# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007176
**Filing Date:** 2026-5
**Character Count:** 3147240
**Document Hash:** 978965a9262209f1dbb95a242a690782
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007176.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007176

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**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:** 261043339

**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 Total Return Fund (Series ID: S000009707)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026643 | Institutional  | PTTRX           |
| C000026644 | Administrative | PTRAX           |
| C000026645 | A              | PTTAX           |
| C000026647 | C              | PTTCX           |
| C000026649 | R              | PTRRX           |
| C000064155 | I-2            | PTTPX           |
| C000200452 | I-3            | PTTNX           |

## 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 Total Return Fund

- **b. EDGAR series identifier (if any):** S000009707

- **c. LEI of Series:** GCOBPT5OHTVIN37L8N43

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

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

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $90530707265.93

**Total Liabilities:** $43499957960.11

**Net Assets:** $47030749305.82

**Delayed Delivery Securities:** $290860776.58

**Cash Not Reported:** $106563328.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2217774.408200 | **1-Year:** 2717585.846600 | **5-Year:** 12243776.720900 | **10-Year:** 3548689.922100 | **30-Year:** -324627.823000

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

- **3-Month:** 243108.744300 | **1-Year:** 414892.068400 | **5-Year:** 1152570.235200 | **10-Year:** 247671.939200 | **30-Year:** 20417.135100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026644 | 0.32%                | 1.79%                | -2.41%               |
| Class ID C000026645 | 0.32%                | 1.78%                | -2.42%               |
| Class ID C000026647 | 0.25%                | 1.72%                | -2.48%               |
| Class ID C000064155 | 0.34%                | 1.80%                | -2.40%               |
| Class ID C000200452 | 0.33%                | 1.80%                | -2.41%               |
| Class ID C000026649 | 0.30%                | 1.76%                | -2.44%               |
| Class ID C000026643 | 0.35%                | 1.81%                | -2.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $40014851.42             | $94397503.63                               |
| Month 2  | $66085759.25             | $619364985.22                              |
| Month 3  | $-124553910.92           | $-1269011011.44                            |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A27671 FG 10/34 FIXED 6.5                 | CUSIP: 31297FQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8145 | PA      | $8435.52       | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 01/29 5.375               | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     12000000 | PA      | $11904000.00   | 0.03%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $525511.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3162 FR 04/26 FIXED 3.5                 | CUSIP: 3131X6QP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          263 | PA      | $261.82        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 10A1           | CUSIP: 161630BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       524401 | PA      | $525972.26     | 0.00%             | 2037-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8246 FR 09/52 FIXED 5                   | CUSIP: 3132DWET6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356168 | PA      | $353244.90     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080298 G2 07/29 FLOATING VAR                   | CUSIP: 36225CKL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1011 | PA      | $1012.89       | 0.00%             | 2029-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1              | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       756113 | PA      | $661452.50     | 0.00%             | 2046-10-20      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 10/45 6.5                         | CUSIP: ACI30VFT1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      8800000 | PA      | $9727801.90    | 0.02%             | 2045-10-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/27 4.85        | CUSIP: 44891ADP9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     22000000 | PA      | $22080600.08   | 0.05%             | 2027-03-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-596200.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745564 FN 02/33 FIXED VAR                         | CUSIP: 31403DJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167359 | PA      | $172686.48     | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3650 FN 04/29 FIXED 3.5                         | CUSIP: 31418DBU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9432 | PA      | $9371.63       | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR                  | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5800000 | PA      | $5463865.23    | 0.01%             | 2030-10-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 02/31 5.3                           | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     11300000 | PA      | $11457788.79   | 0.02%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253481 FN 10/30 FIXED 8                           | CUSIP: 31371JRA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          494 | PA      | $512.05        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1            | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       971768 | PA      | $432263.86     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ7082 FN 01/43 FIXED 4                           | CUSIP: 3138MN2Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14015 | PA      | $13538.83      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                       | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  16457250000 | PA      | $78714403.01   | 0.17%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-124                                                       | FANNIE MAE FNR 2006 124 FB                                  | CUSIP: 31396PFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140438 | PA      | $139108.37     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1266 FN 05/53 FIXED 5.5                         | CUSIP: 3140NHMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3546486 | PA      | $3576744.89    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9182 FN 05/33 FIXED 3                           | CUSIP: 3140HBFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       311520 | PA      | $302594.13     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2512 FN 01/46 FIXED 4                           | CUSIP: 31418BYJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5687 | PA      | $5471.66       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4750 FN 08/27 FIXED 3.5                         | CUSIP: 3138M8H48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1710 | PA      | $1695.55       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2972 FN 04/32 FIXED 3.5                         | CUSIP: 31418CJS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16769 | PA      | $16530.23      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D98131 FG 04/29 FIXED 4.5                 | CUSIP: 3128E5A82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5352 | PA      | $5350.37       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN3897 GN 06/49 FIXED 4                           | CUSIP: 3617K7KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38459 | PA      | $36287.59      | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY CREDIT TENANT LEASE                                                      | GATEWAY LEASE CTL A WHLN03785                               | CUSIP: 963SPPII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     83554140 | PA      | $55983169.10   | 0.12%             | 2038-03-12      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                | ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/31 4.6             | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       800000 | PA      | $801539.14     | 0.00%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                     | 7 ELEVEN INC SR UNSECURED 144A 02/28 1.3                    | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $4340944.42    | 0.01%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 816738 FN 01/30 FIXED 8                           | CUSIP: 31406QLT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45836 | PA      | $47001.15      | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4            | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       215193 | PA      | $159776.04     | 0.00%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-23886.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1062 FR 09/53 FIXED 6                   | CUSIP: 3133CDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       201400 | PA      | $207579.56     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 2A1             | CUSIP: 05949CED4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94846 | PA      | $91951.61      | 0.00%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $622862.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $385000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0619 FN 05/44 FIXED 4.5                         | CUSIP: 3138XPVM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89585 | PA      | $87025.69      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB1 A31           | CUSIP: 17307GDL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25681 | PA      | $25682.40      | 0.00%             | 2034-02-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260428                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-121043.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831599 FN 07/36 FIXED 6                           | CUSIP: 31407H3G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       436711 | PA      | $457090.40     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | 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        |         7903 | PA      | $3044.63       | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 540913 FN 06/31 FIXED 7                           | CUSIP: 31385C3W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           65 | PA      | $65.53         | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/51 1.875                                 | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    562017800 | PA      | $312183324.84  | 0.66%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FINANCE AMERICA MTGE LOAN TRUST 2004-2                                           | FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M2                | CUSIP: 317350BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65643 | PA      | $62864.75      | 0.00%             | 2034-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5691 FN 10/44 FIXED 4                           | CUSIP: 3138Y7KD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145268 | PA      | $139788.13     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $57475.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.35000 04/29/25-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $226599.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-106                                                       | FANNIE MAE FNR 2016 106 FT                                  | CUSIP: 3136AUZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5815368 | PA      | $5737372.93    | 0.01%             | 2047-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 630971 GN 08/34 FIXED 6                           | CUSIP: 36291K6G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4950 | PA      | $5111.34       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1               | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2562871 | PA      | $435697.05     | 0.00%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP BPS                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $39047396.75   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 633619 GN 09/34 FIXED 6                           | CUSIP: 36291N4C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13282 | PA      | $13636.24      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                    | PURPLE RE LTD UNSECURED 144A 06/33 VAR                      | CUSIP: 74639NAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1000000 | PA      | $1000000.00    | 0.00%             | 2033-06-07      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $8926.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2538                                                                 | FREDDIE MAC FHR 2538 F                                      | CUSIP: 31393G5Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118616 | PA      | $118802.86     | 0.00%             | 2032-12-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE2221 FR 05/52 FIXED 4.5                 | CUSIP: 3133BBPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13289 | PA      | $12907.89      | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 3A1             | CUSIP: 07384MTK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79898 | PA      | $81153.16      | 0.00%             | 2033-04-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 01/31 4.55                  | CUSIP: 29273VBJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      9995000 | PA      | $9908106.17    | 0.02%             | 2031-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A7            | CUSIP: 12668BNA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       776863 | PA      | $328699.30     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP BPS                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4021.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4158 FR 06/53 FIXED 5.5                 | CUSIP: 3133C4TP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30724 | PA      | $30910.03      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3                                     | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     23200000 | PA      | $18498375.00   | 0.04%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 PT 144A          | CUSIP: 52474BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242347500 | PA      | $218858211.20  | 0.47%             | 2057-12-26      | Variable      | 4.54%                 | 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        |        22041 | PA      | $23068.99      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2019 BV 19-1A                                                   | BNPP AM EURO CLO BNPAM 2019 1A AR 144A                      | CUSIP: ACI21M4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     16981088 | PA      | $19604602.61   | 0.04%             | 2032-07-22      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $205555.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95               | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     14481000 | PA      | $4513249.85    | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | 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        |        31682 | PA      | $32705.93      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905334 FN 12/36 FIXED 6                           | CUSIP: 31411DY78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19587 | PA      | $19977.54      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | 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        |          244 | PA      | $249.40        | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN19                                                                   | BANK BANK 2019 BN19 A3                                      | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25500000 | PA      | $24173548.65   | 0.05%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5931 FN 09/28 FIXED VAR                         | CUSIP: 3138ENSV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3453 | PA      | $3440.23       | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2004-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2004 1 M3                    | CUSIP: 66987XEC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1699 | PA      | $1641.98       | 0.00%             | 2034-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                   | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                     | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     29700000 | PA      | $29736227.76   | 0.06%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $100254.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A           | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2177000 | PA      | $2223447.60    | 0.00%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 3F 1A2                     | CUSIP: 3622MWBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          879 | PA      | $1431.00       | 0.00%             | 2037-05-25      | Fixed         | 5.00%                 | 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        |          344 | PA      | $347.91        | 0.00%             | 2028-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 04/30 6.15                       | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1424689.88    | 0.00%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-762596.97    | -0.00%            |  |  |  | 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        |         5261 | PA      | $5278.60       | 0.00%             | 2028-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885395 FN 06/36 FIXED 6                           | CUSIP: 31410CUU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          523 | PA      | $534.91        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-14                                                   | GSAA HOME EQUITY TRUST GSAA 2006 14 A2                      | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8014618 | PA      | $1714621.64    | 0.00%             | 2036-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A        | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33893889 | PA      | $33080926.93   | 0.07%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942320 FN 08/37 FIXED 6                           | CUSIP: 31413DK97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52466 | PA      | $54760.17      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A1                  | CUSIP: 466247J95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       390953 | PA      | $353444.04     | 0.00%             | 2036-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5029 FN 02/41 FIXED 5.5                         | CUSIP: 3138A6ST8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70495 | PA      | $71966.37      | 0.00%             | 2041-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8147 FN 12/26 FIXED 3.5                         | CUSIP: 3138E1BR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          260 | PA      | $258.42        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A2             | CUSIP: 83611XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2221232 | PA      | $1622710.32    | 0.00%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1             | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1257862 | PA      | $1183810.31    | 0.00%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-3566168.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A               | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       992578 | PA      | $981609.17     | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6400 FN 12/45 FIXED 4                           | CUSIP: 3138WGDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       275333 | PA      | $263203.56     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB5 A3            | CUSIP: 12464YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       598258 | PA      | $357504.68     | 0.00%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3              | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       428758 | PA      | $366345.34     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775452 FN 05/34 FLOATING VAR                      | CUSIP: 31404QQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21355 | PA      | $21712.51      | 0.00%             | 2034-05-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $35656.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0639 FN 03/48 FIXED 4                           | CUSIP: 3140H1V98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       223968 | PA      | $214623.27     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775075 FN 05/34 FIXED 6                           | CUSIP: 31404QCL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5273 | PA      | $5382.55       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3254 FN 07/26 FIXED 3.5                         | CUSIP: 31416YTL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          103 | PA      | $102.62        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                | TELUS CORP 05/26 ZCP                                        | CUSIP: 87974WEL8<br>LEI: 894500TX134IMF6NW757 | Long             | DBT              | CORP              | CA        |      1600000 | PA      | $1590651.84    | 0.00%             | 2026-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-18                                                        | FANNIE MAE FNR 2017 18 AF                                   | CUSIP: 3136AVQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5403838 | PA      | $5323458.85    | 0.01%             | 2047-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 778961 FN 06/34 FLOATING VAR                      | CUSIP: 31404UMJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          400 | PA      | $408.27        | 0.00%             | 2034-06-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4017 FR 09/27 FIXED 5.5                 | CUSIP: 3132A4PA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          421 | PA      | $423.63        | 0.00%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781548 GN 11/32 FIXED 7                           | CUSIP: 36225BWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           94 | PA      | $97.88         | 0.00%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889057 FN 09/35 FIXED VAR                         | CUSIP: 31410GWS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20976 | PA      | $21095.58      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       949000 | PA      | $981892.37     | 0.00%             | 2056-04-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THRU CERTIFICATIONS 2016-COR1                           | COMM MORTGAGE TRUST COMM 2016 COR1 A4                       | CUSIP: 12594MBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10964000 | PA      | $10891154.09   | 0.02%             | 2049-10-10      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1628 FN 07/43 FIXED 3                           | CUSIP: 3138X0Y28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       284066 | PA      | $260236.12     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 05/11/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-6283896.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                                 | FREDDIE MAC FHR 2411 FJ                                     | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4998 | PA      | $4987.28       | 0.00%             | 2029-12-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A Z 144A                           | CUSIP: ACI2M18R7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     20600000 | PA      | $13361431.87   | 0.03%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX4035 FN 12/52 FIXED 5.5                         | CUSIP: 3140N8PV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173885 | PA      | $175406.39     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS JV LLC                                             | CREDIT OPPORTUNITIES PARTNERS 2025A SR UNSECD NT TRANCHE B  | CUSIP: 955SEVII3<br>LEI: 5493003CSKFS2RY0JR63 | Long             | DBT              | CORP              | US        |      8400000 | PA      | $8271167.10    | 0.02%             | 2030-03-20      | Fixed         | 6.74%                 | Yes           |                  3 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                            | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/31 1.5           | CUSIP: ACI1V7SM5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |      2786000 | PA      | $2517748.33    | 0.01%             | 2031-01-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915184 FN 03/37 FIXED 6                           | CUSIP: 31411UXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33602 | PA      | $34680.03      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3892 FN 11/44 FIXED 4                           | CUSIP: 3138WDKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11682 | PA      | $11255.93      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/28 3.75              | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     12700000 | PA      | $12480938.84   | 0.03%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                         | HYATT HOTELS CORP SR UNSECURED 06/29 5.25                   | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |      7600000 | PA      | $7720830.50    | 0.02%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7220 FN 01/46 FIXED 4                           | CUSIP: 3140ECAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9246 | PA      | $8851.09       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | 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        |          174 | PA      | $178.95        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A F 144A                        | CUSIP: ACI2NGD22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      7730000 | PA      | $8755645.36    | 0.02%             | 2058-06-28      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/18/24-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $21385249.04   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G04021 FG 02/38 FIXED 6.5                 | CUSIP: 3128M5YS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4599 | PA      | $4874.06       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946382 FN 09/37 FIXED 6                           | CUSIP: 31413H2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79988 | PA      | $83724.76      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102      | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     53001559 | PA      | $54317630.44   | 0.12%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 2A2          | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       258959 | PA      | $137943.96     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q24305 FG 01/44 FIXED 4.5                 | CUSIP: 3132M4NW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78665 | PA      | $77845.55      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-160618.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                      | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241999966 | PA      | $222191550.18  | 0.47%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885275 FN 06/36 FIXED 6                           | CUSIP: 31410CQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13414 | PA      | $13680.41      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 03/18/26-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1310966.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7451 FR 02/53 FIXED 6.5                 | CUSIP: 3133BVH40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       510496 | PA      | $538535.48     | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2            | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       458358 | PA      | $109748.89     | 0.00%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-108742.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1             | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3083561 | PA      | $2425361.31    | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 576567 FN 02/31 FIXED 8                           | CUSIP: 31386XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       250806 | PA      | $260322.67     | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9076000 | PA      | $7851595.87    | 0.02%             | 2056-05-25      | Floating      | 4.26%                 | 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        |         5101 | PA      | $5206.81       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                                                 | FREDDIE MAC FHR 2080 C                                      | CUSIP: 3133TG2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26677 | PA      | $26991.46      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7493 FN 07/46 FIXED 4                           | CUSIP: 3138WHKF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5287732 | PA      | $5076954.61    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823358 FN 02/35 FLOATING VAR                      | CUSIP: 31406XWT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87056 | PA      | $89056.99      | 0.00%             | 2035-02-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 3CB5            | CUSIP: 93934FNR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       908131 | PA      | $797646.64     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-246.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840584 FN 09/35 FLOATING VAR                      | CUSIP: 31407T2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171576 | PA      | $175941.61     | 0.00%             | 2035-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-73905.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                         | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3878678 | PA      | $3719241.91    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6453 FN 10/29 FIXED VAR                         | CUSIP: 3138EPE34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          959 | PA      | $945.84        | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6132* 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2200249.61    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6597 FN 01/48 FIXED 3                           | CUSIP: 3140H8KK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19576 | PA      | $17486.72      | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/29 6.5         | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      8400000 | PA      | $8771434.90    | 0.02%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $24178.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      5100000 | PA      | $5088703.14    | 0.01%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 13A1           | CUSIP: 161630CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44850 | PA      | $42138.68      | 0.00%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B D                 | CUSIP: 78450CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1194518 | PA      | $1253345.03    | 0.00%             | 2052-03-15      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 04/09/25-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $170443.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $28610.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886278 FN 06/36 FIXED 6                           | CUSIP: 31410DUB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51184 | PA      | $52449.06      | 0.00%             | 2036-06-01      | 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        |       410415 | PA      | $478504.40     | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/49 2.375                                 | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    434019000 | PA      | $276636249.81  | 0.59%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887675 FN 08/36 FIXED 6                           | CUSIP: 31410FFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159348 | PA      | $166142.56     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6190000 | PA      | $5721175.90    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV3336 FN 02/52 FIXED 3                           | CUSIP: 3140MGV65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89375 | PA      | $79279.62      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3               | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       779135 | PA      | $842703.39     | 0.00%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 407956 FN 10/27 FLOATING VAR                      | CUSIP: 31378TE50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4465 | PA      | $4487.60       | 0.00%             | 2027-10-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV7118 FN 03/29 FIXED 3.5                         | CUSIP: 3138XJ4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137585 | PA      | $135880.19     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 2A1                | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       491372 | PA      | $318467.12     | 0.00%             | 2035-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0520 FN 07/41 FIXED VAR                         | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       408866 | PA      | $420416.83     | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MORGAN STANLEY SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $188259.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1121 FN 12/26 FIXED VAR                         | CUSIP: 3138EHG71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11046 | PA      | $10997.60      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 02/29 VAR                       | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      7400000 | PA      | $7483501.08    | 0.02%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $10980.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $38584.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-181811.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 691218 FN 02/37 FIXED 6                           | CUSIP: 31400L4B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92093 | PA      | $95438.39      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q47088 FG 03/47 FIXED 3.5                 | CUSIP: 3132WL2W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       385149 | PA      | $362148.72     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 06/32 5              | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     12900000 | PA      | $12895301.18   | 0.03%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3395 FN 06/28 FIXED 3.5                         | CUSIP: 31418CXZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18083 | PA      | $17971.61      | 0.00%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-45                                                               | FANNIE MAE FNR 1997 45 CD                                   | CUSIP: 31359PH74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          443 | PA      | $447.67        | 0.00%             | 2027-07-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815502 FN 03/35 FIXED 6                           | CUSIP: 31406PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1441 | PA      | $1470.30       | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-SEA2                                                            | GSAMP TRUST GSAMP 2004 SEA2 M2                              | CUSIP: 36228F6A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1604948 | PA      | $1365026.01    | 0.00%             | 2034-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP SR UNSECURED 04/34 5.75                  | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2625041.33    | 0.01%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A             | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       848825 | PA      | $710118.43     | 0.00%             | 2037-04-25      | Floating      | 4.21%                 | 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        |      1088264 | PA      | $221733.56     | 0.00%             | 2036-07-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 05/28 8                          | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     18100000 | PA      | $19089153.96   | 0.04%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-57534.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACORE ISSUER, LLC 26-FL1                                                         | ACORE ISSUER, LLC ACORE 2026 FL1 A 144A                     | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34300000 | PA      | $34278977.53   | 0.07%             | 2043-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4              | CUSIP: 17290YAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16610434 | PA      | $16586559.96   | 0.04%             | 2049-05-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-22031.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 470013 GN 02/29 FIXED 7                           | CUSIP: 36209FDS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           73 | PA      | $73.86         | 0.00%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M2                 | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115190 | PA      | $115458.34     | 0.00%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 516714 GN 09/30 FIXED 9                           | CUSIP: 36211MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2311 | PA      | $2378.76       | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/28 2.2                   | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |       550000 | PA      | $525305.57     | 0.00%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 238575 FN 03/33 FLOATING VAR                      | CUSIP: 31370Q6L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5194 | PA      | $5149.47       | 0.00%             | 2033-03-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $45717.