIXED 5.5                    | CUSIP: 31406A5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        688 | PA      | $714.19        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-3                           | THORNBURG MORTGAGE SECURITIES TMST 2003 3 A4           | CUSIP: 885220DR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61780 | PA      | $60231.27      | 0.01%             | 2043-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 759000 FN 01/34 FIXED 5.5                    | CUSIP: 31403VGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31998 | PA      | $32318.72      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-1                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 1 2A2         | CUSIP: 161546EF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3575 | PA      | $3575.57       | 0.00%             | 2032-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A       | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101927 | PA      | $87476.36      | 0.01%             | 2046-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773232 FN 01/35 FIXED 5.5                    | CUSIP: 31404NA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2319 | PA      | $2411.44       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW4752 FN 06/44 FIXED 5                      | CUSIP: 3138XUH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45695 | PA      | $46442.02      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080444 G2 08/30 FLOATING VAR              | CUSIP: 36225CP67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4059 | PA      | $4088.56       | 0.00%             | 2030-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 770170 FN 03/34 FIXED 6                      | CUSIP: 31404JT39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3925 | PA      | $4009.94       | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603250 GN 04/34 FIXED 5.5                    | CUSIP: 36200KEX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $361.58        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM6156 FN 01/49 FLOATING VAR                 | CUSIP: 3140JAZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1108392 | PA      | $1146115.04    | 0.10%             | 2049-01-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3596                                                  | FREDDIE MAC FHR 3596 FC                                | CUSIP: 31398KUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176728 | PA      | $176762.09     | 0.02%             | 2035-08-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM4862 FN 11/50 FIXED VAR                    | CUSIP: 3140X8ML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1852280 | PA      | $1564662.92    | 0.13%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1        | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478446 | PA      | $382181.68     | 0.03%             | 2046-12-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 594701 GN 01/33 FIXED 5.5                    | CUSIP: 36201VU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35131 | PA      | $36418.84      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00442 FG 01/26 FIXED 7              | CUSIP: 31292GP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.54         | 0.00%             | 2026-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06872 FG 09/39 FIXED 5.5            | CUSIP: 3128M86H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112613 | PA      | $117329.53     | 0.01%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 774477 FN 04/34 FIXED 5.5                    | CUSIP: 31404PM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10895 | PA      | $10995.03      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9316 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4840690 | PA      | $4518140.26    | 0.39%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 656220 GN 08/36 FIXED 6.5                    | CUSIP: 36294QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $201.22        | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1      | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405196 | PA      | $372139.22     | 0.03%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2               | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1      | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401399 | PA      | $386689.20     | 0.03%             | 2046-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786384 FN 07/34 FIXED 6                      | CUSIP: 31405DUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228981 | PA      | $240502.87     | 0.02%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479449 GN 07/30 FIXED 8.5                    | CUSIP: 36209RTE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3812 | PA      | $3825.40       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783024 GN 07/40 FIXED 5                      | CUSIP: 36241LLD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19898 | PA      | $20398.51      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782789 GN 10/39 FIXED 5.5                    | CUSIP: 36241LC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3054 | PA      | $3203.55       | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01975 FG 06/35 FIXED 6              | CUSIP: 3128LXFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10667 | PA      | $11095.00      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5653 G2 12/48 FIXED 5                   | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186622 | PA      | $189361.35     | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003876 G2 07/36 FIXED 5                   | CUSIP: 36202EJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17526 | PA      | $17926.33      | 0.00%             | 2036-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 614894 FN 12/31 FIXED 6                      | CUSIP: 31388UC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $394.93        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR         | CUSIP: 3128HDZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.19          | 0.00%             | 2029-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448355 GN 04/31 FIXED 7.5                    | CUSIP: 36208EBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        800 | PA      | $811.81        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW3079 FN 06/42 FIXED 3                      | CUSIP: 3140MUM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27343 | PA      | $25166.91      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM8692 GN 06/45 FIXED 2.5                    | CUSIP: 36185BUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74212 | PA      | $64203.89      | 0.01%             | 2045-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080406 G2 05/30 FLOATING VAR              | CUSIP: 36225CNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        608 | PA      | $607.64        | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS5671 FN 08/45 FIXED 4                      | CUSIP: 3138WFJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1559306 | PA      | $1501630.62    | 0.13%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 345                                            | FREDDIEMAC STRIP FHS 345 C13                           | CUSIP: 31325VRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1850947 | PA      | $278949.96     | 0.02%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779242 FN 06/34 FIXED 5.5                    | CUSIP: 31404UWB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24049 | PA      | $24313.82      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5            | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $99.49         | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4058 FN 06/53 FIXED 5                      | CUSIP: 3140NLQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268916 | PA      | $270690.96     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 517675 FN 07/29 FIXED 6.5                    | CUSIP: 31384ACL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $188.02        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732933 GN 01/40 FIXED 5                      | CUSIP: 3620ALHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31220 | PA      | $31867.53      | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                   | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A             | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91260 | PA      | $89918.99      | 0.01%             | 2040-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2006-20E                           | SMALL BUSINESS ADMINISTRATION SBAP 2006 20E 1          | CUSIP: 83162CQG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11744 | PA      | $11747.89      | 0.00%             | 2026-05-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673003 GN 08/38 FIXED 5.5                    | CUSIP: 36295KU43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2719 | PA      | $2841.21       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 408204 FN 01/28 FIXED 6.5                    | CUSIP: 31378TNV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $58.06         | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06021 FG 01/40 FIXED 5.5            | CUSIP: 3128M8AW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47734 | PA      | $49577.08      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   94850000 | PA      | $81678054.35   | 6.99%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755724 FN 05/34 FIXED 5.5                    | CUSIP: 31403RSM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149118 | PA      | $152996.53     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559800 FN 09/40 FLOATING VAR                 | CUSIP: 31386C3H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15695 | PA      | $15704.63      | 0.00%             | 2040-09-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                                  | FREDDIE MAC FHR 2061 Z                                 | CUSIP: 3133TEJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11738 | PA      | $11943.73      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 914458 FN 04/37 FIXED 6                      | CUSIP: 31411S5T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8944 | PA      | $9430.15       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1         | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        606 | PA      | $602.88        | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1       | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285083 | PA      | $96937.29      | 0.01%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 753079 FN 01/34 FIXED 5.5                    | CUSIP: 31403MUC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2161 | PA      | $2216.50       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91232 FG 11/28 FIXED 5              | CUSIP: 3128P7LM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4853 | PA      | $4888.40       | 0.00%             | 2028-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2678 FN 01/52 FIXED VAR                    | CUSIP: 3140XH6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7114191 | PA      | $6047840.48    | 0.52%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A78806 FG 07/38 FIXED 5.5            | CUSIP: 3128LCYB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9663 | PA      | $9898.56       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462622 GN 03/28 FIXED 6.5                    | CUSIP: 36208V4F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        615 | PA      | $631.74        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004447 G2 05/39 FIXED 5                   | CUSIP: 36202E5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147896 | PA      | $151352.23     | 0.01%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03320 FG 09/37 FIXED 5.5            | CUSIP: 3128M5AV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8428 | PA      | $8777.08       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A         | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55270 | PA      | $51954.23      | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF9539 G2 04/48 FIXED 3.5                 | CUSIP: 3617GGS48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     703306 | PA      | $650637.31     | 0.06%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                             | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                    | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7256 | PA      | $7320.46       | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5            | CUSIP: 3128M7AX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24398 | PA      | $25339.85      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1       | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41914 | PA      | $39577.81      | 0.00%             | 2035-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37999 FG 10/35 FIXED 4.5            | CUSIP: 31297T3G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        238 | PA      | $238.79        | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 751297 FN 03/34 FIXED 5.5                    | CUSIP: 31403KUW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5788 | PA      | $5838.80       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02427 FG 12/36 FIXED 5.5            | CUSIP: 3128M4A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4382 | PA      | $4567.40       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900134 FN 09/36 FIXED 6                      | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18491 | PA      | $19131.41      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323919 FN 08/29 FLOATING VAR                 | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3114 | PA      | $3134.36       | 0.00%             | 2029-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080428 G2 07/30 FLOATING VAR              | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71667 | PA      | $71826.56      | 0.01%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844425 FN 12/35 FIXED 6                      | CUSIP: 31407YD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4904 | PA      | $5154.13       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 769755 GN 09/41 FIXED 4                      | CUSIP: 36176L5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136753 | PA      | $133344.40     | 0.01%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 411079 GN 12/38 FIXED 6                      | CUSIP: 36206GUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1046 | PA      | $1074.27       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-32                                         | FANNIE MAE FNR 2013 32 AC                              | CUSIP: 3136ADKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165093 | PA      | $157458.59     | 0.01%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 914048 FN 03/37 FIXED 6                      | CUSIP: 31411SP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38847 | PA      | $40484.24      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05923 FG 02/40 FIXED 5.5            | CUSIP: 3128M74G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3965 | PA      | $4116.03       | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4967627.15    | 0.43%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08147 FG 08/36 FIXED 6.5            | CUSIP: 3128MJEV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56474 | PA      | $59311.39      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689631 FN 02/33 FIXED 5.5                    | CUSIP: 31400KEC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3877 | PA      | $3911.06       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781629 FN 12/34 FIXED 5.5                    | CUSIP: 31404XLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21071 | PA      | $21917.87      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 543845 FN 07/30 FIXED 8                      | CUSIP: 31385GES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        878 | PA      | $911.64        | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4587 FN 04/43 FIXED VAR                    | CUSIP: 3140XLCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289453 | PA      | $299901.50     | 0.03%             | 2043-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 1A2       | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13518 | PA      | $12148.35      | 0.00%             | 2036-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940380 FN 07/37 FIXED 6                      | CUSIP: 31413BFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     404392 | PA      | $425068.30     | 0.04%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 456455 FN 01/29 FIXED 6.5                    | CUSIP: 31381CBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $195.95        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT0861 GN 03/50 FIXED 3                      | CUSIP: 3617MN5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3541719 | PA      | $3171775.42    | 0.27%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256449 FN 10/26 FIXED 6.5                    | CUSIP: 31371MZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6261 | PA      | $6461.91       | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781611 GN 05/33 FIXED 5                      | CUSIP: 36225BYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $297.31        | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B        | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44791 | PA      | $40217.95      | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP          | CUSIP: 38378MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1942933 | PA      | $204984.14     | 0.02%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A       | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     403253 | PA      | $371043.47     | 0.03%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                 | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     244239 | PA      | $241742.35     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV2                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV2 A3B 144A | CUSIP: 17331WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1553250 | PA      | $1581017.53    | 0.14%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 724938 FN 06/33 FIXED 5.5                    | CUSIP: 31402CLT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5389 | PA      | $5555.81       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                                           | FREDDIE MAC FHR 4367 GS                                | CUSIP: 3137BCL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101948 | PA      | $5671.71       | 0.00%             | 2037-03-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 FA                              | CUSIP: 3136B6Z48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10026541 | PA      | $9897473.43    | 0.85%             | 2059-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A84160 FG 01/39 FIXED 5.5            | CUSIP: 312930TR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61911 | PA      | $64227.31      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080104 G2 08/27 FLOATING VAR              | CUSIP: 36225CDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        545 | PA      | $548.32        | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A2A       | CUSIP: 41161PFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330806 | PA      | $308723.14     | 0.03%             | 2034-08-19      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5356 FR 06/53 FIXED 5              | CUSIP: 3133C55R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88684 | PA      | $88938.33      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8910 FN 03/31 FIXED 4.99                   | CUSIP: 3140LK3U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1474036 | PA      | $1514113.48    | 0.13%             | 2031-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| OZLM XIX LTD 2017-17A                                             | OZLM LTD OZLM 2017 17A A1RR 144A                       | CUSIP: 67111NAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     144874 | PA      | $144946.94     | 0.01%             | 2030-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62071 FG 08/46 FIXED 3              | CUSIP: 3128S3JQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     640079 | PA      | $567265.78     | 0.05%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                          | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1       | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        958 | PA      | $940.47        | 0.00%             | 2033-06-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -152282884 | PA      | $-143505673.18 | -12.29%           | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2065                                                  | FREDDIE MAC FHR 2065 Z                                 | CUSIP: 3133TEFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3204 | PA      | $3263.00       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56735 FG 01/37 FIXED 5.5            | CUSIP: 3128KKPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        496 | PA      | $515.59        | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 562346 GN 01/34 FIXED 5                      | CUSIP: 36213RWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $114.44        | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612919 GN 07/33 FIXED 5                      | CUSIP: 36202X4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $817.26        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5            | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1103623 | PA      | $1148840.69    | 0.10%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 606323 GN 06/36 FIXED 5.5                    | CUSIP: 36201XSL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10784 | PA      | $11204.43      | 0.00%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783610 GN 11/41 FIXED 4.5                    | CUSIP: 3622A2AK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12204 | PA      | $12155.28      | 0.00%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782539 GN 11/38 FIXED 5.5                    | CUSIP: 36241KZC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69691 | PA      | $72924.06      | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 690977 GN 05/38 FIXED 5.5                    | CUSIP: 