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0440 FN 10/39 FIXED VAR                         | CUSIP: 31418MP22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1082 | PA      | $1135.84       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ2192 GN 02/45 FIXED 3.5                         | CUSIP: 36182WNH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51865 | PA      | $48730.48      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A4                  | CUSIP: 46628KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       896495 | PA      | $733005.21     | 0.00%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 07/31 2.7              | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1610838.56    | 0.00%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH7039 FN 03/41 FIXED 5                           | CUSIP: 3138A8ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17207 | PA      | $17396.45      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 M3 144A        | CUSIP: 17326UAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2320000 | PA      | $2075078.99    | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $2855.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A5          | CUSIP: 12668BEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1576326 | PA      | $1202674.91    | 0.00%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6838 FN 11/53 FIXED VAR                         | CUSIP: 3140XNS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34753761 | PA      | $35020457.12   | 0.07%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $426091.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080205 G2 06/28 FLOATING VAR                   | CUSIP: 36225CGP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10016 | PA      | $10029.28      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-89                                                        | FANNIE MAE FNR 2012 89 DZ                                   | CUSIP: 3136A7X56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12088016 | PA      | $11385195.44   | 0.02%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2426.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H11 FC              | CUSIP: 38376RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       738844 | PA      | $738916.99     | 0.00%             | 2065-05-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1                 | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       505840 | PA      | $493962.87     | 0.00%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1                  | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3713831 | PA      | $1759216.13    | 0.00%             | 2036-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4674 FR 11/53 FIXED 5.5                 | CUSIP: 3132DSFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28514514 | PA      | $28747275.31   | 0.06%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895295 FN 09/36 FIXED 6                           | CUSIP: 31410RUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1301 | PA      | $1326.34       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.9000 03/31/25-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $5575.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH INC                                                     | BETH ISRAEL LAHEY HEALTH SECURED 07/51 3.08                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |      7000000 | PA      | $4571437.36    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                             | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR            | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1600000 | PA      | $1602720.00    | 0.00%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080082 G2 06/27 FLOATING VAR                   | CUSIP: 36225CCU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          153 | PA      | $152.69        | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A1                  | CUSIP: 466247J46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       718192 | PA      | $618209.52     | 0.00%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1006 FN 09/26 FIXED VAR                         | CUSIP: 3138EHDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5156 | PA      | $5137.61       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-732221.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP4968 G2 08/47 FIXED 3                        | CUSIP: 3617FUQV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3518782 | PA      | $3139184.40    | 0.01%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1A           | CUSIP: 93364AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3607577 | PA      | $3338629.52    | 0.01%             | 2047-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7283 FN 05/53 FIXED 6                           | CUSIP: 3140NCCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1337102 | PA      | $1373282.92    | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                              | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875                | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    185300000 | PA      | $214167373.06  | 0.46%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375          | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     36300000 | PA      | $38183835.69   | 0.08%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 618570 GN 10/34 FIXED 7                           | CUSIP: 36290VFK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21091 | PA      | $21247.96      | 0.00%             | 2034-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ5478 G2 02/47 FIXED 3                        | CUSIP: 3618A8CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1416937 | PA      | $1261277.62    | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2545 FN 07/33 FIXED 3                           | CUSIP: 3140Q9ZK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154327 | PA      | $149642.85     | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-141789.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 21A1                  | CUSIP: 07386HE98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       921726 | PA      | $749874.94     | 0.00%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1943 FN 04/33 FIXED 3                           | CUSIP: 3140HFER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346193 | PA      | $335783.38     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP3982 FN 09/42 FIXED 4                           | CUSIP: 3138M7M85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56668 | PA      | $54985.22      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995069 FN 10/38 FIXED VAR                         | CUSIP: 31416BMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33224 | PA      | $34873.69      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | 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        |          153 | PA      | $153.91        | 0.00%             | 2029-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| DHAFRAH PV2 ENERGY CO LLC                                                        | DHAFRAH PV2 ENERGY COMPA SR SECURED 144A 06/53 5.794        | CUSIP: 25241MAA5<br>LEI: 529900AHXZA1YRZN9C67 | Long             | DBT              | CORP              | AE        |      7700000 | PA      | $7486095.77    | 0.02%             | 2053-06-30      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5286 FN 04/53 FIXED 5.5                         | CUSIP: 3140MW2U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2918149 | PA      | $2936692.46    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7557 FR 02/53 FIXED 4                   | CUSIP: 3133BVME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       326329 | PA      | $310765.38     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | 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        |         7804 | PA      | $8043.88       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | 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        |         8480 | PA      | $8336.66       | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/27 4.45                       | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      5100000 | PA      | $5117043.54    | 0.01%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A5                  | CUSIP: 466247WS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3142336 | PA      | $2986623.88    | 0.01%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2003-HE2                                           | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1            | CUSIP: 04541GDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       308061 | PA      | $309715.22     | 0.00%             | 2033-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                   | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 05/28 5.7        | CUSIP: 28504DAB9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      5000000 | PA      | $5120357.20    | 0.01%             | 2028-05-23      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-414.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG7975 G2 06/48 FIXED 4                        | CUSIP: 3617GS2G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       896689 | PA      | $846591.02     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 08/34 4                              | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |        61497 | PA      | $3204.42       | 0.00%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0856 FR 09/53 FIXED 6                   | CUSIP: 3133CC5R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       489293 | PA      | $501349.55     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1646308.59    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2989771.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900130 FN 09/36 FIXED 6                           | CUSIP: 31410XA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42877 | PA      | $44754.47      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $3233024.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55997 FG 05/48 FIXED 4                   | CUSIP: 3132XYUX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136368 | PA      | $130563.96     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 04/29 4.65                          | CUSIP: 695114DM7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      6000000 | PA      | $6001723.68    | 0.01%             | 2029-04-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR1                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR1 3A1            | CUSIP: 45669BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4287342 | PA      | $3837985.68    | 0.01%             | 2037-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3794 GN 10/47 FIXED 3.5                         | CUSIP: 3617B7GB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       293999 | PA      | $271672.15     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                           | IPALCO ENTERPRISES INC SR SECURED 05/30 4.25                | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |      6370000 | PA      | $6140689.68    | 0.01%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB7 1A2                   | CUSIP: 12669GBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       321418 | PA      | $310653.96     | 0.00%             | 2034-11-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 A3              | CUSIP: 86358EZP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523794 | PA      | $520087.07     | 0.00%             | 2036-01-25      | Floating      | 4.39%                 | 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        |           47 | PA      | $47.32         | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                        | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A               | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19500000 | PA      | $19516808.03   | 0.04%             | 2034-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3333 FN 04/48 FIXED 4                           | CUSIP: 31418CV35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13888 | PA      | $13216.59      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A2             | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51070 | PA      | $43941.05      | 0.00%             | 2034-11-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7206 FN 08/45 FIXED VAR                         | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25689 | PA      | $24746.86      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002785 G2 07/29 FIXED 8                        | CUSIP: 36202DCW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          199 | PA      | $202.08        | 0.00%             | 2029-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9585 FN 01/32 FIXED VAR                         | CUSIP: 3138ERUK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21212 | PA      | $20919.78      | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                        | INVITATION HOMES OP COMPANY GUAR 11/28 2.3                  | CUSIP: 46188BAB8<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |      3250000 | PA      | $3059505.31    | 0.01%             | 2028-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $1363.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886628 FN 08/36 FIXED 6                           | CUSIP: 31410EA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2883 | PA      | $2983.44       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3411                                                                 | FREDDIE MAC FHR 3411 SN                                     | CUSIP: 31397RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64818 | PA      | $4453.82       | 0.00%             | 2038-02-15      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2393 FN 05/33 FIXED 3                           | CUSIP: 3140Q9UT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       291523 | PA      | $283115.44     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                   | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                     | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15167322 | PA      | $4534144.99    | 0.01%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55429 FG 04/48 FIXED 4                   | CUSIP: 3132XYA72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21010 | PA      | $20148.44      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A                  | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1229613 | PA      | $160423.84     | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A6              | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1078459 | PA      | $384342.24     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG JR SUBORDINA 144A 12/99 VAR                    | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2000000 | PA      | $1772118.20    | 0.00%             | 2031-02-10      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $74027.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                     | ALIMENTATION COUCHETARD INC                                 | CUSIP: 01626VDG5<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      4600000 | PA      | $4591683.66    | 0.01%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256820 FN 07/27 FIXED 5                           | CUSIP: 31371NG58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4026 | PA      | $4027.52       | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | 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        |         3191 | PA      | $3336.21       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MTGE LOAN TRUST 2004-10                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 10 1A1            | CUSIP: 41161PJH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23272 | PA      | $21717.73      | 0.00%             | 2035-01-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1862 FN 08/49 FIXED 3                           | CUSIP: 3140JWB82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17662927 | PA      | $15565438.55   | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9027 FN 09/46 FIXED VAR                         | CUSIP: 3138ERA59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2703678 | PA      | $2581460.15    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FINANCE GP1                                                    | LIBERTY UTILITIES FIN COMPANY GUAR 144A 09/30 2.05          | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14600000 | PA      | $13123672.24   | 0.03%             | 2030-09-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA SR UNSECURED 144A 03/27 VAR              | CUSIP: 22534PAJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     21850000 | PA      | $21904415.68   | 0.05%             | 2027-03-11      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7650 G2 10/51 FIXED 3                        | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       898234 | PA      | $803442.31     | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4510 FN 12/45 FIXED 4                           | CUSIP: 3140E9AL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       730434 | PA      | $703695.06     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2             | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80445 | PA      | $22163.96      | 0.00%             | 2037-01-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN19                                                                   | BANK BANK 2019 BN19 ASB                                     | CUSIP: 06540WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2162928 | PA      | $2123119.13    | 0.00%             | 2061-08-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 6A1              | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       531069 | PA      | $483773.47     | 0.00%             | 2046-12-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256461 FN 10/26 FIXED 5                           | CUSIP: 31371MZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1140 | PA      | $1138.11       | 0.00%             | 2026-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8521 FR 02/53 FIXED 5                   | CUSIP: 3133KQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257626 | PA      | $255366.16     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2120 FN 02/45 FIXED 5                           | CUSIP: 3138YFLA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43640 | PA      | $43758.88      | 0.00%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ6089 G2 11/47 FIXED 3                        | CUSIP: 3618A8XS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4344356 | PA      | $3867117.13    | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | 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        |       415149 | PA      | $311042.26     | 0.00%             | 2046-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                      | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       739493 | PA      | $684346.16     | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/51 2.375                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    101270900 | PA      | $63379363.85   | 0.13%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 D 5A1              | CUSIP: 058933AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245979 | PA      | $213874.65     | 0.00%             | 2036-05-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1          | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123661 | PA      | $125057.15     | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI CORPORATION                                                           | MITSUBISHI CORP SR UNSECURED 144A 09/28 4                   | CUSIP: 606769AL1<br>LEI: KVIPTY4PULAPGC1VVD26 | Long             | DBT              | CORP              | JP        |      2400000 | PA      | $2387015.47    | 0.01%             | 2028-09-09      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1168 FN 06/46 FIXED 4                           | CUSIP: 3140EVJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51293 | PA      | $49280.33      | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-154785.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A         | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101859 | PA      | $99120.74      | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.70000 04/11/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1751487.19   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-56                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 56 3AF                 | CUSIP: 31393RG61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2222217 | PA      | $2223202.32    | 0.00%             | 2043-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-3                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 3 PT 144A          | CUSIP: 36276CAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55800000 | PA      | $55952283.78   | 0.12%             | 2055-11-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 434619 GN 11/29 FIXED 8.5                         | CUSIP: 36207KYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          500 | PA      | $505.48        | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8087 FN 02/47 FIXED 4                           | CUSIP: 3140FT6Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96711 | PA      | $92675.19      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6950000 | PA      | $6901025.71    | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929839 FN 08/38 FIXED 6                           | CUSIP: 31412NBG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27876 | PA      | $29260.85      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 2A11             | CUSIP: 05950NBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1071797 | PA      | $1076300.81    | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3826 GN 10/47 FIXED 3.5                         | CUSIP: 3617B7HB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352132 | PA      | $328984.00     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 R1 3A 144A                 | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30342 | PA      | $31074.72      | 0.00%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/29 6.298                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4725528.57    | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV4576 FN 03/29 FIXED 3.5                         | CUSIP: 3138XGCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2535 | PA      | $2505.93       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923935 FN 03/37 FIXED 6                           | CUSIP: 31412FPU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69560 | PA      | $71525.17      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $570201.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-1                                                                | FANNIE MAE FNR 2008 1 AI                                    | CUSIP: 31396YCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135900 | PA      | $9687.46       | 0.00%             | 2037-05-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CK2706 GN 02/52 FIXED 4                           | CUSIP: 3617XXAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1057827 | PA      | $998053.75     | 0.00%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008891 G2 06/26 FLOATING VAR                   | CUSIP: 36202K2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           77 | PA      | $76.44         | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8484 FN 08/53 FIXED 5                           | CUSIP: 3140NRNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279902 | PA      | $277044.95     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901361 FN 09/36 FIXED 6                           | CUSIP: 31410YMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11706 | PA      | $12064.66      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.5            | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |       800000 | PA      | $710847.02     | 0.00%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS1X                                                    | RMAC SECURITIES PLC RMACS 2006 NS1X A2A REGS                | CUSIP: 990HDQII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4354671 | PA      | $5694678.11    | 0.01%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13          | CUSIP: 02149HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       469122 | PA      | $231157.15     | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252405 FN 03/29 FIXED 6.5                         | CUSIP: 31371HKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          495 | PA      | $503.45        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $69894.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118241500 | PA      | $120392925.38  | 0.26%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6213 FR 11/28 FIXED 3.5                 | CUSIP: 3131X93W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16200 | PA      | $16059.86      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-2907846.83   | -0.01%            |  |  |  | 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        |          113 | PA      | $112.89        | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2670 FN 10/45 FIXED 4                           | CUSIP: 3138YT6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6178 | PA      | $5936.00       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                                 | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR                 | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3500000 | PA      | $3563525.00    | 0.01%             | 2029-01-08      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1120216.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES4 PT 144A            | CUSIP: 46659UAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69604687 | PA      | $74296370.41   | 0.16%             | 2056-01-25      | Fixed         | 8.51%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 1A1            | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6483276 | PA      | $5391378.06    | 0.01%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5380 FN 04/46 FIXED 4                           | CUSIP: 3140F06S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141350 | PA      | $135661.48     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-2                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 2 PT 144A          | CUSIP: 36274JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82500000 | PA      | $83913154.05   | 0.18%             | 2055-11-25      | Variable      | 5.55%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4869 FN 01/53 FIXED 5.5                         | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    173883010 | PA      | $175510434.51  | 0.37%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4KA7 PIMCO SWAPTION 3.29 CALL USD 2026072              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1767700000 | NC      | $-1790326.56   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-82                                                               | FANNIE MAE FNR 2002 82 PE                                   | CUSIP: 31392FW86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56420 | PA      | $57886.36      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91208 FG 07/28 FIXED 6                   | CUSIP: 3128P7KV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2968 | PA      | $3029.86       | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                                                 | COSTAR GROUP INC COMPANY GUAR 144A 07/30 2.8                | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |      9600000 | PA      | $8684968.80    | 0.02%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890405 FN 01/27 FIXED VAR                         | CUSIP: 31410LGN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3958 | PA      | $3945.65       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 550153 GN 07/31 FIXED 7                           | CUSIP: 36213CE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2633 | PA      | $2696.07       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932639 FN 03/40 FIXED 5                           | CUSIP: 31412REL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22486 | PA      | $22737.39      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3358 FR 05/53 FIXED 5                   | CUSIP: 3133C3WT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1872471 | PA      | $1867853.48    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PART SR UNSECURED 04/28 2.25              | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2400737.78    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0073 FN 05/29 FIXED 4.5                         | CUSIP: 31417YCK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7665 | PA      | $7674.73       | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4168 FN 12/44 FIXED 4                           | CUSIP: 3138WDT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231959 | PA      | $223490.75     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 08/29 3.2                  | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $943483.94     | 0.00%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6668 FN 12/53 FIXED VAR                         | CUSIP: 3140XNMS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200064 | PA      | $201651.16     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT SECURITIES CORP MORTGAGE LOAN TRUST SERIES 2007-2                     | MORTGAGEIT TRUST MHL 2007 2 A1                              | CUSIP: 61915CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4247897 | PA      | $3209539.57    | 0.01%             | 2037-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A               | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345211 | PA      | $336595.23     | 0.00%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835509 FN 08/35 FLOATING VAR                      | CUSIP: 31407NGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64253 | PA      | $65388.96      | 0.00%             | 2035-08-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA2948 FN 10/53 FIXED 5.5                         | CUSIP: 3140A3H22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       459594 | PA      | $463450.36     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | 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        |        14873 | PA      | $15429.22      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 5A1            | CUSIP: 161630AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64968 | PA      | $63660.35      | 0.00%             | 2037-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11                                                               | BX TRUST 2019 OC11 BX 2019 OC11 A 144A                      | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3681000 | PA      | $3478367.21    | 0.01%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LENDING FUND                                                  | BLACKSTONE SECURED LEND SR UNSECURED 09/29 5.25             | CUSIP: 09261XAM4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |     18100000 | PA      | $17750578.96   | 0.04%             | 2029-09-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                      | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65457625 | PA      | $60565977.64   | 0.13%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1             | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       488781 | PA      | $461169.37     | 0.00%             | 2034-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4732 FN 09/52 FIXED 4                           | CUSIP: 31418EHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       801264 | PA      | $759857.27     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBE LIFE INC                                                                   | GLOBE LIFE INC SR UNSECURED 08/30 2.15                      | CUSIP: 37959EAA0<br>LEI: 5493001JFHKQOPP6XA71 | Long             | DBT              | CORP              | US        |      5575000 | PA      | $5008738.44    | 0.01%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2623 FR 05/26 FIXED 3.5                 | CUSIP: 31329K4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           67 | PA      | $67.20         | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 7 23A1                  | CUSIP: 073875AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130126 | PA      | $87622.61      | 0.00%             | 2046-12-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC 2025 1ST AMENDMENT TERM LOAN                 | CUSIP: 23803RAE1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     20300684 | PA      | $20199180.89   | 0.04%             | 2032-01-05      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-39                                                               | FANNIE MAE FNR 2007 39 PI                                   | CUSIP: 31396VTF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15565 | PA      | $1406.21       | 0.00%             | 2037-05-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4920 FN 09/43 FIXED 3                           | CUSIP: 3138X4PE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278718 | PA      | $254737.67     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260522                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-239349.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4             | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8336 | PA      | $7671.04       | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A2              | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2653999 | PA      | $2051430.90    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | EXTRA SPACE STORAGE LP COMPANY GUAR 07/26 3.5               | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      5600000 | PA      | $5588238.66    | 0.01%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $20797.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3933 FN 02/40 FIXED 2.5                         | CUSIP: 31418DLP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214325 | PA      | $195458.39     | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6489 FN 01/46 FIXED 4                           | CUSIP: 3138WGF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5462427 | PA      | $5252572.09    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5190 FN 11/53 FIXED 5.5                         | CUSIP: 31418EXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82894139 | PA      | $83551787.59   | 0.18%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 AE 144A        | CUSIP: 05494AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233582088 | PA      | $230813778.52  | 0.49%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-12043.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q28789 FG 08/44 FIXED 4.5                 | CUSIP: 3132M9NE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1905 | PA      | $1884.45       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL2                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL2 PT 144A       | CUSIP: 617957AT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44774359 | PA      | $40319547.54   | 0.09%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/31 4.7        | CUSIP: 05401ABD2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     15700000 | PA      | $15392171.67   | 0.03%             | 2031-01-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                          | BCAP LLC TRUST BCAP 2011 RR6 7A1 144A                       | CUSIP: 05535YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       589601 | PA      | $526296.08     | 0.00%             | 2037-06-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ADANI RENEWABLE ENERGY RJ LTD/KODANGAL SOLAR PARKS PVT LTD/WARDHA SOLAR MAHARASH | ADANIREN KODSOPAR WARSOM SR SECURED 144A 10/39 4.625        | CUSIP: 00654CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |      6734250 | PA      | $5451851.76    | 0.01%             | 2039-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55100 09/17/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $770182.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS                | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7525105 | PA      | $9800868.56    | 0.02%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO1 2A1            | CUSIP: 761118RJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       828712 | PA      | $412770.43     | 0.00%             | 2046-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3204 FN 01/41 FIXED 4                           | CUSIP: 3138A4R23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24415 | PA      | $23581.65      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2                  | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30189 | PA      | $28891.35      | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2016 1 A PTT PASS THRU CE 01/30 3.45             | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1371010 | PA      | $1333105.00    | 0.00%             | 2030-01-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745937 FN 09/36 FIXED VAR                         | CUSIP: 31403DV63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1107 | PA      | $1161.60       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-79                                                        | FANNIE MAE FNR 2006 79 PF                                   | CUSIP: 31396KXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52329 | PA      | $52008.24      | 0.00%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT4355 FN 07/43 FIXED 3                           | CUSIP: 3138WRZV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8314 | PA      | $7569.37       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC SR UNSECURED 03/27 5.15                          | CUSIP: 337738BJ6<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     21500000 | PA      | $21609218.71   | 0.05%             | 2027-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972414 FN 02/38 FIXED 5.5                         | CUSIP: 31414PYK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61202 | PA      | $61878.46      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1693629.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3237 FN 03/52 FIXED 3                           | CUSIP: 3140QNS37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257468 | PA      | $226818.71     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2046                                                                         | FREDDIE MAC FHR 2046 PH                                     | CUSIP: 3133TDD37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118596 | PA      | $120227.93     | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR13 4A1           | CUSIP: 456681AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       864768 | PA      | $568066.70     | 0.00%             | 2037-07-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-19450.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887271 FN 07/36 FIXED 6                           | CUSIP: 31410EW87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77620 | PA      | $79532.85      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMWARE LLC SR UNSECURED 05/30 4.7                           | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      9100000 | PA      | $9158607.73    | 0.02%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-UP2                                           | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1             | CUSIP: 79549AXP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          479 | PA      | $479.18        | 0.00%             | 2033-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2005-55                                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 55 Z                | CUSIP: 38374LZW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       294059 | PA      | $293094.33     | 0.00%             | 2035-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4139 FN 06/53 FIXED 5.5                         | CUSIP: 3140NLS59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2156454 | PA      | $2181405.55    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A             | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24841176 | PA      | $25051242.63   | 0.05%             | 2065-06-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889441 FN 05/38 FIXED VAR                         | CUSIP: 31410KEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3204 | PA      | $3295.32       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 5A1 144A          | CUSIP: 74930PAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300500 | PA      | $8373312.69    | 0.02%             | 2037-09-27      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                                  | S+P GLOBAL INC COMPANY GUAR 03/29 2.95                      | CUSIP: 78409VBJ2<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1830626.23    | 0.00%             | 2029-03-01      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 960150 FN 11/37 FIXED 6                           | CUSIP: 31414AEX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          568 | PA      | $589.27        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735313 FN 02/35 FLOATING VAR                      | CUSIP: 31402Q3W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       239657 | PA      | $242984.04     | 0.00%             | 2035-02-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-20                                                        | FANNIE MAE FNR 2010 20 FB                                   | CUSIP: 31398MFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267608 | PA      | $267749.64     | 0.00%             | 2040-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-116924.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $25233710.40   | 0.05%             |  |  |  | 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        |        44769 | PA      | $45764.11      | 0.00%             | 2036-02-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-112                                                       | FANNIE MAE FNR 2010 112 PD                                  | CUSIP: 31398NE42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5746383 | PA      | $5455361.17    | 0.01%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3957 FN 03/35 FIXED 3.5                         | CUSIP: 31418DMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       213860 | PA      | $207114.50     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                                 | FREDDIE MAC FHR 2266 F                                      | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          115 | PA      | $114.49        | 0.00%             | 2030-11-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5011 FR 10/39 FIXED 3                   | CUSIP: 3133KYR84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3144369 | PA      | $2958896.26    | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2070 FN 10/29 FIXED 3.5                         | CUSIP: 31418BJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30398 | PA      | $30082.93      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A F 144A                  | CUSIP: ACI34GB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1283000 | PA      | $1485986.40    | 0.00%             | 2059-08-22      | Floating      | 6.27%                 | 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        |      9179934 | PA      | $8880662.63    | 0.02%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 9 A12                      | CUSIP: 126694X52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1194941 | PA      | $529282.35     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813586 FN 03/35 FLOATING VAR                      | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1373 | PA      | $1405.38       | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                          | GSG BIDCO LTD SR SECURED 144A 06/51 6.375                   | CUSIP: ACI38RD49<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     16000000 | PA      | $18367014.81   | 0.04%             | 2051-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8609 FN 03/43 FIXED 3                           | CUSIP: 31417FR75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10581 | PA      | $9656.06       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-1247764.43   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-27090.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2020-BN26                                                                   | BANK BANK 2020 BN26 A4                                      | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54030000 | PA      | $49445813.84   | 0.11%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/26 4.125                  | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     28200000 | PA      | $28199560.36   | 0.06%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A              | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1088675 | PA      | $1052533.37    | 0.00%             | 2047-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5251 FN 02/53 FIXED 5.5                         | CUSIP: 3140MWZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       630198 | PA      | $635190.42     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $306960.00     | 0.00%             | 2028-02-21      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $34334.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-17XS                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 17XS A6             | CUSIP: 61751DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2291075 | PA      | $511387.85     | 0.00%             | 2046-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 A 144A         | CUSIP: 054987AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79354610 | PA      | $78832734.64   | 0.17%             | 2046-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                           | HARLEY DAVIDSON FND CP                                      | CUSIP: 41282KD70<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |      2915000 | PA      | $2912698.90    | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -14162255 | PA      | $-14159713.58  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1997 FN 04/48 FIXED 3.5                         | CUSIP: 3140HFGF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       104873 | PA      | $97427.24      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4219 FN 06/53 FIXED 6                           | CUSIP: 3140NLVM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       707549 | PA      | $726951.82     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1824 FN 03/29 FIXED 3.5                         | CUSIP: 31418BA22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137572 | PA      | $136372.68     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852652 FN 03/36 FIXED 6                           | CUSIP: 31408JH53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5541 | PA      | $5799.93       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                         | FANNIE MAE FNR 2013 6 SN                                    | CUSIP: 3136ABP49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316946 | PA      | $289017.13     | 0.00%             | 2033-02-25      | Floating      | 0.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888276 FN 11/36 FIXED VAR                         | CUSIP: 31410F2H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          386 | PA      | $398.82        | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6107 FN 06/48 FIXED 3.5                         | CUSIP: 3140HKYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33816 | PA      | $31514.77      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4082 FN 10/27 FIXED VAR                         | CUSIP: 3138ELRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           14 | PA      | $14.04         | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 871309 FN 05/36 FIXED 6                           | CUSIP: 31409HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105029 | PA      | $109926.92     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4795 FN 07/53 FIXED 4.5                         | CUSIP: 3140NMKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1227298 | PA      | $1186711.00    | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A Y 144A                                  | CUSIP: ACI12JZ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         2223 | PA      | $4164175.59    | 0.01%             | 2045-02-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                              | CONSTELLATION ENERGY                                        | CUSIP: 21038QDU5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      2502000 | PA      | $2493305.30    | 0.01%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4978 FN 04/53 FIXED 5                           | CUSIP: 31418EQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1758458 | PA      | $1743577.31    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9208 FN 06/30 FIXED 4.5                         | CUSIP: 31418XGS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49928 | PA      | $49840.34      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/41 1.75                                  | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    394752000 | PA      | $264044370.49  | 0.56%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                                 | MORGAN STANLEY PVT BANK SR UNSECURED 07/28 VAR              | CUSIP: 61776NVF7<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |      2350000 | PA      | $2347067.62    | 0.00%             | 2028-07-06      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC 2025 DELAYED DRAW TERM LOAN                  | CUSIP: 23803RAF8<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |      4493218 | PA      | $4470752.05    | 0.01%             | 2032-01-05      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1732 FR 02/34 FIXED 3.5                 | CUSIP: 3132AD4R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       191036 | PA      | $187613.47     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-55                                                               | FANNIE MAE FNR 2001 55 PC                                   | CUSIP: 313921DF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1220 | PA      | $1253.01       | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-57                                                               | FANNIE MAE FNR 1997 57 PN                                   | CUSIP: 31359QJS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5687 | PA      | $5670.84       | 0.00%             | 2027-09-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR8                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1            | CUSIP: 22541SXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175102 | PA      | $366579.43     | 0.00%             | 2034-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5836 FN 09/45 FIXED 4                           | CUSIP: 3138WFPW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36492 | PA      | $35097.82      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $252671.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-7247.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2650 FR 05/53 FIXED 5                   | CUSIP: 3133C25K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7703205 | PA      | $7625764.99    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6554 FN 11/45 FIXED 4                           | CUSIP: 3140EBH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14114 | PA      | $13589.05      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $211602.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC COMPANY GUAR 10/26 1.6                         | CUSIP: 29250NBH7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |       400000 | PA      | $394714.62     | 0.00%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | FISERV INC SR UNSECURED 06/30 2.65                          | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     37580000 | PA      | $34235027.12   | 0.07%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 505121 FN 07/29 FIXED 6.5                         | CUSIP: 31383KD20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           35 | PA      | $35.99         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                               | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1              | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113229 | PA      | $112962.75     | 0.00%             | 2035-08-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3866 FN 12/34 FIXED 3.5                         | CUSIP: 31418DJL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20648 | PA      | $20215.41      | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6471 FN 09/46 FIXED 4                           | CUSIP: 3140FEFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1169638 | PA      | $1126636.18    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A D 144A                  | CUSIP: ACI34GB56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1283000 | PA      | $1487121.16    | 0.00%             | 2059-08-22      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     26800000 | PA      | $26490079.71   | 0.06%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8780 FN 02/44 FIXED 5                           | CUSIP: 3138XLXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       429832 | PA      | $430886.91     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A            | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3545011 | PA      | $3410069.11    | 0.01%             | 2046-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-5                                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 5 DZ                | CUSIP: 38378CZZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2668185 | PA      | $2587826.93    | 0.01%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $138859.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2003-3                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A2 144A              | CUSIP: 36290PAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1554704 | PA      | $1400352.30    | 0.00%             | 2043-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887676 FN 08/36 FIXED 6                           | CUSIP: 31410FFR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19783 | PA      | $20653.90      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRE5                              | CUSIP: 955NUFII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5800000 | PA      | $5816937.16    | 0.01%             | 2030-06-07      | Fixed         | 4.98%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 774991 FN 05/34 FIXED 6                           | CUSIP: 31404P7C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3391 | PA      | $3459.91       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1247170.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783386 GN 09/40 FIXED 5                           | CUSIP: 36241LXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4030 | PA      | $4115.15       | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080174 G2 03/28 FLOATING VAR                   | CUSIP: 36225CFQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37419 | PA      | $37320.47      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $19426.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5888 FN 09/45 FIXED 4                           | CUSIP: 3138WFRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2817771 | PA      | $2710101.60    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 PT 144A          | CUSIP: 52474EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72590454 | PA      | $68511334.97   | 0.15%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/49 2.875                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    361383700 | PA      | $257034156.63  | 0.55%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D80490 FG 06/27 FIXED 7.5                 | CUSIP: 3128FPRK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           64 | PA      | $64.63         | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2981 FN 11/45 FIXED 4                           | CUSIP: 3140E7J35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2380 | PA      | $2287.19       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A          | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17000000 | PA      | $15069342.30   | 0.03%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 679661 G2 07/48 FIXED 4                        | CUSIP: 36295TB60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1129965 | PA      | $1064733.30    | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2025 NQM6 PT1 144A        | CUSIP: 06746DAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48937854 | PA      | $50529987.88   | 0.11%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 620210 FN 12/31 FIXED 6                           | CUSIP: 31389BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          496 | PA      | $505.84        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT PFD PFD0 PFD0ENCN8                    | CUSIP: 934KZP905<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         3411 | NS      | $0.03          | 0.00%             |  |  |  | No            |                  3 | 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        |        22008 | PA      | $22096.60      | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFO SERV SR UNSECURED 03/29 4.55             | CUSIP: 31620MCD6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     13100000 | PA      | $13041514.92   | 0.03%             | 2029-03-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75       | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     13600000 | PA      | $13602596.78   | 0.03%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/49 3                                     | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    149150000 | PA      | $108978544.55  | 0.23%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7441 FN 08/43 FIXED 3                           | CUSIP: 3138W5HT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       244492 | PA      | $223981.94     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5668 FN 08/45 FIXED 4                           | CUSIP: 3138WFJN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1039613 | PA      | $999673.35     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $18068287.72   | 0.04%             |  |  |  | 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        |       581028 | PA      | $230193.64     | 0.00%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/27 VAR                         | CUSIP: 06738ECM5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     29000000 | PA      | $29115650.55   | 0.06%             | 2027-09-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942867 FN 08/37 FIXED 6                           | CUSIP: 31413D6C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195235 | PA      | $204354.37     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2773128.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8                  | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       825000 | PA      | $850926.15     | 0.00%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891565 FN 05/36 FIXED 6                           | CUSIP: 31410MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          371 | PA      | $382.66        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888967 FN 12/37 FIXED VAR                         | CUSIP: 31410GTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2534 | PA      | $2660.04       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0765 FN 10/28 FIXED 3.5                         | CUSIP: 3138W9Z78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39814 | PA      | $39543.48      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-21838.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-229634.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 02/29 VAR               | CUSIP: 606822CS1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     18800000 | PA      | $19108679.08   | 0.04%             | 2029-02-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903779 FN 11/36 FIXED 6                           | CUSIP: 31411CCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22133 | PA      | $22808.27      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                    | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30756 | PA      | $29197.76      | 0.00%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/32 VAR                         | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      2209000 | PA      | $1974649.29    | 0.00%             | 2032-11-24      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU9640 FN 08/43 FIXED 3                           | CUSIP: 3138X9WA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24917 | PA      | $22770.11      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                                    | ARGENT SECURITIES INC. ARSI 2005 W5 A2D                     | CUSIP: 040104QP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7228498 | PA      | $6833158.07    | 0.01%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 660670 FN 09/32 FIXED 6                           | CUSIP: 31390Y6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5451 | PA      | $5558.26       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A B 144A          | CUSIP: 21056DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2976614 | PA      | $3067050.40    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902116 FN 09/36 FIXED 6                           | CUSIP: 31411AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5283 | PA      | $5446.10       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                      | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47317391 | PA      | $43685973.63   | 0.09%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-86                                                               | FANNIE MAE FNR 2011 86 NF                                   | CUSIP: 3136A0J65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       230549 | PA      | $229868.79     | 0.00%             | 2041-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2452729.15   | -0.01%            |  |  |  | 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        |        23057 | PA      | $23748.89      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-595291.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702902 FN 05/33 FIXED 5                           | CUSIP: 31401A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7431 | PA      | $7430.55       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6053 FN 09/53 FIXED VAR                         | CUSIP: 3140XMWP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1713290 | PA      | $1724526.73    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 21 1 A PPT PASS THRU CE 144A 09/36 2.9          | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       625697 | PA      | $575265.17     | 0.00%             | 2036-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                       | AMETEK INC DISC COML 04/26 ZCP                              | CUSIP: 03111CDL4<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      6500000 | PA      | $6485551.15    | 0.01%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB              | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       619688 | PA      | $627541.95     | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A2                  | CUSIP: 46628BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       389164 | PA      | $263648.39     | 0.00%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9842 FN 06/43 FIXED 4                           | CUSIP: 3138WX5C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101727 | PA      | $98175.99      | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9109 FN 01/34 FIXED VAR                         | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       731868 | PA      | $730840.41     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2006-20G                | SMALL BUSINESS ADMINISTRATION SBAP 2006 20G 1               | CUSIP: 83162CQK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         2497 | PA      | $2498.93       | 0.00%             | 2026-07-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214     | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     12600000 | PA      | $9555530.04    | 0.02%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD1671 FN 01/40 FIXED 6                           | CUSIP: 31418N2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       295192 | PA      | $304267.78     | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9795 FN 10/39 FIXED 3                           | CUSIP: 3140HB3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       270636 | PA      | $252995.60     | 0.00%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $17.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                     | MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 07/26 VAR          | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     48800000 | PA      | $48896322.42   | 0.10%             | 2026-07-10      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                | PIEDMONT OPERATING PARTN COMPANY GUAR 07/29 6.875           | CUSIP: 720198AJ9<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |      4800000 | PA      | $5030481.31    | 0.01%             | 2029-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 02/27 3                              | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      5240000 | PA      | $5142260.90    | 0.01%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97500 03/21/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-503245.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $150586.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 730669 FN 08/33 FIXED 5                           | CUSIP: 31402JW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8202 | PA      | $8257.64       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906885 FN 12/36 FIXED 6                           | CUSIP: 31411FRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38423 | PA      | $39604.41      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                    | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5573 | PA      | $5082.86       | 0.00%             | 2035-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A4            | CUSIP: 16162WQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2276058 | PA      | $2034612.44    | 0.00%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008947 G2 08/26 FLOATING VAR                   | CUSIP: 36202K5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1006 | PA      | $1005.95       | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/28 VAR                  | CUSIP: 46647PDZ6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     39600000 | PA      | $39768591.85   | 0.08%             | 2028-01-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6           | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21630 | PA      | $19936.85      | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952633 FN 06/37 FIXED 6                           | CUSIP: 31413QY69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83090 | PA      | $85649.61      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4224 FN 03/46 FIXED 4                           | CUSIP: 3140EYVS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1555622 | PA      | $1493286.87    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL1504 GN 02/45 FIXED 3.5                         | CUSIP: 36183WU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       252738 | PA      | $237466.91     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A R 144A          | CUSIP: 21056EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8222941 | PA      | $3466656.61    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                              | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A             | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2635584 | PA      | $2635749.12    | 0.01%             | 2035-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260731                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $491601.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2710 FR 04/27 FIXED 3                   | CUSIP: 31329LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15246 | PA      | $15149.38      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3179 FN 10/26 FIXED 3.5                         | CUSIP: 3138AUQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4426 | PA      | $4407.71       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080249 G2 01/29 FLOATING VAR                   | CUSIP: 36225CH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34045 | PA      | $34107.81      | 0.00%             | 2029-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1739 FN 11/43 FIXED 4                           | CUSIP: 3138XC4Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       222195 | PA      | $214247.25     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST 2008-2                                                    | SLC STUDENT LOAN TRUST SLCLT 2008 2 A4                      | CUSIP: 78444NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1142595 | PA      | $1133286.64    | 0.00%             | 2040-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2C                | CUSIP: 617538AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1606430 | PA      | $807684.17     | 0.00%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89900 03/11/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-240940.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBAMR 2019-9A                                                                    | CBAMR LTD CBAMR 2019 9A AR 144A                             | CUSIP: 14987VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     39000000 | PA      | $39101028.33   | 0.08%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5046 FN 11/53 FIXED 5.5                         | CUSIP: 3140A5TC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       327051 | PA      | $331369.62     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3            | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2626266 | PA      | $2143598.22    | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080331 G2 10/29 FLOATING VAR                   | CUSIP: 36225CLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3155 | PA      | $3164.21       | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $1061830.41    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                       | LEIDOS INC COMPANY GUAR 02/31 2.3                           | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     13600000 | PA      | $12107923.74   | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 814577 FN 04/35 FIXED 6                           | CUSIP: 31406M6N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7616 | PA      | $7845.67       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30376 FG 12/27 FIXED 6                   | CUSIP: 3128CUMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          823 | PA      | $839.94        | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.4 07/10/25-01/02/29 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2562457.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 11/32 5.2                  | CUSIP: 37940XAX0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     11700000 | PA      | $11363968.04   | 0.02%             | 2032-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5107 FN 08/53 FIXED 5.5                         | CUSIP: 31418EU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94238742 | PA      | $95029601.01   | 0.20%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894881 FN 09/36 FIXED 6                           | CUSIP: 31410RFW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22813 | PA      | $23381.32      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3183 FN 11/47 FIXED 4                           | CUSIP: 31418CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57135 | PA      | $54751.09      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9346 FN 08/43 FIXED 3                           | CUSIP: 3138WXL47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95344 | PA      | $87023.99      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/27 VAR                       | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |      8000000 | PA      | $8292000.00    | 0.02%             | 2027-06-07      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1B           | CUSIP: 02150KAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2433186 | PA      | $2425357.57    | 0.01%             | 2047-04-25      | Floating      | 3.99%                 | 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        |       302674 | PA      | $278801.21     | 0.00%             | 2037-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $8890965.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 05/36 6                  | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      1100000 | PA      | $1095490.00    | 0.00%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1             | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3452328 | PA      | $3364825.23    | 0.01%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                      | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A          | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5590371 | PA      | $3689477.14    | 0.01%             | 2035-07-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3932 FN 08/50 FIXED VAR                         | CUSIP: 3140XKLN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5016215 | PA      | $4812637.43    | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4281 FN 04/39 FIXED 6                           | CUSIP: 31416MXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31597 | PA      | $32697.93      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928141 FN 03/37 FIXED 6                           | CUSIP: 31412LEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62477 | PA      | $65579.44      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922070 FN 02/37 FIXED 6                           | CUSIP: 31412DMT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7777 | PA      | $7969.57       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829139 FN 10/35 FIXED 6                           | CUSIP: 31407FEL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4366 | PA      | $4509.73       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3187                                                                 | FREDDIE MAC FHR 3187 JZ                                     | CUSIP: 31396UT42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       147832 | PA      | $149529.75     | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1458 FN 06/43 FIXED 3                           | CUSIP: 31418ATQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157356 | PA      | $144105.44     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 04/51 5                  | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     26100000 | PA      | $20461095.00   | 0.04%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C11                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C11 A5             | CUSIP: 90276XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6947005.80    | 0.01%             | 2051-06-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3345 FN 04/28 FIXED 3.5                         | CUSIP: 31418CWF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22394 | PA      | $22273.20      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | 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        |       502360 | PA      | $502858.58     | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-45                                                               | FANNIE MAE FNR 2002 45 ZA                                   | CUSIP: 31392DTH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137603 | PA      | $140929.95     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C55867 FG 02/30 FIXED 7.5                 | CUSIP: 31298SQU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           26 | PA      | $26.73         | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $177862.