36296GUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $621.72        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928932 FN 11/37 FIXED 6.5                    | CUSIP: 31412MA99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11213 | PA      | $11786.51      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256253 FN 05/26 FIXED 5                      | CUSIP: 31371MTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.35         | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784208 GN 07/46 FIXED 4                      | CUSIP: 3622A2U91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3740241 | PA      | $3580929.21    | 0.31%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04162 FG 04/38 FIXED 5.5            | CUSIP: 3128M55X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37612 | PA      | $39202.33      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q56894 FG 06/48 FIXED 4              | CUSIP: 3132Y0UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     535776 | PA      | $515523.95     | 0.04%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7402 FN 06/39 FIXED 4.5                    | CUSIP: 31416RGL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221985 | PA      | $223531.82     | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A68769 FG 10/32 FIXED 5.5            | CUSIP: 3128L0W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26089 | PA      | $26549.13      | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS USD SOFR/1.84000 07/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2791617.34    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04631 FG 01/30 FIXED 6              | CUSIP: 3128M6PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6614 | PA      | $6802.18       | 0.00%             | 2030-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03156 FG 08/37 FIXED 5.5            | CUSIP: 3128M4ZV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2804 | PA      | $2922.33       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3278 FN 04/52 FIXED 3                      | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3242038 | PA      | $2853559.68    | 0.24%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93293 FG 08/40 FIXED 5.5            | CUSIP: 312941US4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20629 | PA      | $21345.32      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A AV                      | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35040 | PA      | $34819.83      | 0.00%             | 2032-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779385 GN 06/42 FIXED 3.5                    | CUSIP: 36176XUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1416874 | PA      | $1327962.06    | 0.11%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-1                            | MASTR SEASONED SECURITIZATION MSSTR 2005 1 3A1         | CUSIP: 55265WCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28071 | PA      | $26058.92      | 0.00%             | 2032-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                  | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1              | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1957 | PA      | $1941.17       | 0.00%             | 2031-06-19      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE9832 G2 06/48 FIXED 4.5                 | CUSIP: 3617G44R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57871 | PA      | $56223.46      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838927 FN 08/35 FIXED 6                      | CUSIP: 31407SA44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40148 | PA      | $42326.14      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2       | CUSIP: 12667GCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74548 | PA      | $68567.93      | 0.01%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2378 FN 10/41 FIXED VAR                    | CUSIP: 3138EJUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57730 | PA      | $56250.72      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 791585 FN 09/34 FIXED 6                      | CUSIP: 31405KNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        567 | PA      | $579.51        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 499440 GN 04/29 FIXED 6.5                    | CUSIP: 36210QZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1093.00       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 691570 GN 08/38 FIXED 6.5                    | CUSIP: 36296HJP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7337 | PA      | $7668.47       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0178 FN 03/30 FIXED VAR                    | CUSIP: 3138EGFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106930 | PA      | $107236.07     | 0.01%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BR8465 FN 04/51 FIXED 2.5                    | CUSIP: 3140L7MP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1884073 | PA      | $1602567.30    | 0.14%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903263 FN 10/36 FIXED 6                      | CUSIP: 31411BQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10867 | PA      | $11203.67      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758788 FN 12/33 FIXED 5.5                    | CUSIP: 31403U6Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18089 | PA      | $18350.21      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU0485 FN 06/43 FIXED 4                      | CUSIP: 3138WZRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     565718 | PA      | $550516.69     | 0.05%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                     | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                 | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180509 | PA      | $172926.14     | 0.01%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04626 FG 05/31 FIXED 6              | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $79.19         | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3              | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13006735 | PA      | $11635870.61   | 1.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782604 GN 03/39 FIXED 5.5                    | CUSIP: 36241K3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81606 | PA      | $85525.68      | 0.01%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN4325 FN 01/49 FIXED 4.5                    | CUSIP: 3140JLYX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     658699 | PA      | $650747.59     | 0.06%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 974965 FN 04/38 FIXED 5                      | CUSIP: 31414STW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        874 | PA      | $896.13        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI3937 FN 09/41 FIXED 4                      | CUSIP: 3138AHLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     214024 | PA      | $208273.04     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3229 FN 02/47 FIXED VAR                    | CUSIP: 3140X6ST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5764863 | PA      | $5441536.87    | 0.47%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 988031 FN 08/38 FIXED 6                      | CUSIP: 31415SSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        834 | PA      | $851.66        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003029 G2 01/31 FIXED 8.5                 | CUSIP: 36202DLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3141 | PA      | $3298.40       | 0.00%             | 2031-01-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 566519 GN 06/34 FIXED 5                      | CUSIP: 36213WK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        993 | PA      | $992.15        | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9746 FN 10/28 FIXED 5.61                   | CUSIP: 3140LLZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392000 | PA      | $402820.87     | 0.03%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                   | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1             | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282634 | PA      | $160731.55     | 0.01%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                         | FANNIE MAE FNR 2015 19 AI                              | CUSIP: 3136ANJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     489910 | PA      | $24473.82      | 0.00%             | 2055-04-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 767506 FN 03/34 FIXED 5.5                    | CUSIP: 31404FU76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21030 | PA      | $21474.15      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3        | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195622 | PA      | $51392.82      | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782278 GN 02/38 FIXED 5.5                    | CUSIP: 36241KQ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        578 | PA      | $604.16        | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1227 G2 08/43 FIXED 5                   | CUSIP: 36179NLG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1430967 | PA      | $1467038.41    | 0.13%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 555732 GN 03/32 FIXED 6.5                    | CUSIP: 36213JLM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $391.65        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 654758 GN 09/36 FIXED 6.5                    | CUSIP: 36294NMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11767 | PA      | $12306.53      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1265570 | PA      | $12325382.82   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0465 G2 10/42 FIXED 5                   | CUSIP: 36179MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20629 | PA      | $21167.87      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773752 FN 04/34 FIXED 5.5                    | CUSIP: 31404NTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7828 | PA      | $8086.90       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782808 GN 11/39 FIXED 5.5                    | CUSIP: 36241LDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8005 | PA      | $8389.43       | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A10364 FG 06/33 FIXED 5.5            | CUSIP: 31296JMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9435 | PA      | $9530.60       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782399 GN 09/38 FIXED 5.5                    | CUSIP: 36241KUY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39076 | PA      | $40908.52      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A       | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171932 | PA      | $160041.95     | 0.01%             | 2037-03-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605561 GN 11/34 FIXED 5.5                    | CUSIP: 36200NWW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34797 | PA      | $35091.07      | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 081401 G2 07/35 FLOATING VAR              | CUSIP: 36225DRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137972 | PA      | $140326.37     | 0.01%             | 2035-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782729 GN 06/39 FIXED 6                      | CUSIP: 36241LA63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        896 | PA      | $944.36        | 0.00%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1638 G2 12/47 FIXED 4                   | CUSIP: 3617BUZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524690 | PA      | $510055.86     | 0.04%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 657144 GN 04/37 FIXED 6                      | CUSIP: 36294RBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1727 | PA      | $1795.97       | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008865 G2 05/26 FLOATING VAR              | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6801 | PA      | $6802.81       | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                                     | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                  | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3469 | PA      | $3467.39       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0140 FN 08/29 FIXED 4.5                    | CUSIP: 31417YEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29453 | PA      | $29532.83      | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716818 GN 04/39 FIXED 4.5                    | CUSIP: 3620A2K70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5153 | PA      | $5130.00       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902610 FN 11/36 FIXED 6                      | CUSIP: 31411AYF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1380 | PA      | $1451.03       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918546 FN 06/37 FIXED 6                      | CUSIP: 31411YP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10495 | PA      | $10937.07      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1      | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5329 | PA      | $4445.21       | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-57                                         | FANNIE MAE FNR 2012 57 SC                              | CUSIP: 3136A6HS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378504 | PA      | $339563.78     | 0.03%             | 2042-06-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670665 GN 08/37 FIXED 6                      | CUSIP: 36295HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        874 | PA      | $918.41        | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080457 G2 09/30 FLOATING VAR              | CUSIP: 36225CQK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4053 | PA      | $4074.26       | 0.00%             | 2030-09-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 687923 GN 09/38 FIXED 6                      | CUSIP: 36296DG85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5004 | PA      | $5166.79       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 964789 FN 08/38 FIXED 6                      | CUSIP: 31414FKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        376 | PA      | $391.83        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEP CORP 2001-R1A                                  | NOMURA ASSET ACCEPTANCE CORPOR NAA 2001 R1A A 144A     | CUSIP: 65535VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84720 | PA      | $84499.66      | 0.01%             | 2030-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5659 G2 04/48 FIXED 4                   | CUSIP: 3617G0JC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1004718 | PA      | $950707.47     | 0.08%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A     | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1775798 | PA      | $1777046.86    | 0.15%             | 2036-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 882684 FN 06/36 FIXED 6                      | CUSIP: 31409YUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25425 | PA      | $26495.12      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1       | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     392568 | PA      | $374727.84     | 0.03%             | 2045-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323439 FN 12/28 FIXED VAR                    | CUSIP: 31374THQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $161.66        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W13                                     | FANNIEMAE WHOLE LOAN FNW 2003 W13 AV2                  | CUSIP: 31393C7G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.97          | 0.00%             | 2033-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780992 GN 12/28 FIXED 8                      | CUSIP: 36225BC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $235.50        | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-330747.