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BD3919 G2 05/48 FIXED 4                        | CUSIP: 3617BKK83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2569052 | PA      | $2425520.28    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A5               | CUSIP: 863587AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60776 | PA      | $60347.52      | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B B 144A            | CUSIP: 78450CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1951482 | PA      | $2033068.69    | 0.00%             | 2052-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ACREC 2026-FL4 LLC                                                               | ACREC LLC ACREC 2026 FL4 A 144A                             | CUSIP: 004970AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25300000 | PA      | $25287296.87   | 0.05%             | 2043-01-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A2                     | CUSIP: 362669AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120466 | PA      | $74725.17      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO4687 GN 09/49 FIXED 4                           | CUSIP: 3617KLF46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1081712 | PA      | $1022438.18    | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0832 FN 07/45 FIXED 4                           | CUSIP: 3138YR4S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78273 | PA      | $75424.00      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0124 FN 01/52 FIXED VAR                         | CUSIP: 3140XFD65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1451348 | PA      | $1277598.29    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | 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        |         1482 | PA      | $1509.21       | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-293.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831740 FN 09/36 FIXED 6                           | CUSIP: 31407JBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43803 | PA      | $45612.29      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4462 FN 12/45 FIXED 4                           | CUSIP: 3140E85Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       503246 | PA      | $482169.40     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE8349 FN 08/37 FIXED 6                           | CUSIP: 31419KH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8582 | PA      | $8751.72       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-167650.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A35                    | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       411244 | PA      | $174671.52     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3702 FN 06/47 FIXED 4                           | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122823 | PA      | $117748.87     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/26 1.65        | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     73100000 | PA      | $72168824.42   | 0.15%             | 2026-09-17      | Fixed         | 1.65%                 | 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        |       284782 | PA      | $205780.51     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824337 FN 07/35 FIXED 6                           | CUSIP: 31406YZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20026 | PA      | $20420.46      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-50387.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $1266.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 01/29 VAR                             | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     25400000 | PA      | $26151955.32   | 0.06%             | 2029-01-10      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 2 A1               | CUSIP: 55265WCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       708849 | PA      | $702182.97     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 687284 FN 02/33 FIXED 6                           | CUSIP: 31400GRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          207 | PA      | $210.90        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                                | CAPITAL ONE FINANCIAL CO SR UNSECURED 01/32 VAR             | CUSIP: 14040HDP7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      5600000 | PA      | $5516622.16    | 0.01%             | 2032-01-30      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU2270 FN 08/43 FIXED 3                           | CUSIP: 3138X1QY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58064 | PA      | $53147.81      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 01/28 VAR               | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     11800000 | PA      | $11852659.98   | 0.03%             | 2028-01-14      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $18589.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/20/24-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-3536571.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                                 | CALIFORNIA ST HLTH FACS FING A CASMED 06/28 FIXED 2.534     | CUSIP: 13032UVF2<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |      5100000 | PA      | $4936156.89    | 0.01%             | 2028-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $287578.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A                  | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4331215 | PA      | $4339013.45    | 0.01%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780685 GN 12/27 FIXED 6.5                         | CUSIP: 36225AXN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           26 | PA      | $26.08         | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1916 FN 08/45 FIXED 4                           | CUSIP: 3140E6DW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52683 | PA      | $50757.28      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45                  | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    225700000 | PA      | $169489553.72  | 0.36%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878476 FN 02/36 FIXED 6                           | CUSIP: 31409T6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16254 | PA      | $16736.37      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 XS 144A          | CUSIP: 52473LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340997215 | PA      | $2230360.48    | 0.00%             | 2056-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A4              | CUSIP: 59020UYP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       391146 | PA      | $382044.43     | 0.00%             | 2035-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-1163839.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD9155 FR 03/52 FIXED 3                   | CUSIP: 3133B7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53219 | PA      | $46862.94      | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2003-J2                                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1             | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136462 | PA      | $138983.14     | 0.00%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $7976.38       | 0.00%             |  |  |  | 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        |         4390 | PA      | $4487.38       | 0.00%             | 2035-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                               | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/30 4.35       | CUSIP: 86563VCF4<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     12800000 | PA      | $12732363.65   | 0.03%             | 2030-09-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                    | CUSIP: 404280DY2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     26300000 | PA      | $26375981.23   | 0.06%             | 2027-08-14      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883947 FN 06/36 FIXED 6                           | CUSIP: 31410BBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4769 | PA      | $4865.82       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A             | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         1812 | PA      | $396620.32     | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A B                       | CUSIP: ACI2Q4L43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      6146000 | PA      | $7111478.60    | 0.02%             | 2067-08-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5180 FN 05/43 FIXED 3                           | CUSIP: 3138WSXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       288092 | PA      | $263923.65     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                             | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP A 144A       | CUSIP: 50085PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2400000 | PA      | $1893813.60    | 0.00%             | 2044-11-05      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62               | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      3200000 | PA      | $3212687.81    | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $27144.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4             | CUSIP: 7609856D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52233 | PA      | $46914.43      | 0.00%             | 2031-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6                   | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      6100000 | PA      | $4362450.06    | 0.01%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 02/37 4.75       | CUSIP: ACI2N6VF5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     21000000 | PA      | $13405325.04   | 0.03%             | 2037-02-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.32 05/08/25-01/02/29 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-424015.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080258 G2 02/29 FLOATING VAR                   | CUSIP: 36225CJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15686 | PA      | $15725.49      | 0.00%             | 2029-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897545 FN 05/37 FIXED 6                           | CUSIP: 31410UES7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1737 | PA      | $1779.85       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A53285 FG 10/36 FIXED 7.5                 | CUSIP: 3128KFUJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9814 | PA      | $9910.66       | 0.00%             | 2036-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                      | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27326 | PA      | $27501.71      | 0.00%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-15                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 15 4A1             | CUSIP: 576433VN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       736803 | PA      | $734636.31     | 0.00%             | 2034-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S10                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S10 1A1            | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3872048 | PA      | $3151692.99    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5022 FR 11/39 FIXED 3                   | CUSIP: 3133KYSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16311632 | PA      | $15242049.73   | 0.03%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK5151 FN 05/33 FIXED 3                           | CUSIP: 3140HJWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       649045 | PA      | $628279.73     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9541 FR 08/53 FIXED 6                   | CUSIP: 3133CAS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179070 | PA      | $183941.16     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                       | COPT DEFENSE PROP LP COMPANY GUAR 04/31 2.75                | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      2700000 | PA      | $2446934.13    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4093                                                          | FREDDIE MAC FHR 4093 QZ                                     | CUSIP: 3137ASTB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16277183 | PA      | $15344240.23   | 0.03%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190370 FN 06/36 FIXED VAR                         | CUSIP: 31368HMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32484 | PA      | $33593.17      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2675 FN 07/46 FIXED 4                           | CUSIP: 3140F96M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2929640 | PA      | $2801862.06    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A38713 FG 01/35 FIXED 6.5                 | CUSIP: 31297UVE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7514 | PA      | $7781.51       | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-40                                                        | FANNIE MAE FNR 2011 40 SX                                   | CUSIP: 31397SWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1513 | PA      | $984.64        | 0.00%             | 2040-11-25      | Floating      | 0.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $-46122.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A D 144A          | CUSIP: 210927AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4729147 | PA      | $4898847.89    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFO SERV SR UNSECURED 03/28 4.45             | CUSIP: 31620MCA2<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      4700000 | PA      | $4688148.34    | 0.01%             | 2028-03-10      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                                          | BCAP LLC TRUST BCAP 2007 AA3 2A1A                           | CUSIP: 05530VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2635140 | PA      | $2415137.10    | 0.01%             | 2047-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892814 FN 07/36 FIXED 6                           | CUSIP: 31410N3X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2632 | PA      | $2693.29       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $5298401.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 462422 GN 12/27 FIXED 7.5                         | CUSIP: 36208VVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           16 | PA      | $16.08         | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EMORY UNIVERSITY                                                                 | EMORY UNIVERSITY UNSECURED 09/30 2.143                      | CUSIP: 29157TAD8<br>LEI: 95MD72NUUVZ3P8PQ6919 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $6641574.02    | 0.01%             | 2030-09-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 479237 GN 03/30 FIXED 8.5                         | CUSIP: 36209RLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          757 | PA      | $775.64        | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | 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        |         1452 | PA      | $1478.55       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD8269 FN 09/40 FIXED 4                           | CUSIP: 31418WFK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10386 | PA      | $10054.11      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20270125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $123661.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003071 G2 04/31 FIXED 8                        | CUSIP: 36202DMU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1167 | PA      | $1200.71       | 0.00%             | 2031-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $16.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5354 FN 05/54 FIXED 6                           | CUSIP: 31418E5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15471082 | PA      | $15797773.24   | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7568 FN 03/28 FIXED VAR                         | CUSIP: 3138EQMS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5510 | PA      | $5480.25       | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                     | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10856866 | PA      | $4975275.04    | 0.01%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $279889.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-49                                                               | FANNIE MAE FNR 2006 49 PF                                   | CUSIP: 31395DWS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99657 | PA      | $99401.19      | 0.00%             | 2036-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0282 FN 01/39 FIXED 6                           | CUSIP: 31416VJ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2713957 | PA      | $2852767.03    | 0.01%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A B 144A          | CUSIP: 210928AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8073500 | PA      | $8318793.98    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 04/33 2                           | CUSIP: ACI1X0BJ3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      5190000 | PA      | $4712886.46    | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3518 FN 10/53 FIXED 5.5                         | CUSIP: 3140A34C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132152 | PA      | $133514.68     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-346423.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1217 FN 07/49 FIXED VAR                         | CUSIP: 3140X4K70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70465 | PA      | $65924.04      | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM7444 GN 04/45 FIXED 3.5                         | CUSIP: 36184YHV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       377199 | PA      | $354397.00     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9288 FN 03/29 FIXED VAR                         | CUSIP: 3138ERKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22055 | PA      | $21862.44      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | 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        |       181175 | PA      | $79770.61      | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 SA 144A        | CUSIP: 173112AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80925 | PA      | $80138.78      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 2A1             | CUSIP: 07384MW65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191694 | PA      | $176364.96     | 0.00%             | 2034-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3305                                                                 | FREDDIE MAC FHR 3305 BF                                     | CUSIP: 31397GSV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57762 | PA      | $57299.12      | 0.00%             | 2034-07-15      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1830 FN 01/39 FIXED 5.5                         | CUSIP: 31416KA81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30797 | PA      | $31108.69      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-2                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 3A3             | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120111 | PA      | $61428.47      | 0.00%             | 2037-04-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5839 FN 09/45 FIXED 4                           | CUSIP: 3138WFPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       663076 | PA      | $638560.73     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05119 FG 09/38 FIXED 6.5                 | CUSIP: 3128M7AU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10858 | PA      | $11451.22      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3387 FN 03/35 FIXED VAR                         | CUSIP: 3140X6XR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81438 | PA      | $79992.69      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/27 5.25        | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     16400000 | PA      | $16494917.46   | 0.04%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/13/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-4996075.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3312 FN 03/33 FIXED 3                           | CUSIP: 31418CVE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115678 | PA      | $112393.35     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C90994 FG 10/26 FIXED 6                   | CUSIP: 3128P7C76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2239 | PA      | $2284.86       | 0.00%             | 2026-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937715 FN 06/37 FIXED 6                           | CUSIP: 31412XGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75679 | PA      | $79212.28      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 865115 FN 02/36 FIXED 5.5                         | CUSIP: 31409ADU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16933 | PA      | $17482.98      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555541 FN 04/33 FLOATING VAR                      | CUSIP: 31385XEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2638 | PA      | $2693.39       | 0.00%             | 2033-04-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888021 FN 12/36 FIXED VAR                         | CUSIP: 31410FSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1437 | PA      | $1508.30       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5339 FN 06/43 FIXED 3                           | CUSIP: 3138X44Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160574 | PA      | $146860.04     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 1F 2A12                    | CUSIP: 3623417L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2353687 | PA      | $951901.16     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $86195.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 03/18/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-949710.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                              | CITADEL FINANCE LLC COMPANY GUAR 144A 02/29 4.75            | CUSIP: 17287HAE0<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |      7600000 | PA      | $7451976.24    | 0.02%             | 2029-02-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2082                                                           | FREDDIE MAC FHR 2082 Z                                      | CUSIP: 3133TG7D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124349 | PA      | $126026.87     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080078 G2 05/27 FLOATING VAR                   | CUSIP: 36225CCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1153 | PA      | $1153.50       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A11               | CUSIP: 22942JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       770321 | PA      | $329115.45     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A A 144A                          | CUSIP: ACI2P7WZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    124512923 | PA      | $164832983.02  | 0.35%             | 2062-11-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1              | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20279 | PA      | $17718.77      | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | 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        |         6178 | PA      | $3927.23       | 0.00%             | 2045-05-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                           | FIRST NLC TRUST FNLC 2005 1 A                               | CUSIP: 32113JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       839427 | PA      | $766066.89     | 0.00%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A87714 FG 08/39 FIXED 4                   | CUSIP: 312934SB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3533 | PA      | $3430.40       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6837 FN 07/53 FIXED VAR                         | CUSIP: 3140XNS39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15124345 | PA      | $15240509.90   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8325 FR 05/53 FIXED 6                   | CUSIP: 3132DWHA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231736 | PA      | $237913.00     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A                | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       103750 | PA      | $100584.44     | 0.00%             | 2032-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5118 FN 01/53 FIXED 5.5                         | CUSIP: 3140MWVL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       412712 | PA      | $416574.67     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831540 FN 06/36 FIXED 6                           | CUSIP: 31407HZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          375 | PA      | $392.38        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                       | BUONI POLIENNALI DEL TES SR UNSECURED REGS 02/31 2.85       | CUSIP: ACI30MMH9<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     14200000 | PA      | $16112057.37   | 0.03%             | 2031-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75           | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      3758358 | PA      | $5425755.41    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO7325 G2 12/46 FIXED 3                        | CUSIP: 3617FKD61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2215846 | PA      | $1977942.74    | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260527                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-396076.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-303030.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5353 FN 05/54 FIXED 5.5                         | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       272506 | PA      | $274168.16     | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 GR2 A2 144A        | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151238418 | PA      | $131439796.95  | 0.28%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                                   | ABU DHABI GOVT INT L SR UNSECURED 144A 04/30 3.125          | CUSIP: 29135LAH3<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |      1600000 | PA      | $1523221.65    | 0.00%             | 2030-04-16      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.725 03/18/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $6183.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                          | FREDDIE MAC FHR 4182 HF                                     | CUSIP: 3137B0WL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297944 | PA      | $283019.85     | 0.00%             | 2043-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/40 3.3               | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10719000 | PA      | $8023061.95    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 PT 144A          | CUSIP: 52475VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373547218 | PA      | $380657165.91  | 0.81%             | 2053-12-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/30 5.35       | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1826308.85    | 0.00%             | 2030-03-27      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC51A5 PIMCO SWAPTION 3.28 CALL USD 2026072              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2100100000 | NC      | $-2221695.79   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $16.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-4491.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-238920.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75       | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     96400000 | PA      | $50862443.25   | 0.11%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA8274 FR 03/50 FIXED 3.5                 | CUSIP: 3133A3FP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50402 | PA      | $46698.64      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | 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        |           40 | PA      | $40.90         | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 682229 GN 07/49 FIXED 4                           | CUSIP: 36295V4N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2526081 | PA      | $2386325.81    | 0.01%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/32 5                          | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      5500000 | PA      | $5566741.51    | 0.01%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1           | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1253669 | PA      | $434957.42     | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $31870.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-206288.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3097 FN 10/52 FIXED VAR                         | CUSIP: 3140XJNP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28532224 | PA      | $27331273.24   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008911 G2 07/26 FLOATING VAR                   | CUSIP: 36202K3U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          106 | PA      | $105.78        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 10/27 VAR              | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      8600000 | PA      | $8483350.55    | 0.02%             | 2027-10-21      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6111 FN 11/45 FIXED 4                           | CUSIP: 3138WFYH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2064175 | PA      | $1984021.24    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7400 FN 03/46 FIXED 4                           | CUSIP: 3138WHGJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221738 | PA      | $212973.55     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0859 FN 06/43 FIXED 3                           | CUSIP: 3138WM5V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       259054 | PA      | $237158.33     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-INV1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2022 INV1 A2 144A        | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33290124 | PA      | $28975321.42   | 0.06%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 6.2        | CUSIP: 928668CB6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     13950000 | PA      | $14430659.25   | 0.03%             | 2028-11-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7198 FN 12/44 FIXED 4                           | CUSIP: 3138Y87L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4743 | PA      | $4569.20       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906630 FN 11/36 FIXED 6                           | CUSIP: 31411FHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7873 | PA      | $8115.41       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5009 FR 08/39 FIXED 3                   | CUSIP: 3133KYR68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       230437 | PA      | $215782.69     | 0.00%             | 2039-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA4 A              | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4906639 | PA      | $4533454.13    | 0.01%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3741 FN 08/39 FIXED 3                           | CUSIP: 31418DEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64576 | PA      | $60469.03      | 0.00%             | 2039-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV7161 FN 04/44 FIXED 4                           | CUSIP: 3138XJ5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34163 | PA      | $32991.73      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL3845 GN 02/45 FIXED 3.5                         | CUSIP: 36184AHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       670153 | PA      | $630049.76     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 4.875                                 | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     92756000 | PA      | $92473383.60   | 0.20%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1             | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       877240 | PA      | $747123.45     | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | 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        |        27795 | PA      | $28940.45      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 10/29 VAR                       | CUSIP: ACI386262<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     15200000 | PA      | $17562569.89   | 0.04%             | 2029-10-05      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BE4276 G2 06/48 FIXED 4                        | CUSIP: 3617BXXD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2744332 | PA      | $2583526.25    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1100000 | PA      | $1138720.00    | 0.00%             | 2033-04-10      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                 | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       477397 | PA      | $496729.21     | 0.00%             | 2047-04-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 1 M1              | CUSIP: 64352VFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       432439 | PA      | $454700.15     | 0.00%             | 2034-05-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $16113.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8401 FR 02/54 FIXED 5.5                 | CUSIP: 3132DWKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2374004 | PA      | $2389574.92    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900112 FN 08/36 FIXED 6                           | CUSIP: 31410XAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31249 | PA      | $32211.22      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5216 FN 12/53 FIXED 6                           | CUSIP: 31418EYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7646835 | PA      | $7812334.46    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 10/28 5.65                 | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2050304.42    | 0.00%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7623 FN 06/43 FIXED 3                           | CUSIP: 3138WVPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126039 | PA      | $115465.53     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835746 FN 08/35 FIXED 5                           | CUSIP: 31407NP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2341 | PA      | $2362.24       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080178 G2 03/28 FLOATING VAR                   | CUSIP: 36225CFU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38725 | PA      | $38645.82      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 2A3            | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17571 | PA      | $15628.46      | 0.00%             | 2036-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6051 FN 11/45 FIXED 4                           | CUSIP: 3138YXWM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28788 | PA      | $27459.32      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783587 GN 06/42 FIXED 3.5                         | CUSIP: 36241L6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89857 | PA      | $84657.00      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A CR 144A                           | CUSIP: ACI1745T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     15172000 | PA      | $16961360.39   | 0.04%             | 2054-10-29      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL2                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL2 A3 144A       | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       967452 | PA      | $956532.21     | 0.00%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER?CRE                                      | CUSIP: ACI2QBKX4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |      1086868 | PA      | $1250230.60    | 0.00%             | 2027-03-01      | Fixed         | 6.76%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2484 FN 12/45 FIXED 4                           | CUSIP: 31418BXN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       194489 | PA      | $187177.93     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                | CI FINANCIAL CORP SR UNSECURED 144A 05/29 7.5               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |      7900000 | PA      | $8294443.05    | 0.02%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A1A           | CUSIP: 466287AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       571086 | PA      | $497676.72     | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                     | ECOPETROL SA 2022 TERM LOAN                                 | CUSIP: BA000WS06<br>LEI: 254900IDGKCJICKBPA66 | Long             | LON              | CORP              | US        |     10200000 | PA      | $10098000.00   | 0.02%             | 2027-12-18      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H03                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H03 FA              | CUSIP: 38375BJS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       327788 | PA      | $327854.97     | 0.00%             | 2061-01-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 6A1              | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1332183 | PA      | $689765.72     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG3077 G2 05/48 FIXED 4                        | CUSIP: 3617GMM25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2397421 | PA      | $2263452.23    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3470 FN 10/44 FIXED 4                           | CUSIP: 3138WC2C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165674 | PA      | $159678.23     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                  | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     14100000 | PA      | $2720606.06    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817777 FN 07/36 FIXED 6                           | CUSIP: 31406RQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3488 | PA      | $3590.01       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4230 FN 12/53 FIXED 5.5                         | CUSIP: 3140A4VY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292166 | PA      | $293866.03     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP (BNY MELLON)                                        | BANK OF NY MELLON CORP SR UNSECURED 03/30 VAR               | CUSIP: 06406RBV8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      7400000 | PA      | $7525390.19    | 0.02%             | 2030-03-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                                     | ACE SECURITIES CORP. ACE 2006 SD1 M1                        | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       886922 | PA      | $844465.79     | 0.00%             | 2036-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2007-20E                                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20E 1               | CUSIP: 83162CRA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         3148 | PA      | $3146.17       | 0.00%             | 2027-05-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $83509.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114370000 | PA      | $114194636.48  | 0.24%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 10/27 VAR               | CUSIP: 61690U8G8<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |      7600000 | PA      | $7605435.75    | 0.02%             | 2027-10-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 975105 FN 06/38 FIXED 5.5                         | CUSIP: 31414SYA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1798 | PA      | $1829.75       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0313 FH 09/37 FLOATING VAR              | CUSIP: 3128S4K22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          448 | PA      | $458.65        | 0.00%             | 2037-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 1A1             | CUSIP: 576433SU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326246 | PA      | $320712.20     | 0.00%             | 2034-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $371791.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE SERIES 1999-19                                                        | FANNIE MAE FNR 1999 19 PH                                   | CUSIP: 31359VH97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1952 | PA      | $1976.86       | 0.00%             | 2029-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AV6097 GN 10/47 FIXED 3.5                         | CUSIP: 36195GX24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       513471 | PA      | $476383.18     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                                 | FREDDIE MAC FHR 2241 PH                                     | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1852 | PA      | $1918.82       | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OIL CORP (KNOC)                                                   | KOREA NATIONAL OIL CORP SR UNSECURED 144A 04/29 4.875       | CUSIP: 50065LAH3<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |      1700000 | PA      | $1725445.80    | 0.00%             | 2029-04-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A                 | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4696783 | PA      | $4701653.13    | 0.01%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 836328 FN 09/35 FLOATING VAR                      | CUSIP: 31407PD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105997 | PA      | $108412.51     | 0.00%             | 2035-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| BANK-2017-BNK8                                                                   | BANK BANK 2017 BNK8 A4                                      | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6400000 | PA      | $6248608.64    | 0.01%             | 2050-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928027 FN 01/37 FIXED 6                           | CUSIP: 31412LA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87819 | PA      | $92174.54      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                                | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    262100000 | PA      | $263277809.25  | 0.56%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 A4 144A          | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7805220 | PA      | $6992109.46    | 0.01%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD 2018-2A                                                      | SOUND POINT CLO LTD SNDPT 2018 2A A 144A                    | CUSIP: 83611JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       754589 | PA      | $755390.17     | 0.00%             | 2031-07-26      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3693 FN 08/46 FIXED 4                           | CUSIP: 3140FBC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80300 | PA      | $77182.46      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 656423 FN 08/32 FIXED 6.5                         | CUSIP: 31390UG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          384 | PA      | $396.75        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                      | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1094209 | PA      | $716314.67     | 0.00%             | 2046-09-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/33 3.678              | CUSIP: ACI2YN4M1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      5100000 | PA      | $5832448.77    | 0.01%             | 2033-07-16      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1                  | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36638 | PA      | $32111.35      | 0.00%             | 2029-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2005-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A            | CUSIP: 17307GT57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       778196 | PA      | $478895.98     | 0.00%             | 2035-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1265 FN 09/41 FIXED 4                           | CUSIP: 31419BMP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97101 | PA      | $93742.19      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990517 FN 09/38 FIXED 6                           | CUSIP: 31415VK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          967 | PA      | $1006.15       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                     | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |       800000 | PA      | $743720.93     | 0.00%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9381 FN 06/30 FIXED VAR                         | CUSIP: 3138ERM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1961238 | PA      | $1925048.15    | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3757 FN 11/29 FIXED 3.5                         | CUSIP: 3138WDE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78711 | PA      | $77690.28      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 07/54 4.375                  | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    233473000 | PA      | $257318911.79  | 0.55%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER                                     | CUSIP: 40412DDH9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     10300000 | PA      | $10279407.21   | 0.02%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889506 FN 03/37 FIXED VAR                         | CUSIP: 31410KGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          355 | PA      | $372.70        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $25919.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 03/27 VAR         | CUSIP: 44891ADS3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     30000000 | PA      | $30066942.00   | 0.06%             | 2027-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3              | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13776 | PA      | $14114.55      | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804701 FN 01/35 FLOATING VAR                      | CUSIP: 31406BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       261270 | PA      | $265340.07     | 0.00%             | 2035-01-01      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0807 FN 07/31 FIXED 5                           | CUSIP: 31417Y3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19281 | PA      | $19516.90      | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804137 FN 11/34 FIXED 6                           | CUSIP: 31406ALS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6450 | PA      | $6578.07       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | 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        |         9402 | PA      | $9429.00       | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880913 FN 04/36 FIXED 6                           | CUSIP: 31409WVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76057 | PA      | $78893.93      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                           | LOGICOR FINANCING SARL COMPANY GUAR REGS 07/27 1.625        | CUSIP: ACI1D58V1<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |      7200000 | PA      | $8161222.77    | 0.02%             | 2027-07-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                           | LOGICOR FINANCING SARL COMPANY GUAR REGS 11/28 3.25         | CUSIP: ACI167F39<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     10900000 | PA      | $12515165.89   | 0.03%             | 2028-11-13      | Fixed         | 3.25%                 | 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        |         6982 | PA      | $7322.26       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | 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        |      9059763 | PA      | $9065895.65    | 0.02%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2926 FR 05/53 FIXED 5.5                 | CUSIP: 3133C3HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3297285 | PA      | $3325325.02    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/28 FIXED 1.946     | CUSIP: 2350366Q8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      2435000 | PA      | $2305685.19    | 0.00%             | 2028-11-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745290 FN 02/36 FIXED VAR                         | CUSIP: 31403C7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5775 | PA      | $5972.89       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4                | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2656276.84    | 0.01%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0992 FN 12/45 FIXED 4                           | CUSIP: 3140EVC62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29558 | PA      | $28386.13      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3742 FN 08/39 FIXED 3.5                         | CUSIP: 31418DEQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153982 | PA      | $147664.80     | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 987819 FN 09/38 FIXED 6                           | CUSIP: 31415SK84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7475 | PA      | $7755.04       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6579 FN 04/34 FIXED 3.5                         | CUSIP: 3140JPJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       240934 | PA      | $235491.92     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 01/29 VAR                       | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2276000 | PA      | $2246121.38    | 0.00%             | 2029-01-24      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190297 FN 02/28 FIXED VAR                         | CUSIP: 31368HKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           26 | PA      | $26.29         | 0.00%             | 2028-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/43 2.875                                 | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    252260000 | PA      | $193826337.20  | 0.41%             | 2043-05-15      | Fixed         | 2.88%                 | 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        |       106532 | PA      | $106702.27     | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-60                                                        | FANNIE MAE FNR 2012 60 JZ                                   | CUSIP: 3136A6MF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36621864 | PA      | $36261966.11   | 0.08%             | 2041-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3683 FN 06/39 FIXED 3.5                         | CUSIP: 31418DCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182618 | PA      | $175133.58     | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                                | CUSIP: 22823QD73<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1398856.62    | 0.00%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1322465.55   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM 39A LTD                                                                      | LCM LTD PARTNERSHIP LCM 39A A1R2 144A                       | CUSIP: 50204NBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     10200000 | PA      | $10201532.86   | 0.02%             | 2034-10-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 933032 FN 10/37 FIXED 6                           | CUSIP: 31412SA96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1221 | PA      | $1250.22       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-252855.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A2            | CUSIP: 92990GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29771 | PA      | $25698.19      | 0.00%             | 2037-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK9469 FN 03/27 FIXED 3.5                         | CUSIP: 3138EEQX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          730 | PA      | $725.18        | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5777000 | PA      | $5579844.85    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP CBK                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $15247160.47   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 2A1              | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3704 | PA      | $3445.61       | 0.00%             | 2033-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840883 FN 10/35 FIXED 6                           | CUSIP: 31407UFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6297 | PA      | $6444.47       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9490 FN 11/52 FIXED 5.5                         | CUSIP: 3140N2RL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72037 | PA      | $72559.29      | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948914 FN 11/37 FIXED 6                           | CUSIP: 31413LVF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8554 | PA      | $8808.63       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804641 FN 12/34 FIXED 6                           | CUSIP: 31406A5A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          938 | PA      | $956.75        | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $2205995.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-20010.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC                                                   | CUSIP: 46652MD85<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1198807.08    | 0.00%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930678 FN 03/39 FIXED 5                           | CUSIP: 31412N6P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60897 | PA      | $61578.12      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914700 FN 04/37 FIXED 6                           | CUSIP: 31411UGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21344 | PA      | $22141.87      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829987 FN 05/35 FLOATING VAR                      | CUSIP: 31407GCY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4869 | PA      | $5082.88       | 0.00%             | 2035-05-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF221 RR                                | CUSIP: ACI2QBKL0<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |      1876071 | PA      | $2191948.28    | 0.00%             | 2027-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7832 FN 05/35 FIXED VAR                         | CUSIP: 3140XBV23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4229 | PA      | $4162.61       | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3703 FN 06/35 FIXED VAR                         | CUSIP: 3140X7DH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       433391 | PA      | $423980.95     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-15646.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1           | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       348152 | PA      | $326228.78     | 0.00%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-320.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX4411 FN 11/44 FIXED 4                           | CUSIP: 3138Y53V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22423 | PA      | $21582.18      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-56973.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $42712.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1944 FN 07/43 FIXED 3                           | CUSIP: 3138X1ES1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       505025 | PA      | $461517.41     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/27 VAR               | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      6200000 | PA      | $6106491.04    | 0.01%             | 2027-10-13      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946206 FN 09/37 FIXED 6                           | CUSIP: 31413HU71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30340 | PA      | $31846.49      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | 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        |      5583478 | PA      | $133942.05     | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5                 | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87859980 | PA      | $88617444.36   | 0.19%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $23.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0553 G2 08/55 FIXED 4                        | CUSIP: 3618N5TK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9495920 | PA      | $8906963.18    | 0.02%             | 2055-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H08 FC              | CUSIP: 38375BQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80141 | PA      | $80237.85      | 0.00%             | 2062-04-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3145                                                                 | FREDDIE MAC FHR 3145 AJ                                     | CUSIP: 31396NCK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114715 | PA      | $117916.32     | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO5326 FN 11/49 FIXED 3                           | CUSIP: 3140K04L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       839667 | PA      | $751061.01     | 0.00%             | 2049-11-01      | 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        |        25169 | PA      | $24463.77      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                             | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR               | CUSIP: 92853KAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       900000 | PA      | $900045.00     | 0.00%             | 2031-01-08      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8599 FN 09/26 FIXED 4                           | CUSIP: 3138ANRV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1261 | PA      | $1258.24       | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2905 FN 11/45 FIXED 4                           | CUSIP: 3140E7GP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21111 | PA      | $20391.65      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $1091849.69    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 1A2                   | CUSIP: 07386HFG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9829 | PA      | $9404.50       | 0.00%             | 2034-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-16938.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A4           | CUSIP: 92922FW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138952 | PA      | $132566.13     | 0.00%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $17882.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                                         | SCE RECOVERY FUNDING LLC SR SECURED 03/36 4.453             | CUSIP: 78433LAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000000 | PA      | $19816121.00   | 0.04%             | 2036-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                                        | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR                  | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |      1400000 | PA      | $1618028.49    | 0.00%             | 2031-01-07      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-58                                                               | FANNIE MAE FNR 2006 58 FL                                   | CUSIP: 31395NC96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279293 | PA      | $278122.86     | 0.00%             | 2036-07-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                    | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3         | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1037960 | PA      | $994200.95     | 0.00%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A E 144A                           | CUSIP: ACI2M19Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      6200000 | PA      | $8281763.57    | 0.02%             | 2035-06-21      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4195 FN 06/27 FIXED VAR                         | CUSIP: 3138ELUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          163 | PA      | $162.58        | 0.00%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3739 FN 08/34 FIXED 3.5                         | CUSIP: 31418DEM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11108 | PA      | $10879.00      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886394 FN 08/36 FIXED 6                           | CUSIP: 31410DXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10821 | PA      | $11294.00      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                             | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A          | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324114 | PA      | $206450.33     | 0.00%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 4A1           | CUSIP: 32051GUA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       638685 | PA      | $622724.50     | 0.00%             | 2035-09-25      | Floating      | 6.06%                 | 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        |         5624 | PA      | $5885.91       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-59141.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9130 FN 04/46 FIXED VAR                         | CUSIP: 3138EREC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1185324 | PA      | $1141500.04    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831541 FN 06/36 FIXED 6                           | CUSIP: 31407HZE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18804 | PA      | $19736.77      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-100645.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962538 FN 04/38 FIXED 5.5                         | CUSIP: 31414CZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97670 | PA      | $100464.20     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00886 FG 11/27 FIXED 8.5                 | CUSIP: 31283G6X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          144 | PA      | $145.50        | 0.00%             | 2027-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11            | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35835 | PA      | $33074.92      | 0.00%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 5.7        | CUSIP: 928668BV3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |      6800000 | PA      | $6836785.55    | 0.01%             | 2026-09-12      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 SA 144A         | CUSIP: 12653JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96679 | PA      | $94208.04      | 0.00%             | 2058-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 796269 GN 07/42 FIXED 3.5                         | CUSIP: 36177Q6F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67664 | PA      | $63869.74      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-25535.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-931246.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $174851.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5222 FN 11/26 FIXED 3.5                         | CUSIP: 3138AWYU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          640 | PA      | $636.65        | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6528 FN 01/46 FIXED 4                           | CUSIP: 3138WGHE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       401458 | PA      | $386035.25     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL FUNDING LLC                                                           | GE CAPITAL FUNDING LLC COMPANY GUAR 05/32 4.55              | CUSIP: 36166NAK9<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |      8000000 | PA      | $7981012.48    | 0.02%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/38 5.125              | CUSIP: ACI30CT50<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |       800000 | PA      | $894064.02     | 0.00%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9282 FN 07/43 FIXED 3                           | CUSIP: 3138WXJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6952 | PA      | $6367.84       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3326 FN 10/27 FIXED VAR                         | CUSIP: 3140X6VU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8779 | PA      | $8751.08       | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A                | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25785466 | PA      | $25852004.05   | 0.05%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5196 GN 01/50 FIXED 4                           | CUSIP: 3617MFXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1110213 | PA      | $1047534.59    | 0.00%             | 2050-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                                              | SOUTHWESTERN ELEC POWER SR UNSECURED 09/28 4.1              | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |       257000 | PA      | $255445.43     | 0.00%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4223 FN 06/53 FIXED 5.5                         | CUSIP: 3140NLVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3336851 | PA      | $3360265.34    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1              | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32598 | PA      | $31899.86      | 0.00%             | 2034-05-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $18282.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4594 FN 05/54 FIXED 5.5                         | CUSIP: 3140M6C84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5861434 | PA      | $5894803.72    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896095 FN 06/36 FIXED 6                           | CUSIP: 31410SRQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10426 | PA      | $10730.47      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-26                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 26 1A2                     | CUSIP: 126694ML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11099 | PA      | $5759.10       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-J3                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 J3 2A4                     | CUSIP: 12669G4V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       252596 | PA      | $221311.61     | 0.00%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                      | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175499884 | PA      | $161134697.44  | 0.34%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567              | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      3600000 | PA      | $3609249.55    | 0.01%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3             | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8355743 | PA      | $5305502.25    | 0.01%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849972 FN 02/29 FIXED 8                           | CUSIP: 31408FJR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11144 | PA      | $11224.36      | 0.00%             | 2029-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $228859.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/33 VAR                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      3191000 | PA      | $3569483.20    | 0.01%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| VENTURE 32 CLO LTD                                                               | VENTURE CDO LTD VENTR 2018 32A A1 144A                      | CUSIP: 92325QAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       259188 | PA      | $259460.14     | 0.00%             | 2031-07-18      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ3523 G2 11/46 FIXED 3                        | CUSIP: 3618A54G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       766494 | PA      | $683107.66     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N1447 FH 02/37 FLOATING VAR              | CUSIP: 3128QHTC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          511 | PA      | $520.30        | 0.00%             | 2037-02-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2002-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2002 5 M1              | CUSIP: 68389FCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       812937 | PA      | $994947.82     | 0.00%             | 2032-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1              | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1735483 | PA      | $1682003.30    | 0.00%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 1A1              | CUSIP: 059515AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98087 | PA      | $96054.34      | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/54 2.125                                 | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    143252256 | PA      | $126443536.60  | 0.27%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                                                 | FREDDIE MAC FHR 2061 Z                                      | CUSIP: 3133TEJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102806 | PA      | $104168.75     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0723 FN 02/48 FIXED 4                           | CUSIP: 3140HDYV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49646 | PA      | $47566.70      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3             | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1061631 | PA      | $517994.64     | 0.00%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2784 FN 10/46 FIXED 4                           | CUSIP: 31418CCW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72957 | PA      | $70018.91      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       104000 | PA      | $103863.86     | 0.00%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 1A               | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3498692 | PA      | $3372036.57    | 0.01%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A71283 FG 01/38 FIXED 6.5                 | CUSIP: 3128L4M84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2593 | PA      | $2716.67       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 440719 FN 11/28 FIXED 6                           | CUSIP: 31380HSG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1032 | PA      | $1051.78       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6566 FN 09/43 FIXED 3                           | CUSIP: 3138X6JL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10915 | PA      | $9949.05       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7479 FN 11/44 FIXED 4.5                         | CUSIP: 3138Y9JZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35371 | PA      | $34919.74      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-68                                                               | FANNIE MAE FNR 2004 68 LC                                   | CUSIP: 31394AZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2519 | PA      | $2535.09       | 0.00%             | 2029-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8726 FN 06/46 FIXED 4                           | CUSIP: 3140F4VU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125039 | PA      | $120261.62     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $3738245.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1                  | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1489 | PA      | $1495.36       | 0.00%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR              | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     14100000 | PA      | $14016830.30   | 0.03%             | 2029-01-21      | Floating      | 4.15%                 | 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        |     93540793 | PA      | $81117930.06   | 0.17%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA9929 FR 06/50 FIXED 3.5                 | CUSIP: 3133A5A60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       614840 | PA      | $569669.48     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $40829.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-3A LTD                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 3A A1R 144A       | CUSIP: 69690EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21700000 | PA      | $21695986.59   | 0.05%             | 2032-08-08      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                                        | FANNIE MAE FNR 2016 76 FA                                   | CUSIP: 3136ATZ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7024013 | PA      | $6948188.39    | 0.01%             | 2046-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080725 G2 08/33 FLOATING VAR                   | CUSIP: 36225CYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9887 | PA      | $10025.60      | 0.00%             | 2033-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535148 FN 02/30 FIXED VAR                         | CUSIP: 31384VP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5807 | PA      | $5997.98       | 0.00%             | 2030-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 13 A12 144A             | CUSIP: 46592XBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16188427 | PA      | $15772886.32   | 0.03%             | 2052-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW9005 FN 08/29 FIXED 3.5                         | CUSIP: 3138XZAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61812 | PA      | $61245.45      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-6                                                              | IMPAC CMB TRUST IMM 2004 6 1A2                              | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17494 | PA      | $17519.89      | 0.00%             | 2034-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| STRIPE GLOBAL HOLDINGS INC                                                       | 86333 AA1                                                   | CUSIP: 990ADDKY2<br>LEI: 254900VYCQ4K0SLSXF22 | Long             | DBT              | CORP              | US        |     47000000 | PA      | $46282867.42   | 0.10%             | 2029-03-26      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9416 FN 03/53 FIXED 5                           | CUSIP: 3140NEPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2419787 | PA      | $2396975.53    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-106                                                              | FANNIE MAE FNR 2003 106 FA                                  | CUSIP: 31393T2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206162 | PA      | $208005.11     | 0.00%             | 2033-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1867 FN 03/29 FIXED 3.5                         | CUSIP: 3138WBCD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10051 | PA      | $9948.69       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M3               | CUSIP: 00252FCV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       372802 | PA      | $371355.43     | 0.00%             | 2035-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4128 FR 04/54 FIXED 5.5                 | CUSIP: 3133WASR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4544443 | PA      | $4608355.67    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP)                      | HANOVER INSURANCE GROUP SR UNSECURED 09/30 2.5              | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |      2590000 | PA      | $2351697.26    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-47                                                               | FANNIE MAE FNR 2009 47 MT                                   | CUSIP: 31396QHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12736 | PA      | $13096.67      | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847995 FN 11/35 FLOATING VAR                      | CUSIP: 31408DC85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16626 | PA      | $17017.59      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A          | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6800000 | PA      | $6724651.92    | 0.01%             | 2037-10-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5599 FN 08/45 FIXED 4                           | CUSIP: 3138WFGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2067407 | PA      | $1991507.86    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 6F 2A1                     | CUSIP: 362341DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32275 | PA      | $27811.30      | 0.00%             | 2035-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS4074 G2 08/47 FIXED 3                        | CUSIP: 3618AWQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1606614 | PA      | $1433278.20    | 0.00%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A R 144A          | CUSIP: 210928AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12186237 | PA      | $5375801.39    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER                                     | CUSIP: 40412DDN6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      2503000 | PA      | $2496467.17    | 0.01%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q47956 FG 05/47 FIXED 3.5                 | CUSIP: 3132WMZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3024081 | PA      | $2834147.16    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2117 FN 04/44 FIXED 4                           | CUSIP: 3138WBK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       227795 | PA      | $219561.79     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893842 FN 10/36 FIXED 6.5                         | CUSIP: 31410QBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          392 | PA      | $415.00        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL2186 GN 02/45 FIXED 3.5                         | CUSIP: 36183XNB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       199138 | PA      | $187100.29     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8767 FN 03/53 FIXED 5.5                         | CUSIP: 3140NDW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5599883 | PA      | $5650011.66    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55              | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     29903000 | PA      | $29508282.19   | 0.06%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-28391.