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A MV1                     | CUSIP: 152314ER7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159675 | PA      | $174099.61     | 0.01%             | 2032-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ3615 FN 11/41 FIXED 4                      | CUSIP: 3138AVAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83682 | PA      | $81555.22      | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 507686 GN 07/30 FIXED 8.5                    | CUSIP: 36211A6X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8837 | PA      | $8868.04       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 678100 GN 01/39 FIXED 5.5                    | CUSIP: 36295RKM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9141 | PA      | $9434.15       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080167 G2 02/28 FLOATING VAR              | CUSIP: 36225CFH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        546 | PA      | $546.77        | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A       | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6022922 | PA      | $5226861.16    | 0.45%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673228 GN 11/38 FIXED 5.5                    | CUSIP: 36295K4M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20701 | PA      | $21630.61      | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0102 FN 06/56 FIXED 3.5                    | CUSIP: 3140FXDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6452199 | PA      | $5903947.65    | 0.51%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680512 GN 01/40 FIXED 6                      | CUSIP: 36295UAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60106 | PA      | $61997.88      | 0.01%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2         | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158586 | PA      | $153564.17     | 0.01%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2385                                                  | FREDDIE MAC FHR 2385 FA                                | CUSIP: 31339L4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     131548 | PA      | $132623.29     | 0.01%             | 2031-04-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080541 G2 09/31 FLOATING VAR              | CUSIP: 36225CS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175844 | PA      | $176289.64     | 0.02%             | 2031-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01864 FG 01/34 FIXED 5              | CUSIP: 3128LXB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18084 | PA      | $18371.44      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                  | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 3A2              | CUSIP: 12669B2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2163 | PA      | $2150.67       | 0.00%             | 2031-07-19      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H0526A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3526594.86    | 0.30%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 521288 GN 04/35 FIXED 5                      | CUSIP: 36211SCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261976 | PA      | $266260.40     | 0.02%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697572 GN 11/38 FIXED 5                      | CUSIP: 36296P6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166553 | PA      | $169429.16     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604945 GN 01/34 FIXED 5                      | CUSIP: 36200NBN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1607 | PA      | $1624.78       | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 655687 FN 08/32 FIXED 6.5                    | CUSIP: 31390TNC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18581 | PA      | $19180.14      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 542633 GN 03/31 FIXED 7.5                    | CUSIP: 36212SY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        962 | PA      | $968.59        | 0.00%             | 2031-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 705406 GN 01/39 FIXED 6.5                    | CUSIP: 36296YU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6030 | PA      | $6021.85       | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-47                                         | FANNIE MAE FNR 2015 47 GI                              | CUSIP: 3136APDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37317 | PA      | $2018.78       | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 770080 FN 03/34 FIXED 5                      | CUSIP: 31404JQ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53755 | PA      | $53855.86      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1338 FN 12/40 FIXED 4                      | CUSIP: 3138A2PY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82548 | PA      | $80364.13      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550876 GN 09/31 FIXED 5.5                    | CUSIP: 36213C6M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        432 | PA      | $439.13        | 0.00%             | 2031-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3241 FN 03/50 FIXED VAR                    | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13590196 | PA      | $12150890.67   | 1.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                         | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                     | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22685 | PA      | $22405.08      | 0.00%             | 2027-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 774031 FN 04/34 FIXED 5.5                    | CUSIP: 31404N4Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22110 | PA      | $22879.93      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775012 FN 04/34 FIXED 5.5                    | CUSIP: 31404QAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16159 | PA      | $16309.46      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677567 GN 11/37 FIXED 6                      | CUSIP: 36295QW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $161.75        | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 137825 FN 10/31 FLOATING VAR                 | CUSIP: 31365UA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10901 | PA      | $10648.14      | 0.00%             | 2031-10-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                           | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A         | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538894 | PA      | $420601.13     | 0.04%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995736 FN 05/37 FIXED VAR                    | CUSIP: 