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -136900000 | NC      | $-111254.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2480                                                                 | FREDDIE MAC FHR 2480 Z                                      | CUSIP: 31392TEK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160369 | PA      | $164948.03     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-7167361.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVICES FINANCE PLC                                                | WESSEX WATER SERVS FIN COMPANY GUAR 03/28 5.375             | CUSIP: B06D5L904<br>LEI: 213800B9BFRCA1YMEI57 | Long             | DBT              | CORP              | GB        |      3507000 | PA      | $4624377.04    | 0.01%             | 2028-03-10      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781276 GN 04/31 FIXED 6.5                         | CUSIP: 36225BMZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13649 | PA      | $14019.81      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                                 | MORGAN STANLEY PVT BANK SR UNSECURED 11/28 VAR              | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     14700000 | PA      | $14653962.10   | 0.03%             | 2028-11-17      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5038 FR 03/40 FIXED 3                   | CUSIP: 3133KYS34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       204493 | PA      | $190758.45     | 0.00%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 543432 FN 06/30 FIXED 8                           | CUSIP: 31385FVZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17524 | PA      | $17724.01      | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883974 FN 07/36 FIXED 6                           | CUSIP: 31410BCK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7419 | PA      | $7565.40       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -66738462 | NC      | $-58930.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                                  | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                    | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |       600000 | PA      | $636180.00     | 0.00%             | 2032-01-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                                       | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                      | CUSIP: 48130PE44<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19000000 | PA      | $18932612.70   | 0.04%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 767043 FN 09/35 FIXED 6                           | CUSIP: 31404FEQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16065 | PA      | $16381.77      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897223 FN 08/36 FIXED 6                           | CUSIP: 31410TYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2617 | PA      | $2668.47       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91270 FG 10/29 FIXED 4.5                 | CUSIP: 3128P7MT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9883 | PA      | $9934.37       | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809324 FN 02/35 FLOATING VAR                      | CUSIP: 31406GD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6856 | PA      | $6941.98       | 0.00%             | 2035-02-01      | Floating      | 5.55%                 | 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        |      8097205 | PA      | $7956455.27    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-233617.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2026-1                                             | CMLTI 2026 1 PT 144A                                        | CUSIP: 958QMZII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63000000 | PA      | $58135851.27   | 0.12%             | 2075-10-01      | Fixed         | 3.40%                 | No            |                  3 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                    | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A        | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     17370250 | PA      | $17343692.29   | 0.04%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3799 FN 10/34 FIXED 3.5                         | CUSIP: 31418DGH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       317998 | PA      | $311330.09     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS8781 G2 09/47 FIXED 3                        | CUSIP: 3618B2XJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2484994 | PA      | $2214685.57    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886176 FN 07/36 FIXED 6                           | CUSIP: 31410DQ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24881 | PA      | $25806.78      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $153776.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU BONDS 144A 08/40 5.35                      | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      6400000 | PA      | $1544044.37    | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0484 FN 05/40 FIXED VAR                         | CUSIP: 3138EGRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43310 | PA      | $44626.46      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                                     | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                      | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20450000 | PA      | $20448454.39   | 0.04%             | 2036-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 802467 FN 11/34 FLOATING VAR                      | CUSIP: 31405XQU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81066 | PA      | $83178.53      | 0.00%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                                 | FREDDIE MAC FHR 2246 Z                                      | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7083 | PA      | $7326.39       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2363 FH 09/35 FLOATING VAR              | CUSIP: 3128JMQR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221662 | PA      | $227550.68     | 0.00%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928482 FN 07/37 FIXED 6                           | CUSIP: 31412LRB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95605 | PA      | $100347.27     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1074 FR 04/53 FIXED 5.5                 | CUSIP: 3133C1FP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6117869 | PA      | $6173259.91    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 933554 FN 03/38 FIXED 6                           | CUSIP: 31412STK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8322 | PA      | $8704.52       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8142 FN 10/46 FIXED 4                           | CUSIP: 3138WJBL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       310863 | PA      | $298599.76     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/30 4               | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     12500000 | PA      | $11638121.25   | 0.02%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                   | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7530 | PA      | $7127.38       | 0.00%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.90000 03/15/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $12729835.68   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS4069 G2 12/46 FIXED 3                        | CUSIP: 3618AWQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1092541 | PA      | $981152.15     | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886220 FN 07/36 FIXED 6                           | CUSIP: 31410DSH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10016 | PA      | $10483.84      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL2 A1 144A       | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5902486 | PA      | $5761569.29    | 0.01%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885680 FN 10/36 FIXED 6                           | CUSIP: 31410C6R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8693 | PA      | $8908.72       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1441 FN 03/33 FIXED 3                           | CUSIP: 3140Q8S71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       565426 | PA      | $548936.12     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/27 5.04                           | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      7968000 | PA      | $8014219.50    | 0.02%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8395 FR 01/54 FIXED 5.5                 | CUSIP: 3132DWKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26124709 | PA      | $26314013.49   | 0.06%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3039 FN 10/27 FIXED VAR                         | CUSIP: 3138EKLV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25738 | PA      | $25632.17      | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345               | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    133700000 | PA      | $130161001.11  | 0.28%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830083 FN 07/35 FIXED 6                           | CUSIP: 31407GFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26790 | PA      | $27655.58      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08793 FG 12/47 FIXED 4                   | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       914759 | PA      | $877686.52     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5900 FN 06/43 FIXED 3                           | CUSIP: 3138WTRW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35455 | PA      | $32475.56      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896542 FN 09/36 FIXED 6                           | CUSIP: 31410TBK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10062 | PA      | $10530.44      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2197 FR 05/53 FIXED 5.5                 | CUSIP: 3133C2NN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       652970 | PA      | $662920.36     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 799903 FN 11/34 FLOATING VAR                      | CUSIP: 31405UU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42080 | PA      | $42507.27      | 0.00%             | 2034-11-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 533555 GN 12/30 FIXED 8                           | CUSIP: 36212GWQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2137 | PA      | $2190.79       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KE83<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     20200000 | PA      | $20107986.98   | 0.04%             | 2026-05-08      | None          | 0.00%                 | 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        |        28996 | PA      | $28473.48      | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 990543 FN 09/38 FIXED 6                           | CUSIP: 31415VLY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28205 | PA      | $29372.55      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 01/31 VAR               | CUSIP: 606822DG6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     15700000 | PA      | $15961180.49   | 0.03%             | 2031-01-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                                   | FREMONT HOME LOAN TRUST FHLT 2005 E 2A4                     | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4437019 | PA      | $4332375.92    | 0.01%             | 2036-01-25      | Floating      | 4.45%                 | 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        |       357730 | PA      | $374428.49     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 527150 GN 02/30 FIXED 8                           | CUSIP: 36211YTF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          419 | PA      | $425.09        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | 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        |        50215 | PA      | $47902.72      | 0.00%             | 2036-08-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SOL4 PIMCO CDSOPT PUT EUR 1.05 20260520                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -63500000 | NC      | $-74294.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A                | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107274 | PA      | $100706.24     | 0.00%             | 2043-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE1                                                             | GSAMP TRUST GSAMP 2005 HE1 M2                               | CUSIP: 36242DRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       745843 | PA      | $685078.31     | 0.00%             | 2034-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907352 FN 04/37 FIXED 6                           | CUSIP: 31411GBV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10063 | PA      | $10283.77      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $903439.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB4481 GN 07/47 FIXED 5                           | CUSIP: 3617AU6S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146988 | PA      | $146286.82     | 0.00%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3250 FN 12/43 FIXED 4                           | CUSIP: 3138XETG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1390597 | PA      | $1342274.12    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 959614 FN 11/37 FIXED 6                           | CUSIP: 31413YSB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4458 | PA      | $4632.91       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5140 FN 09/53 FIXED 6.5                         | CUSIP: 31418EWA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1138263 | PA      | $1179040.73    | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6639 FR 06/53 FIXED 4.5                 | CUSIP: 3133C7LU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       971408 | PA      | $942297.62     | 0.00%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-17534.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                         | SNAM SPA SR UNSECURED 144A 05/30 5                          | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     14200000 | PA      | $14351639.24   | 0.03%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3271                                                                 | FREDDIE MAC FHR 3271 FP                                     | CUSIP: 31397FFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          788 | PA      | $778.49        | 0.00%             | 2037-02-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A4                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A4 1A9             | CUSIP: 17309VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158570 | PA      | $147255.35     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-603871.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872489 FN 06/36 FIXED 6                           | CUSIP: 31409JKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          238 | PA      | $249.20        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5897 FN 06/43 FIXED 3                           | CUSIP: 3138WTRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14647 | PA      | $13413.87      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC3654 FN 10/39 FIXED 5                           | CUSIP: 31417NBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7123 | PA      | $7202.75       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 05/54 7.125             | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      2450000 | PA      | $2411878.00    | 0.01%             | 2054-05-13      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8007 FR 09/34 FIXED 3.5                 | CUSIP: 3132D53Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25161 | PA      | $24646.58      | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1                  | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37887 | PA      | $37994.51      | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR              | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     38500000 | PA      | $40282307.07   | 0.09%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $47991.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12          | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114754 | PA      | $35408.62      | 0.00%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $6587.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1             | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4395768 | PA      | $3990513.19    | 0.01%             | 2047-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/37 4.091              | CUSIP: ACI2YN6B3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      4500000 | PA      | $5163963.47    | 0.01%             | 2037-07-16      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                       | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34800000 | PA      | $29837363.40   | 0.06%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2955 FR 09/49 FIXED 3                   | CUSIP: 31339SH81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2420294 | PA      | $2132880.71    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50249 FG 08/47 FIXED 4                   | CUSIP: 3132XSH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2146037 | PA      | $2059064.74    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4771 FR 06/48 FIXED 3.5                 | CUSIP: 3132A5JQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116567 | PA      | $108482.94     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8432 FR 05/54 FIXED 6                   | CUSIP: 3132DWLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319255 | PA      | $325676.73     | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3C           | CUSIP: 17312GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2759050 | PA      | $1950934.14    | 0.00%             | 2045-07-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $88994.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0577 FN 01/40 FIXED VAR                         | CUSIP: 31418MUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1355 | PA      | $1370.24       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $160.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC                                                   | CUSIP: 68269FDA4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1598223.68    | 0.00%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A93655 FG 09/40 FIXED 4.5                 | CUSIP: 312942BY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46998 | PA      | $46596.08      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2          | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101236 | PA      | $99443.57      | 0.00%             | 2034-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8349 FR 08/53 FIXED 5.5                 | CUSIP: 3132DWH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64658728 | PA      | $65186533.11   | 0.14%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260506                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3752.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 939492 FN 06/37 FIXED 6                           | CUSIP: 31413AF99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6632 | PA      | $6825.61       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A84409 FG 02/39 FIXED 4.5                 | CUSIP: 3129303S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12178 | PA      | $11959.07      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 3A1            | CUSIP: 933636AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       332421 | PA      | $307042.05     | 0.00%             | 2037-04-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1442 FN 03/33 FIXED 3                           | CUSIP: 3140Q8S89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257169 | PA      | $249724.38     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC5498 GN 10/47 FIXED 3.5                         | CUSIP: 3617B9DB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1008916 | PA      | $936977.19     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804965 FN 12/34 FLOATING VAR                      | CUSIP: 31406BJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1464 | PA      | $1492.67       | 0.00%             | 2034-12-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-12                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 12 3A2             | CUSIP: 863579AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          295 | PA      | $292.49        | 0.00%             | 2034-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9464 FN 11/46 FIXED 4                           | CUSIP: 3140FHQS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98966 | PA      | $94837.09      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                                  | FIDELITY NATL FINANCIAL COMPANY GUAR 03/31 2.45             | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |      4900000 | PA      | $4326004.15    | 0.01%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF4              | CUSIP: 75970QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8996798 | PA      | $2184502.52    | 0.00%             | 2037-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25         | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     40300000 | PA      | $22452809.48   | 0.05%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E            | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1938015 | PA      | $678063.58     | 0.00%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0247 FN 08/43 FIXED 4                           | CUSIP: 3138W9HZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190555 | PA      | $183668.21     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3530                                                                 | FREDDIE MAC FHR 3530 GZ                                     | CUSIP: 31398CYE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83530 | PA      | $81469.09      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 259006 FN 03/30 FIXED 8                           | CUSIP: 31371QU71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5292 | PA      | $5393.12       | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-625965.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-70311.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK MIZRAHI TEFAHOT LTD                                                         | MIZRAHI TEFAHOT BANK LTD SR UNSECURED 144A REGS 01/31 5     | CUSIP: ACI387RP1<br>LEI: YZO9YEGEO4VYDZMDWF93 | Long             | DBT              | CORP              | IL        |      8200000 | PA      | $8109139.16    | 0.02%             | 2031-01-28      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 PT 144A       | CUSIP: 36272QAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27359565 | PA      | $23189775.98   | 0.05%             | 2064-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-121858.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A       | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7500000 | PA      | $7763338.50    | 0.02%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/55 4.625                                 | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    153200000 | PA      | $146401750.00  | 0.31%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831019 FN 10/35 FIXED 6                           | CUSIP: 31407HG42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3090 | PA      | $3217.44       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835058 FN 06/35 FLOATING VAR                      | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22868 | PA      | $23377.59      | 0.00%             | 2035-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                       | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  19593500000 | PA      | $95794011.03   | 0.20%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 500995 GN 03/30 FIXED 8                           | CUSIP: 36210SRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          171 | PA      | $173.90        | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5781 FN 09/45 FIXED 4                           | CUSIP: 3138WFM78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3943 | PA      | $3793.17       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 956517 FN 10/37 FIXED 6                           | CUSIP: 31413VDW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1058 | PA      | $1087.98       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE4                                              | MORGAN STANLEY CAPITAL INC MSAC 2005 HE4 M3                 | CUSIP: 61744CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2502684 | PA      | $2477008.62    | 0.01%             | 2035-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                                                           | SKYWORKS SOLUTIONS INC SR UNSECURED 06/26 1.8               | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |       380000 | PA      | $378218.49     | 0.00%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900518 FN 11/36 FIXED 6                           | CUSIP: 31410XPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25923 | PA      | $26757.61      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15                 | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     50300000 | PA      | $51018581.78   | 0.11%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                                     | LEHMAN MORTGAGE TRUST LMT 2007 5 4A2                        | CUSIP: 52521RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2308329 | PA      | $1427231.91    | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9274 FN 02/29 FIXED 3.5                         | CUSIP: 3138XMJU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       181126 | PA      | $179089.91     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A3             | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       402943 | PA      | $76256.50      | 0.00%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC ENERGY GROUP INC SR UNSECURED 10/30 1.8                 | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |      5538000 | PA      | $4875056.15    | 0.01%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A16         | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1051426 | PA      | $385740.57     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-36                                                               | FANNIE MAE FNR 1998 36 ZB                                   | CUSIP: 31359T5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7679 | PA      | $7729.72       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003348 G2 02/33 FIXED 6.5                      | CUSIP: 36202DWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1457 | PA      | $1514.19       | 0.00%             | 2033-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 356318 FN 10/26 FLOATING VAR                      | CUSIP: 31376HYP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          145 | PA      | $145.48        | 0.00%             | 2026-10-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 730727 FN 08/33 FIXED 5                           | CUSIP: 31402JYY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          283 | PA      | $283.89        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 489757 FN 04/29 FIXED 6                           | CUSIP: 31382RB28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1881 | PA      | $1918.45       | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                                    | GSAA HOME EQUITY TRUST GSAA 2007 6 A4                       | CUSIP: 36245RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129010 | PA      | $80652.18      | 0.00%             | 2047-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4            | CUSIP: 83611MML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1121442 | PA      | $1103624.87    | 0.00%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A2B             | CUSIP: 59023LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2018137 | PA      | $735206.86     | 0.00%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1079902.95   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7405 FN 01/27 FIXED 3.5                         | CUSIP: 3138XXGP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2259 | PA      | $2244.57       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3932 FN 02/35 FIXED 3.5                         | CUSIP: 31418DLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       765710 | PA      | $749132.89     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                                     | MMIFS RE LTD SECURED 144A 01/33 VAR                         | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |      1000000 | PA      | $718963.41     | 0.00%             | 2033-01-10      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2611                                                                 | FREDDIE MAC FHR 2611 XM                                     | CUSIP: 31393QY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45304 | PA      | $49693.69      | 0.00%             | 2033-05-15      | Floating      | 6.50%                 | 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        |          445 | PA      | $459.69        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7459 FN 11/53 FIXED 5                           | CUSIP: 3140QTJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       264990 | PA      | $262211.78     | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     43400000 | PA      | $42912061.18   | 0.09%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/26 6          | CUSIP: 928668CA8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     25950000 | PA      | $26199561.93   | 0.06%             | 2026-11-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                      | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48462404 | PA      | $41751225.21   | 0.09%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952931 FN 09/37 FIXED 6                           | CUSIP: 31413REC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4662 | PA      | $4805.55       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A        | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     41381084 | PA      | $41463029.72   | 0.09%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2018-4                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2018 4 A1 144A               | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242897 | PA      | $220047.88     | 0.00%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-26249.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4195 FN 05/45 FIXED 4                           | CUSIP: 3138YHUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124460 | PA      | $119928.92     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3221 FN 03/27 FIXED 3.5                         | CUSIP: 3138WQSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5064 | PA      | $5040.90       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1877 FN 10/47 FIXED VAR                         | CUSIP: 3140J6CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       711978 | PA      | $682268.61     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 321                                                           | FREDDIEMAC STRIP FHS 321 V4                                 | CUSIP: 3132HTZX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2631141 | PA      | $2646145.14    | 0.01%             | 2043-12-15      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878498 FN 02/36 FIXED 6                           | CUSIP: 31409T7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1901 | PA      | $1972.20       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                        | FANNIE MAE FNR 2024 38 FA                                   | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18283018 | PA      | $18358729.83   | 0.04%             | 2051-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2018-C2                                                     | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 C2 A5             | CUSIP: 05491UBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6919616.20    | 0.01%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357739 FN 03/35 FIXED 6                           | CUSIP: 31376KLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45230 | PA      | $47339.45      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 594243 FN 12/30 FLOATING VAR                      | CUSIP: 31387UEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1226 | PA      | $1246.10       | 0.00%             | 2030-12-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX SNR LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-16173.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                                         | APIDOS CLO APID 2016 24A A1AL 144A                          | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       244035 | PA      | $244035.26     | 0.00%             | 2030-10-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $944542.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2            | CUSIP: 12668AHF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124455 | PA      | $115917.31     | 0.00%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-357.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2                  | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98457 | PA      | $95447.13      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 744521 FN 09/33 FIXED 5                           | CUSIP: 31403CD24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11522 | PA      | $11476.65      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903261 FN 10/36 FIXED 6                           | CUSIP: 31411BQN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3914 | PA      | $3991.57       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3541 FR 09/26 FIXED 3                   | CUSIP: 3131X65A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          407 | PA      | $405.25        | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-107449.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                           | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30722 | PA      | $28940.89      | 0.00%             | 2027-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/32 FIXED 2.127     | CUSIP: 650036BA3<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     23000000 | PA      | $20253130.70   | 0.04%             | 2032-03-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 3.83              | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1221981.04    | 0.00%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535332 FN 04/30 FIXED VAR                         | CUSIP: 31384VVZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3993 | PA      | $4145.29       | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ICE 3MTH SONIA FU MAR27 IFLL 20270615                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1878 | NC      | $867690.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. 01/27 1                                           | CUSIP: ACI2QBKK2<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |      1988712 | PA      | $2328961.62    | 0.00%             | 2027-01-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/31 FIXED 2.027     | CUSIP: 650036AZ9<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     23000000 | PA      | $20684594.60   | 0.04%             | 2031-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 655819 FN 08/32 FLOATING VAR                      | CUSIP: 31390TSG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          587 | PA      | $599.53        | 0.00%             | 2032-08-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/28 VAR                         | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     26700000 | PA      | $26955567.33   | 0.06%             | 2028-03-12      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO LLC 2022-1A                                                       | BOYCE PARK CLO, LLC BOYCE 2022 1A A1R 144A                  | CUSIP: 103228AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     35600000 | PA      | $35610505.56   | 0.08%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $171518.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $10789.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-14887.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $32230.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       860000 | PA      | $852026.97     | 0.00%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS A PASS THROUGH TRUST                                        | JETBLUE 2019 1 CLASS A PASS THRU CE 11/29 2.95              | CUSIP: 477143AJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       431739 | PA      | $404187.51     | 0.00%             | 2029-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6769 FR 10/26 FIXED 3.5                 | CUSIP: 3132A7QW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          244 | PA      | $243.30        | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/29 5.375                    | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     31800000 | PA      | $32306117.03   | 0.07%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3990 FN 03/48 FIXED VAR                         | CUSIP: 3140J8NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100646 | PA      | $96446.32      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 11/37 5.75             | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000000 | PA      | $14531976.00   | 0.03%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 02/30 VAR                        | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3800000 | PA      | $3859089.47    | 0.01%             | 2030-02-13      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 C 4A2              | CUSIP: 058930AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       668869 | PA      | $619332.89     | 0.00%             | 2036-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735929 FN 08/32 FIXED VAR                         | CUSIP: 31402RSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25097 | PA      | $25944.27      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $308358.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ORACLE CORPORATION SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1338495.81   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4650 FN 03/47 FIXED 4                           | CUSIP: 3140FQEY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146524 | PA      | $141105.91     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-35                                                               | FANNIE MAE FNR 2010 35 ZV                                   | CUSIP: 31398PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1987664 | PA      | $1970705.73    | 0.00%             | 2040-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $13835.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3297 FN 11/45 FIXED 4                           | CUSIP: 3138YUUX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78788 | PA      | $75744.50      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9231 G2 05/48 FIXED 4                        | CUSIP: 3617GUHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349154 | PA      | $329097.00     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | 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        |       350582 | PA      | $321724.46     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 05/30 2.9                  | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      3892000 | PA      | $3559447.13    | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/30 VAR                    | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     15800000 | PA      | $16192670.29   | 0.03%             | 2030-03-04      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 01/31 4.5                      | CUSIP: 46515CJY1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     20000000 | PA      | $19601297.20   | 0.04%             | 2031-01-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3245 FN 08/43 FIXED 3                           | CUSIP: 3138X2TB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       230853 | PA      | $211269.06     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559805 FN 10/40 FLOATING VAR                      | CUSIP: 31386C3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27405 | PA      | $27496.39      | 0.00%             | 2040-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375      | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     17800000 | PA      | $19954852.49   | 0.04%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 544535 GN 05/31 FIXED 7.5                         | CUSIP: 36212U4U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          526 | PA      | $535.24        | 0.00%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8105 FN 07/46 FIXED 4                           | CUSIP: 3140F4AF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87423 | PA      | $83793.08      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A10         | CUSIP: 02149JAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2368031 | PA      | $846308.15     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756241 FN 01/34 FIXED 6                           | CUSIP: 31403SEN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17450 | PA      | $17801.15      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                                                       | STATE OF QATAR SR UNSECURED REGS 04/48 5.103                | CUSIP: M8489SAG2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |       600000 | PA      | $554629.58     | 0.00%             | 2048-04-23      | Fixed         | 5.10%                 | 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        |        35618 | PA      | $34754.55      | 0.00%             | 2035-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3204                                                                 | FREDDIE MAC FHR 3204 ZM                                     | CUSIP: 31397AL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       318438 | PA      | $321819.11     | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8350 FR 08/53 FIXED 6                   | CUSIP: 3132DWH30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31013048 | PA      | $31772235.07   | 0.07%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2130                                                                 | FREDDIE MAC FHR 2130 ZQ                                     | CUSIP: 3133TJQ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243791 | PA      | $248611.00     | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | 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        |      4073733 | PA      | $4078278.78    | 0.01%             | 2031-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6139 FR 01/53 FIXED 5.5                 | CUSIP: 3133BTZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       162779 | PA      | $163688.05     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7400 FN 06/43 FIXED 3                           | CUSIP: 3138W5GJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10442 | PA      | $9562.74       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $5394476.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/49 2.25                                  | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    664312500 | PA      | $413352881.64  | 0.88%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 2 AA PTT PASS THRU CE 12/29 3.2             | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9904352 | PA      | $9658695.84    | 0.02%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8532 FN 12/46 FIXED 4                           | CUSIP: 3138WJPS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3239 | PA      | $3103.14       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 967472 FN 01/38 FIXED 5.5                         | CUSIP: 31414JJR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2409 | PA      | $2471.97       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7552 FN 07/34 FIXED VAR                         | CUSIP: 3140XBMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2288431 | PA      | $2268847.67    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5665 FN 01/53 FIXED 5.5                         | CUSIP: 3140NAJK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       604780 | PA      | $610119.98     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY7770 FN 07/45 FIXED 4                           | CUSIP: 3138YMT41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27972 | PA      | $26893.47      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK7338 GN 04/45 FIXED 3.5                         | CUSIP: 36183REK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144201 | PA      | $135571.10     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1            | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14455 | PA      | $13986.80      | 0.00%             | 2036-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-2                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 2 A2              | CUSIP: 05950GAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       251558 | PA      | $220873.73     | 0.00%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 12/26 4.75                      | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      4100000 | PA      | $4098443.19    | 0.01%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766605 FN 03/34 FIXED 5.5                         | CUSIP: 31404EU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27407 | PA      | $27558.08      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735503 FN 04/35 FIXED VAR                         | CUSIP: 31402RDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          201 | PA      | $209.01        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J1                        | COUNTRYWIDE HOME LOANS CWHL 2007 J1 1A1                     | CUSIP: 12669MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1921390 | PA      | $1750608.79    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 27 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 27A A1R2 144A                     | CUSIP: 48253YBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8100000 | PA      | $8102238.76    | 0.02%             | 2035-01-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080826 G2 02/34 FLOATING VAR                   | CUSIP: 36225C4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9046 | PA      | $9170.67       | 0.00%             | 2034-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2000-39                                                               | FANNIE MAE FNR 2000 39 Z                                    | CUSIP: 31358SUV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49088 | PA      | $50271.86      | 0.00%             | 2030-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B4 144A        | CUSIP: 17326UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1760000 | PA      | $1201365.62    | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-39                                                               | FANNIE MAE FNR 2010 39 MZ                                   | CUSIP: 31398PW96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1660131 | PA      | $1643770.47    | 0.00%             | 2040-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1220 FR 09/53 FIXED 5.5                 | CUSIP: 3133CDK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4902917 | PA      | $4933949.77    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-89963.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4738 FN 08/46 FIXED 4                           | CUSIP: 3140FCHQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       945201 | PA      | $905695.25     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260429                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-68081.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8396 FR 01/54 FIXED 6                   | CUSIP: 3132DWKH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28480811 | PA      | $29104576.65   | 0.06%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                                            | GENUINE PTS CO DISC COML PAPER                              | CUSIP: 37255GD62<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1099241.00    | 0.00%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260522                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $324606.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5477 FN 06/54 FIXED 5.5                         | CUSIP: 3140AFCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       980073 | PA      | $987350.88     | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC7361 GN 10/47 FIXED 3.5                         | CUSIP: 3617BBFA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       436303 | PA      | $405081.78     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/29 4.125      | CUSIP: 80413TBP3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     27600000 | PA      | $27247168.50   | 0.06%             | 2029-01-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | LAS VEGAS SANDS CORP SR UNSECURED 08/29 6                   | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     11300000 | PA      | $11617028.85   | 0.02%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-60                                                               | FANNIE MAE FNR 2002 60 F1                                   | CUSIP: 31392EVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16612 | PA      | $16585.33      | 0.00%             | 2032-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H2545 FH 11/35 FLOATING VAR              | CUSIP: 3128QLP62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146473 | PA      | $150145.87     | 0.00%             | 2035-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/28 VAR                        | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     25000000 | PA      | $25708750.00   | 0.05%             | 2028-12-07      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9972 FN 07/47 FIXED 4                           | CUSIP: 3138WLCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13623 | PA      | $13059.12      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A                | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5398677 | PA      | $2183653.73    | 0.00%             | 2037-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A C 144A          | CUSIP: 21056DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2976614 | PA      | $3072822.06    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION LLC                                           | VIRGINIA POWER FUEL SEC SR SECURED 05/29 5.088              | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |      5916036 | PA      | $5945411.98    | 0.01%             | 2029-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A          | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88640 | PA      | $82568.00      | 0.00%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 527321 GN 08/30 FIXED 8                           | CUSIP: 36211YYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3908 | PA      | $3955.20       | 0.00%             | 2030-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937822 FN 06/37 FIXED 6                           | CUSIP: 31412XLB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2715 | PA      | $2849.36       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFORMATION SVCS                              | CUSIP: 31622GD95<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |       445000 | PA      | $444555.93     | 0.00%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4786 FN 10/52 FIXED 5.5                         | CUSIP: 31418EJ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18394253 | PA      | $18568276.26   | 0.04%             | 2052-10-01      | Fixed         | 5.50%                 | 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        |         5599 | PA      | $5602.71       | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080094 G2 07/27 FLOATING VAR                   | CUSIP: 36225CC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5610 | PA      | $5605.67       | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-54                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 54 2A                  | CUSIP: 31393LFK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1233784 | PA      | $1297704.69    | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 2A1              | CUSIP: 86360BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       907417 | PA      | $870838.22     | 0.00%             | 2036-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934281 FN 06/38 FIXED 5.5                         | CUSIP: 31412TM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5645 | PA      | $5676.21       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                        | ROGERS COMMUNICATIONS                                       | CUSIP: 77511MDG3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     11000000 | PA      | $10980087.80   | 0.02%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4             | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          705 | PA      | $694.83        | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889299 FN 04/38 FIXED VAR                         | CUSIP: 31410G7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          727 | PA      | $763.45        | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-19026.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8459 FN 06/28 FIXED 3                           | CUSIP: 3138WWMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          469 | PA      | $461.78        | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4977 FR 11/53 FIXED 5                   | CUSIP: 3132DSQ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12633905 | PA      | $12518562.08   | 0.03%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14496258 | PA      | $4975470.94    | 0.01%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                                | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3               | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |      8200000 | PA      | $6118698.82    | 0.01%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66                                                 | CUSIP: 71855BDL3<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      1491000 | PA      | $1487660.76    | 0.00%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907500 FN 12/36 FIXED 6                           | CUSIP: 31411GGH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6356 | PA      | $6481.89       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | 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        |          149 | PA      | $152.25        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5137 FN 09/53 FIXED 5                           | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1142837 | PA      | $1131694.43    | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D            | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1431939 | PA      | $699793.82     | 0.00%             | 2037-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2503                                                                 | FREDDIE MAC FHR 2503 PZ                                     | CUSIP: 31392UMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316232 | PA      | $326305.11     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                                | PINNACLE WEST CAPITAL SR UNSECURED 06/26 VAR                | CUSIP: 723484AL5<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     46200000 | PA      | $46235067.65   | 0.10%             | 2026-06-10      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0330 FN 12/45 FIXED 3                           | CUSIP: 3140EULL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60501 | PA      | $54973.75      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-58174.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900526 FN 09/36 FIXED 6                           | CUSIP: 31410XPK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60504 | PA      | $62443.21      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                    | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2853160 | PA      | $2510569.89    | 0.01%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2707 FN 07/46 FIXED 4                           | CUSIP: 3140FAAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       554465 | PA      | $529731.37     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 356339 FN 12/26 FLOATING VAR                      | CUSIP: 31376HZC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          671 | PA      | $672.59        | 0.00%             | 2026-12-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                     | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    251500741 | PA      | $2468479772.88 | 5.25%             |  |  |  | No            |                  1 | On Loan: No      |
| CMO PLACEHOLDER                                                                  | PROJECT NOVA TERM LOAN                                      | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     10000000 | PA      | $10000000.00   | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/30 5.25                        | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     12000000 | PA      | $14079504.00   | 0.03%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-368578.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A4                  | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1778871 | PA      | $1721303.85    | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-123                                                              | FANNIE MAE FNR 2010 123 PM                                  | CUSIP: 31398NY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124537 | PA      | $124106.51     | 0.00%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900867 FN 01/37 FIXED 6                           | CUSIP: 31410XZ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57117 | PA      | $58443.51      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891271 FN 09/36 FIXED 6                           | CUSIP: 31410MFL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62388 | PA      | $64555.97      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                      | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                    | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     38800000 | PA      | $38926604.40   | 0.08%             | 2037-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BE5061 GN 08/48 FIXED 4                           | CUSIP: 3617BYTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9491 | PA      | $8982.06       | 0.00%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-42                                                               | FANNIE MAE FNR 2006 42 LF                                   | CUSIP: 31395DVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93196 | PA      | $92775.47      | 0.00%             | 2036-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3177 FN 10/26 FIXED 3.5                         | CUSIP: 3138AUQ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1044 | PA      | $1040.50       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK3670 FN 12/41 FIXED 4                           | CUSIP: 3138E8CG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11636 | PA      | $11237.12      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-18704.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $211899.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT3503 GN 02/50 FIXED 4                           | CUSIP: 3617MR3L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       521749 | PA      | $492290.58     | 0.00%             | 2050-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30482 FG 05/30 FIXED 4.5                 | CUSIP: 3128CURB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30711 | PA      | $30786.65      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05       | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     24400000 | PA      | $24562429.58   | 0.05%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1453 FN 01/27 FIXED VAR                         | CUSIP: 3138EHTK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12366 | PA      | $12313.32      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | 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        |       687552 | PA      | $213668.59     | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $65555.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 05/26 0.00000                                 | CUSIP: 912797SV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3642000 | PA      | $3623676.19    | 0.01%             | 2026-05-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                    | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                   | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4740000 | PA      | $4665261.58    | 0.01%             | 2036-09-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 01/31 6.125               | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     11400000 | PA      | $11229000.00   | 0.02%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| POST CLO 2022-1 LTD                                                              | POST CLO LTD POST 2022 1A AR 144A                           | CUSIP: 73742YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5550000 | PA      | $5551227.22    | 0.01%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870946 FN 11/36 FIXED 6                           | CUSIP: 31409GTB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1894 | PA      | $1942.07       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-2 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2014 2 A PTT PASS THRU CE 03/28 3.75             | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       837186 | PA      | $835330.00     | 0.00%             | 2028-03-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  JUN26 XEUR 20260608                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3343 | NC      | $12946455.30   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE 2002-4                                                                | FANNIE MAE FNR 2002 4 FJ                                    | CUSIP: 31392BXA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7599 | PA      | $7589.24       | 0.00%             | 2032-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6821 FN 08/53 FIXED 5.5                         | CUSIP: 3140QSSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105359 | PA      | $106303.06     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $763765.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                                   | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5107591 | PA      | $2889130.10    | 0.01%             | 2036-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5794 FN 03/53 FIXED 5                           | CUSIP: 3140QRNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       517600 | PA      | $513246.53     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 SA 144A        | CUSIP: 17326JAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          178 | PA      | $177.52        | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97500 FG 12/27 FIXED 6                   | CUSIP: 3128E4KM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6862 | PA      | $7002.92       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806541 FN 01/35 FLOATING VAR                      | CUSIP: 31406DBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79260 | PA      | $81593.89      | 0.00%             | 2035-01-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1             | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       985072 | PA      | $958248.95     | 0.00%             | 2034-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3681 FN 10/40 FIXED VAR                         | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5624978 | PA      | $5903611.54    | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831547 FN 05/36 FIXED 6                           | CUSIP: 31407HZL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          448 | PA      | $464.36        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0355 FR 06/35 FIXED 3.5                 | CUSIP: 3132CWMC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68496 | PA      | $66335.76      | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1             | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       134150 | PA      | $100848.47     | 0.00%             | 2035-07-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2619 FN 08/43 FIXED 3                           | CUSIP: 3138WP4D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9009 | PA      | $8259.29       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125             | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     15700000 | PA      | $15710990.00   | 0.03%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $181083.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 2A1            | CUSIP: 16163EAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19379 | PA      | $1734.91       | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891439 FN 03/36 FIXED 6.5                         | CUSIP: 31410MLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17228 | PA      | $18056.94      | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735896 FN 09/35 FIXED VAR                         | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35385 | PA      | $37135.82      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | 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        |        88271 | PA      | $91569.45      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2             | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18404 | PA      | $17476.62      | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMWARE LLC SR UNSECURED 08/28 1.8                           | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2825446.50    | 0.01%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821677 FN 06/35 FIXED 6                           | CUSIP: 31406V2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          299 | PA      | $306.23        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-760364.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B3 144A        | CUSIP: 17326UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1760000 | PA      | $1359267.71    | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G97-2                                                                 | FANNIE MAE FNR G97 2 ZA                                     | CUSIP: 31359NSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2566 | PA      | $2585.67       | 0.00%             | 2027-02-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8832 FR 03/52 FIXED 3                   | CUSIP: 3133B6Y53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4798610 | PA      | $4224911.74    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                     | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     10163568 | PA      | $11762173.66   | 0.03%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/51 0.125                                 | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    687058974 | PA      | $365865815.42  | 0.78%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530083 GN 08/30 FIXED 8.5                         | CUSIP: 36212C2Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           37 | PA      | $37.58         | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 772255 FN 11/33 FIXED 6                           | CUSIP: 31404L5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          513 | PA      | $522.74        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                          | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47900000 | PA      | $46171777.58   | 0.10%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                               | FANNIE MAE FNR 2003 25 KP                                   | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58236 | PA      | $57977.53      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1872 FR 04/34 FIXED 3.5                 | CUSIP: 3132AECH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214135 | PA      | $210197.19     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889588 FN 06/38 FIXED VAR                         | CUSIP: 31410KJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1489 | PA      | $1536.14       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C61507 FG 12/31 FIXED 7                   | CUSIP: 31287LU83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5280 | PA      | $5553.00       | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A1           | CUSIP: 021468AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6132853 | PA      | $3176765.93    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                                | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3650786 | PA      | $3655240.34    | 0.01%             | 2036-12-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH3800 FR 11/53 FIXED 6                   | CUSIP: 3133CGGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       660404 | PA      | $674442.65     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8008 FN 06/43 FIXED 3                           | CUSIP: 3138WV3S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243099 | PA      | $222630.29     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261016                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $339382.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)JUN26 XCBT 20260618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        43956 | NC      | $-82043756.91  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A          | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1584526 | PA      | $1597285.48    | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-3529380.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 2A1            | CUSIP: 61756XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5709006 | PA      | $3949793.58    | 0.01%             | 2037-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A1            | CUSIP: 16162WPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1605237 | PA      | $1537764.03    | 0.00%             | 2035-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT2092 FR 06/34 FIXED 3.5                 | CUSIP: 3132AEKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1414380 | PA      | $1382152.25    | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                          | DIGITAL REALTY TRUST LP COMPANY GUAR 07/29 3.6              | CUSIP: 25389JAU0<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |     13617000 | PA      | $13229204.45   | 0.03%             | 2029-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3869 FN 11/44 FIXED 4                           | CUSIP: 3138WDJP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25337 | PA      | $24421.14      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | 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        |        35527 | PA      | $35670.99      | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A                  | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3170 | PA      | $3064.15       | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR             | CUSIP: 539439BB4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     25400000 | PA      | $25514111.53   | 0.05%             | 2028-11-26      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6228 FN 05/53 FIXED 4.5                         | CUSIP: 3140QR4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19500640 | PA      | $18962211.11   | 0.04%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ8107 FN 05/43 FIXED 3                           | CUSIP: 3138MQAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7483 | PA      | $6861.09       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | LAS VEGAS SANDS CORP SR UNSECURED 06/27 5.9                 | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     31300000 | PA      | $31714450.19   | 0.07%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1172 FR 09/53 FIXED 5.5                 | CUSIP: 3133CDJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3002389 | PA      | $3023273.13    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $549.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3088 FN 08/47 FIXED 4                           | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8499 | PA      | $8144.40       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CM2189 GN 03/52 FIXED 4                           | CUSIP: 3617YMNE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       611940 | PA      | $575739.86     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORANGE SA (AKA: FRANCE TELECOM SA)                                               | ORANGE SA SR UNSECURED 144A 01/31 4.25                      | CUSIP: 685218AD1<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |      5000000 | PA      | $4906356.85    | 0.01%             | 2031-01-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6673 FN 02/46 FIXED 4                           | CUSIP: 3138WGMX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217162 | PA      | $208729.52     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003042 G2 02/31 FIXED 8                        | CUSIP: 36202DLX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9491 | PA      | $9884.61       | 0.00%             | 2031-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0110 FN 02/36 FIXED VAR                         | CUSIP: 3140XFDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       201894 | PA      | $196715.87     | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP2593 FN 08/42 FIXED 4                           | CUSIP: 3138M53B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43657 | PA      | $42153.11      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRIMERICA INC                                                                    | PRIMERICA INC SR UNSECURED 11/31 2.8                        | CUSIP: 74164MAB4<br>LEI: 254900621R686KJR7022 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2687150.10    | 0.01%             | 2031-11-19      | Fixed         | 2.80%                 | 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        |       135232 | PA      | $140277.10     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-111660.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 12A2            | CUSIP: 07384MG55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       314120 | PA      | $282910.57     | 0.00%             | 2034-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| VALERIE ASSET LTD                                                                | VALERIE ASSET LTD 09/50 1                                   | CUSIP: 918940AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    194341000 | PA      | $190206500.17  | 0.40%             | 2050-09-15      | Fixed         | 5.22%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4815 FN 04/27 FIXED 3.5                         | CUSIP: 31417BK55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          920 | PA      | $914.73        | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942040 FN 07/37 FIXED 6                           | CUSIP: 31413DBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11071 | PA      | $11621.45      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH9775 FR 02/54 FIXED 5.5                 | CUSIP: 3133CN2G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172643 | PA      | $173638.21     | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK9855 FN 09/33 FIXED 3.5                         | CUSIP: 3140HP5R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173653 | PA      | $170807.52     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/45 3                                     | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80700000 | PA      | $61026222.86   | 0.13%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-690126.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8966 FN 03/47 FIXED 4                           | CUSIP: 3138WJ6C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9227 | PA      | $8845.26       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A            | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8500000 | PA      | $8416555.50    | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847032 FN 11/35 FIXED 6                           | CUSIP: 31408CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169295 | PA      | $173764.96     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 11/27 3.95            | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |      4400000 | PA      | $4156379.04    | 0.01%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972607 FN 04/38 FIXED 5.5                         | CUSIP: 31414QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8901 | PA      | $9089.15       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002471 G2 08/27 FIXED 7                        | CUSIP: 36202CW82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1605 | PA      | $1653.15       | 0.00%             | 2027-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2B            | CUSIP: 59023XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9795411 | PA      | $2967891.90    | 0.01%             | 2037-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $111092.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A36                    | CUSIP: 12544ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       799641 | PA      | $325601.77     | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-37560.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                    | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     25900000 | PA      | $25487303.96   | 0.05%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3205 G2 05/47 FIXED 3                        | CUSIP: 3618AHR25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4859448 | PA      | $4335222.74    | 0.01%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A           | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       715080 | PA      | $684287.17     | 0.00%             | 2035-01-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B3 144A         | CUSIP: 12594YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60870439 | PA      | $24312480.99   | 0.05%             | 2056-02-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H02                                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H02 FA              | CUSIP: 38375BAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81827 | PA      | $82059.38      | 0.00%             | 2060-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A         | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14059000 | PA      | $14259782.20   | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1545 FH 01/37 FLOATING VAR              | CUSIP: 3128QJWE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9172 | PA      | $9417.61       | 0.00%             | 2037-01-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 542736 GN 04/31 FIXED 7                           | CUSIP: 36212S4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1138 | PA      | $1152.89       | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/34 5          | CUSIP: 80413TBG3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     12600000 | PA      | $12552662.18   | 0.03%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902638 FN 10/36 FIXED 6                           | CUSIP: 31411AZB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36166 | PA      | $37494.45      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 975942 FN 11/38 FIXED 6                           | CUSIP: 31414TWB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114013 | PA      | $118183.32     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $353.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-159660.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/28 2.125          | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     18000000 | PA      | $17090974.26   | 0.04%             | 2028-07-12      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6861 FR 01/29 FIXED 3.5                 | CUSIP: 3132A7TS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81453 | PA      | $80882.52      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745418 FN 04/36 FIXED VAR                         | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          943 | PA      | $973.18        | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $608425.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LIMITED                                                         | JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125            | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |      6394000 | PA      | $5857131.24    | 0.01%             | 2031-05-18      | Fixed         | 4.12%                 | 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        |       834208 | PA      | $812500.59     | 0.00%             | 2032-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                                    | JONES LANG LASALLE FIN BV                                   | CUSIP: 48002BD82<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |      1600000 | PA      | $1598580.96    | 0.00%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6716 FN 09/43 FIXED 4                           | CUSIP: 3138X6PA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       192428 | PA      | $186013.90     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03249 FG 09/37 FIXED 6.5                 | CUSIP: 3128M45J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6106 | PA      | $6363.69       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0214 FN 10/29 FIXED 5                           | CUSIP: 31417YGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17313 | PA      | $17493.94      | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9003 FN 08/53 FIXED 5.5                         | CUSIP: 3140NSAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3695712 | PA      | $3731584.51    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A1 144A         | CUSIP: 210928AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       741775 | PA      | $742542.77     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225927654 | PA      | $222846231.25  | 0.47%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08809 FG 04/48 FIXED 4                   | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3120446 | PA      | $2993994.10    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D909 SMB 2026 B R 144A                                 | CUSIP: 990ACZUY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10000 | PA      | $1638323.27    | 0.00%             | 2054-03-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0872 FH 09/35 FLOATING VAR              | CUSIP: 3128NC6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2197 | PA      | $2258.08       | 0.00%             | 2035-09-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                      | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33399970 | PA      | $30671453.05   | 0.07%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $549296.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 04/33 5.45                          | CUSIP: 695114DP0<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $4616328.07    | 0.01%             | 2033-04-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885866 FN 06/36 FIXED 6                           | CUSIP: 31410DFF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15435 | PA      | $16179.49      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080088 G2 06/27 FLOATING VAR                   | CUSIP: 36225CC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3974 | PA      | $3968.94       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3938 FN 07/28 FIXED VAR                         | CUSIP: 3138ELLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3583 | PA      | $3552.71       | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-29                                                        | FANNIE MAE FNR 2014 29 BS                                   | CUSIP: 3136AJX27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3231382 | PA      | $226809.76     | 0.00%             | 2044-05-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3501 FR 09/26 FIXED 3.5                 | CUSIP: 3131X63J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6932 | PA      | $6902.76       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B2 144A         | CUSIP: 12653HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56803817 | PA      | $38386786.89   | 0.08%             | 2057-07-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $224957.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/29 VAR                  | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5800000 | PA      | $5851381.62    | 0.01%             | 2029-01-24      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KD84<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     13600000 | PA      | $13587466.24   | 0.03%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR3 3A1           | CUSIP: 32052EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326192 | PA      | $262693.04     | 0.00%             | 2036-10-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2003-W4                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W4 2A                         | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2314792 | PA      | $2328164.30    | 0.00%             | 2042-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 3A1            | CUSIP: 617487AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1541694 | PA      | $596072.70     | 0.00%             | 2036-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                       | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  11554800000 | PA      | $64337167.17   | 0.14%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | CITIBANK NA SR UNSECURED 08/29 4.838                        | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |      7750000 | PA      | $7854477.60    | 0.02%             | 2029-08-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 11/54 5.7                            | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     11400000 | PA      | $10409563.10   | 0.02%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-82500.14     | -0.00%            |  |  |  | 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        |     17061856 | PA      | $17067373.91   | 0.04%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 3A1                    | CUSIP: 36242DH89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194561 | PA      | $197864.04     | 0.00%             | 2035-04-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1              | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5367709 | PA      | $5126382.85    | 0.01%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |      1044998 | NS      | $24034954.00   | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $383358.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ7187 GN 10/49 FIXED 4                           | CUSIP: 3617LR6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24602 | PA      | $23212.62      | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46794 FG 03/47 FIXED 3.5                 | CUSIP: 3132WLRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       801705 | PA      | $750114.66     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 01/32 VAR                                      | CUSIP: 05571ABE4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     17700000 | PA      | $17462361.04   | 0.04%             | 2032-01-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A8            | CUSIP: 02147BAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1420838 | PA      | $556437.75     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995251 FN 11/38 FIXED VAR                         | CUSIP: 31416BTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23745 | PA      | $24923.37      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                        | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4                   | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4406939 | PA      | $4184162.51    | 0.01%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 08/29 4.25                    | CUSIP: 49427RAK8<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |      5549000 | PA      | $5368241.21    | 0.01%             | 2029-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9046 FN 08/46 FIXED VAR                         | CUSIP: 3138ERBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3731609 | PA      | $3581309.23    | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7610 FN 11/26 FIXED 3.5                         | CUSIP: 3138E0N47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25381 | PA      | $25263.35      | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $192900.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6991 FN 09/45 FIXED 4                           | CUSIP: 3138YYXV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6258 | PA      | $5970.18       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 10/27 VAR               | CUSIP: 61690U8F0<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     10100000 | PA      | $10092653.97   | 0.02%             | 2027-10-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8087 FN 03/35 FIXED VAR                         | CUSIP: 3140XB6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278897 | PA      | $273574.62     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940102 FN 07/37 FIXED 6                           | CUSIP: 31413A3K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42580 | PA      | $43421.22      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN CORPORATION                                                         | NORTHWESTERN CORP 1ST MORTGAGE 144A 03/30 5.073             | CUSIP: 66807TAA0<br>LEI: 3BPWMBHR1R9SHUN7J795 | Long             | DBT              | CORP              | US        |      3200000 | PA      | $3252285.44    | 0.01%             | 2030-03-21      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946606 FN 09/37 FLOATING VAR                      | CUSIP: 31413JDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4292 | PA      | $4413.48       | 0.00%             | 2037-09-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920324 FN 06/36 FIXED 6                           | CUSIP: 31412BPH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5302 | PA      | $5406.38       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889579 FN 05/38 FIXED VAR                         | CUSIP: 31410KJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43298 | PA      | $45442.91      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0057 FN 04/39 FIXED 5                           | CUSIP: 31416VB37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49060 | PA      | $49608.17      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     14267000 | PA      | $14329771.38   | 0.03%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0630 FN 02/52 FIXED VAR                         | CUSIP: 3140XFVY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35463 | PA      | $31545.32      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4302 FN 01/45 FIXED 4                           | CUSIP: 3138WDX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       781494 | PA      | $752922.56     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T5                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T5 A3                     | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5971 | PA      | $6137.84       | 0.00%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2             | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124721 | PA      | $112519.85     | 0.00%             | 2035-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB1493 FN 06/36 FIXED 3.5                         | CUSIP: 3140QLUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       327055 | PA      | $316246.12     | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                         | LEHMAN XS TRUST LXS 2006 12N A31A                           | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       343532 | PA      | $372029.75     | 0.00%             | 2046-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7807 FN 12/26 FIXED 3.5                         | CUSIP: 3138E0U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1808 | PA      | $1799.36       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8935 FN 06/46 FIXED 4                           | CUSIP: 3140F44V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1102112 | PA      | $1056585.65    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/48 3.375                                 | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    103100000 | PA      | $80824761.46   | 0.17%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15               | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    334510000 | PA      | $100526988.65  | 0.21%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 06/27 VAR                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     11900000 | PA      | $11837951.85   | 0.03%             | 2027-06-09      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45            | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      1900000 | PA      | $1879374.47    | 0.00%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                                          | DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 04/31 4.5          | CUSIP: 233853BL3<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $7168344.94    | 0.02%             | 2031-04-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 536291 GN 09/30 FIXED 8.5                         | CUSIP: 36212KXU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8914 | PA      | $9012.71       | 0.00%             | 2030-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8103 FR 03/52 FIXED 2                   | CUSIP: 3133B6AC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6912890 | PA      | $5584975.31    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A1 144A       | CUSIP: 466308AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10850880 | PA      | $8389301.63    | 0.02%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85      | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      9890000 | PA      | $9042082.83    | 0.02%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 SA 144A         | CUSIP: 12653HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       105921 | PA      | $102360.96     | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 777737 FN 05/34 FIXED 5                           | CUSIP: 31404TBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          815 | PA      | $816.61        | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                       | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1     | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     27900000 | PA      | $8698956.87    | 0.02%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A B 144A          | CUSIP: 21055PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8120058 | PA      | $8366675.20    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8342 FR 07/53 FIXED 5.5                 | CUSIP: 3132DWHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4702219 | PA      | $4743453.56    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $38575.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-5749.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                      | PEACEHEALTH OBLIGATED GR SR UNSECURED 11/50 3.218           | CUSIP: 70462GAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8900000 | PA      | $5861580.05    | 0.01%             | 2050-11-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A              | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1382436 | PA      | $1151896.75    | 0.00%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LLC                                                             | EMERA US FINANCE LLC COMPANY GUAR 04/29 4.5                 | CUSIP: 29103HAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10300000 | PA      | $10289777.15   | 0.02%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01311 FG 09/31 FIXED 7                   | CUSIP: 31283HN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1349 | PA      | $1418.64       | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1            | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3440026 | PA      | $3181202.63    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3321 FN 03/28 FIXED 3.5                         | CUSIP: 31418CVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138847 | PA      | $138082.61     | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-14046.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-795371.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3505.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ9340 G2 01/47 FIXED 3                        | CUSIP: 3618ACLV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4447384 | PA      | $3967616.03    | 0.01%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FD              | CUSIP: 38376R5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       529384 | PA      | $529249.43     | 0.00%             | 2067-06-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-2                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 2 3A1              | CUSIP: 576433XW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119390 | PA      | $107178.12     | 0.00%             | 2035-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-562651.76    | -0.00%            |  |  |  | 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        |      5470481 | PA      | $5264801.22    | 0.01%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782547 GN 02/35 FIXED 7.5                         | CUSIP: 36241KZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18014 | PA      | $18896.35      | 0.00%             | 2035-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $1250419.56    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A1             | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96615 | PA      | $88910.75      | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR              | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4635 | PA      | $4760.05       | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C            | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2095278 | PA      | $674041.97     | 0.00%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 2A2                     | CUSIP: 126694DS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56077 | PA      | $13584.35      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885273 FN 06/36 FIXED 6                           | CUSIP: 31410CQ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11338 | PA      | $11731.42      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 972296 FN 02/38 FIXED 5.5                         | CUSIP: 31414PUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2179 | PA      | $2244.71       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 01/29 VAR                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     16800000 | PA      | $16977623.38   | 0.04%             | 2029-01-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/28 2.1         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     33000000 | PA      | $31079508.24   | 0.07%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892902 FN 08/36 FIXED 6                           | CUSIP: 31410PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4782 | PA      | $4876.44       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I SR SECURED 144A 01/33 6.75           | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      4200000 | PA      | $3758119.26    | 0.01%             | 2033-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1            | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113154 | PA      | $99356.80      | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $16335.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008945 G2 08/26 FLOATING VAR                   | CUSIP: 36202K5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          360 | PA      | $359.49        | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889982 FN 11/38 FIXED VAR                         | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89076 | PA      | $91751.39      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 267                                                           | FREDDIEMAC STRIP FHS 267 S5                                 | CUSIP: 31325TN96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8271788 | PA      | $818458.01     | 0.00%             | 2042-08-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870713 FN 08/36 FIXED 6                           | CUSIP: 31409GK21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9024 | PA      | $9322.35       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886737 FN 08/36 FIXED 6                           | CUSIP: 31410EEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1748 | PA      | $1829.31       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1823 FN 10/46 FIXED 4                           | CUSIP: 3140FMAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86166 | PA      | $82570.75      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260401                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $44038.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-58                                                               | FANNIE MAE FNR 2007 58 FG                                   | CUSIP: 31396V4B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33333 | PA      | $32970.34      | 0.00%             | 2037-06-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                              | ANTARES HOLDINGS SR UNSECURED 144A 02/29 6.5                | CUSIP: 03666HAG6<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     16200000 | PA      | $16227271.08   | 0.03%             | 2029-02-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2724 FN 05/43 FIXED 3                           | CUSIP: 3138WQA28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4159 | PA      | $3810.37       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5658 FN 06/47 FIXED 4                           | CUSIP: 3140GUJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188575 | PA      | $180763.35     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | 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        |       995681 | PA      | $420123.41     | 0.00%             | 2037-08-25      | Variable      | 10.71%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1245 FN 05/47 FIXED 3                           | CUSIP: 3140GPL30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35674 | PA      | $31950.00      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0538 FN 10/30 FIXED 4.5                         | CUSIP: 31417YS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7747 | PA      | $7763.32       | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5               | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     39700000 | PA      | $35590283.00   | 0.08%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5                | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      2012647 | PA      | $1977802.24    | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $121221.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917939 FN 05/37 FLOATING VAR                      | CUSIP: 31411XZC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1598 | PA      | $1643.58       | 0.00%             | 2037-05-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A89343 FG 10/39 FIXED 4.5                 | CUSIP: 312936LY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22517 | PA      | $22324.38      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q23236 FG 11/43 FIXED 4.5                 | CUSIP: 3132M3HM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54786 | PA      | $53342.81      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-103289.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-16977.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $18522.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-57784.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B2 144A          | CUSIP: 52474AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15576931 | PA      | $14553903.60   | 0.03%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914939 FN 04/37 FIXED 6                           | CUSIP: 31411UPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7641 | PA      | $7941.28       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 24A1                  | CUSIP: 07386HTC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21661 | PA      | $21437.81      | 0.00%             | 2035-05-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF              | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9342858 | PA      | $9417602.43    | 0.02%             | 2055-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783263 GN 12/40 FIXED 5                           | CUSIP: 36241LTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2112 | PA      | $2150.99       | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 02/30 3.05                 | CUSIP: 431282AS1<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |       600000 | PA      | $553737.13     | 0.00%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 A1 144A         | CUSIP: 22945AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       737047 | PA      | $723121.37     | 0.00%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838769 FN 09/35 FLOATING VAR                      | CUSIP: 31407R2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21304 | PA      | $21907.59      | 0.00%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H32 FA              | CUSIP: 38376RMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5681606 | PA      | $5698719.48    | 0.01%             | 2065-12-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1385949.20   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 07/28 VAR               | CUSIP: 61690U8D5<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     49500000 | PA      | $49546476.05   | 0.11%             | 2028-07-14      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3375 FN 02/35 FIXED VAR                         | CUSIP: 3140X6XD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113770 | PA      | $111507.22     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891805 FN 06/36 FIXED 6                           | CUSIP: 31410MYA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2235 | PA      | $2339.38       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91302 FG 05/30 FIXED 4.5                 | CUSIP: 3128P7NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9675 | PA      | $9698.80       | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA                                        | CUSIP: 990ABYZS5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 120813300000 | PA      | $29953963.51   | 0.06%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7554 FN 11/52 FIXED 4                           | CUSIP: 3140MMMC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2053 | PA      | $1945.10       | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C                | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10816033 | PA      | $5644499.33    | 0.01%             | 2036-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M4              | CUSIP: 86358EPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4313436 | PA      | $3767589.00    | 0.01%             | 2035-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2023-HTL                              | BAMLL 2023 HTL 10/27 1                                      | CUSIP: 05942JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49980304 | PA      | $45948249.93   | 0.10%             | 2027-10-15      | Floating      | 7.14%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970807 FN 11/38 FIXED 6                           | CUSIP: 31414NAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49142 | PA      | $51295.63      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FISH POND RE LTD                                                                 | FISH POND RE LTD UNSECURED 144A 01/27 VAR                   | CUSIP: 33774EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1400000 | PA      | $1420300.00    | 0.00%             | 2027-01-08      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-1                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 1 SA 144A          | CUSIP: 36274KDF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1500 | PA      | $1502.46       | 0.00%             | 2055-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3647 FN 06/35 FIXED VAR                         | CUSIP: 3140X7BR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167912 | PA      | $162615.32     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1               | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     28879000 | PA      | $27999751.41   | 0.06%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR11 2A1           | CUSIP: 45669FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4081125 | PA      | $2289927.72    | 0.00%             | 2037-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA              | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1046687 | PA      | $1049643.06    | 0.00%             | 2066-08-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003068 G2 04/31 FIXED 6.5                      | CUSIP: 36202DMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           44 | PA      | $45.27         | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | 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        |      4785306 | PA      | $4703068.41    | 0.01%             | 2040-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1           | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130188 | PA      | $56092.02      | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                              | BRANDYWINE OPER PARTNERS COMPANY GUAR 03/28 8.3             | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1935198.05    | 0.00%             | 2028-03-15      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929311 FN 04/38 FIXED 5.5                         | CUSIP: 31412MN46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1505 | PA      | $1547.57       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-183861.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260722                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $213595.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8383 FR 12/53 FIXED 5.5                 | CUSIP: 3132DWJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92772 | PA      | $93422.32      | 0.00%             | 2053-12-01      | 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        |        14066 | PA      | $14729.80      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938578 FN 09/36 FIXED 6                           | CUSIP: 31412YFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1455 | PA      | $1522.88       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0171 FN 09/29 FIXED 4.5                         | CUSIP: 31417YFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9279 | PA      | $9290.55       | 0.00%             | 2029-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                           | CARVAL CLO LTD CARVL 2018 1A AR 144A                        | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4076245 | PA      | $4080478.86    | 0.01%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $108140.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A D 144A                        | CUSIP: ACI2V58Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14701000 | PA      | $19413768.77   | 0.04%             | 2056-08-28      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $7927.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A            | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8500000 | PA      | $8563405.75    | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91370 FG 05/31 FIXED 4.