31416CEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166174 | PA      | $172712.29     | 0.01%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD3541 G2 10/47 FIXED 3.5                 | CUSIP: 3617BJ5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     237831 | PA      | $218563.19     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711345 GN 09/38 FIXED 6                      | CUSIP: 36297GHW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16321 | PA      | $16857.68      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75879 FG 04/38 FIXED 5              | CUSIP: 3128L9Q89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17876 | PA      | $18345.43      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91065 FG 07/27 FIXED 6              | CUSIP: 3128P7FE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1775 | PA      | $1814.52       | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782662 GN 05/39 FIXED 5.5                    | CUSIP: 36241K5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5314 | PA      | $5573.59       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782144 GN 02/37 FIXED 6                      | CUSIP: 36241KLZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1560 | PA      | $1644.15       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783748 GN 04/43 FIXED 3.5                    | CUSIP: 3622A2EV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     283598 | PA      | $265441.08     | 0.02%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080425 G2 07/30 FLOATING VAR              | CUSIP: 36225CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10282 | PA      | $10323.06      | 0.00%             | 2030-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02424 FG 12/36 FIXED 5.5            | CUSIP: 3128M4AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98902 | PA      | $103081.77     | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1         | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643480 | PA      | $588307.04     | 0.05%             | 2037-10-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745257 FN 01/36 FIXED VAR                    | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2760 | PA      | $2910.06       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2800 FN 11/26 FIXED 2                      | CUSIP: 31418CDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9003 | PA      | $8895.31       | 0.00%             | 2026-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                                | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2         | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360204 | PA      | $365656.29     | 0.03%             | 2034-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05605 FG 04/39 FIXED 5.5            | CUSIP: 3128M7R24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26005 | PA      | $27040.97      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI          | CUSIP: 38380CSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     470320 | PA      | $22705.98      | 0.00%             | 2045-11-20      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 730470 FN 08/33 FIXED 5.5                    | CUSIP: 31402JQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.53         | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676927 GN 04/38 FIXED 5.5                    | CUSIP: 36295QA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25734 | PA      | $26833.04      | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ9265 G2 05/47 FIXED 3.5                 | CUSIP: 36197NJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     409515 | PA      | $378847.09     | 0.03%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27500 10/06/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $422033.28     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD1201 FN 06/46 FIXED 4                      | CUSIP: 3140F8KP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     196778 | PA      | $189459.09     | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -264600000 | PA      | $-241707371.60 | -20.70%           | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003939 G2 01/37 FIXED 5                   | CUSIP: 36202ELU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43282 | PA      | $44223.03      | 0.00%             | 2037-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8229 FN 06/30 FIXED 4.5                    | CUSIP: 3140LKEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $202762.08     | 0.02%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775776 FN 05/34 FIXED 5.5                    | CUSIP: 31404Q2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1046 | PA      | $1076.91       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723748 GN 05/40 FIXED 4.5                    | CUSIP: 3620AABR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128881 | PA      | $130430.63     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781630 GN 07/33 FIXED 5.5                    | CUSIP: 36225BY36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $393.92        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                        | LCM LTD PARTNERSHIP LCM 30A AR 144A                    | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2583479 | PA      | $2588000.44    | 0.22%             | 2031-04-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 787216 FN 07/34 FIXED 5.5                    | CUSIP: 31405ESD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19087 | PA      | $19293.72      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                                         | FANNIE MAE FNR 2014 45 SA                              | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259612 | PA      | $18302.02      | 0.00%             | 2044-08-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 685615 FN 02/33 FIXED 6                      | CUSIP: 31400EVG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6246 | PA      | $6379.42       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AW8634 G2 04/47 FIXED 3.5                 | CUSIP: 36195XSX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241962 | PA      | $223841.84     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9966 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402416 | PA      | $372285.13     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ3519 G2 06/47 FIXED 3.5                 | CUSIP: 36197F4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     577942 | PA      | $534668.02     | 0.05%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05891 FG 06/39 FIXED 5.5            | CUSIP: 3128M72Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36011 | PA      | $37357.84      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $29081018.70   | 2.49%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080263 G2 03/29 FLOATING VAR              | CUSIP: 36225CJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        496 | PA      | $498.36        | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080154 G2 01/28 FLOATING VAR              | CUSIP: 36225CE44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1238 | PA      | $1236.87       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8554 FR 02/32 FIXED 2.5            | CUSIP: 3131XCQF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44276 | PA      | $42674.55      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256856 FN 08/27 FIXED 6.5                    | CUSIP: 31371NH99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $255.48        | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008849 G2 04/26 FLOATING VAR              | CUSIP: 36202KZN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        804 | PA      | $802.82        | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 850655 FN 02/36 FIXED 6.5                    | CUSIP: 31408GBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57225 | PA      | $59089.03      | 0.01%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2682 FN 03/33 FIXED 2                      | CUSIP: 3140Q96U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     693603 | PA      | $656058.51     | 0.06%             | 2033-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1931 FN 07/47 FIXED VAR                    | CUSIP: 3140J6ED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123045 | PA      | $126076.57     | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04891 FG 01/38 FIXED 5.5            | CUSIP: 3128M6XU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40682 | PA      | $42400.30      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778871 FN 06/34 FIXED 5.5                    | CUSIP: 31404UJQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71473 | PA      | $72656.10      | 0.01%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1       | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975526 | PA      | $951494.03     | 0.08%             | 2034-12-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8216 FN 04/33 FIXED 4.49                   | CUSIP: 3140LKDW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2015457.56    | 0.17%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-34                               | FHLMC STRUCTURED PASS THROUGH FSPC T 34 A1V            | CUSIP: 3133985T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18366 | PA      | $18202.87      | 0.00%             | 2031-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08118 FG 03/36 FIXED 6.5            | CUSIP: 3128MJDY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5755 | PA      | $6089.97       | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080102 G2 08/27 FLOATING VAR              | CUSIP: 36225CDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        934 | PA      | $933.35        | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A84058 FG 01/39 FIXED 5.5            | CUSIP: 312930QK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1626 | PA      | $1684.54       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS9646 FN 05/37 FIXED 4                      | CUSIP: 3138WKWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2552112 | PA      | $2537346.08    | 0.22%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02689 FG 01/37 FIXED 6.5            | CUSIP: 3128M4KA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14324 | PA      | $15190.66      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD 2019-1A                                     | MARATHON CLO LTD MCLO 2019 1A AAR2 144A                | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1478809 | PA      | $1481471.52    | 0.13%             | 2032-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05109 FG 11/36 FIXED 5.5            | CUSIP: 3128M7AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1814 | PA      | $1883.38       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899732 FN 09/37 FIXED 6.5                    | CUSIP: 31410WSV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15365 | PA      | $16244.06      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5523 FN 02/37 FIXED 4                      | CUSIP: 3140FRD51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     740267 | PA      | $724975.77     | 0.06%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745281 FN 01/36 FIXED VAR                    | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4709 | PA      | $4961.02       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0240 GN 04/45 FIXED 3.5                    | CUSIP: 36184KHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117072 | PA      | $109502.99     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725943 FN 10/34 FIXED VAR                    | CUSIP: 31402DP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4173 | PA      | $4277.64       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A34552 FG 04/35 FIXED 4.5            | CUSIP: 31297QBV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2455 | PA      | $2477.33       | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1907 FN 07/47 FIXED VAR                    | CUSIP: 3140XHDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     723717 | PA      | $685250.88     | 0.06%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SAIL 2004-10 M3 SP GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7.05          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2518 FN 11/39 FIXED VAR                    | CUSIP: 3138EJYQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143822 | PA      | $145053.35     | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 925139 FN 07/37 FIXED 6                      | CUSIP: 31412GZC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95492 | PA      | $99511.74      | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T7                                   | FANNIEMAE GRANTOR TRUST FNGT 2002 T7 A1                | CUSIP: 31392DQH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20021 | PA      | $19925.69      | 0.00%             | 2032-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688098 GN 11/38 FIXED 6                      | CUSIP: 36296DNP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3032 | PA      | $3143.28       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937896 FN 07/37 FIXED 6                      | CUSIP: 31412XNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17216 | PA      | $18151.17      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1       | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43663 | PA      | $42778.91      | 0.00%             | 2030-06-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003974 G2 04/37 FIXED 5                   | CUSIP: 36202EMX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2873 | PA      | $2937.99       | 0.00%             | 2037-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     580943 | PA      | $364469.71     | 0.03%             | 2035-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555417 FN 05/33 FIXED VAR                    | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19592 | PA      | $20265.86      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                                  | FREDDIE MAC FHR 2091 ZC                                | CUSIP: 3133TGU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11034 | PA      | $11297.52      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776704 FN 05/34 FIXED 5.5                    | CUSIP: 31404R3M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149174 | PA      | $153135.19     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9966 FN 08/43 FIXED VAR                    | CUSIP: 3140XECC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24892178 | PA      | $23553729.00   | 2.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800929 FN 10/34 FIXED 5.5                    | CUSIP: 31405VY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7543 | PA      | $7609.09       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01931 FG 10/35 FIXED 5.5            | CUSIP: 3128LXEC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6250 | PA      | $6514.42       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer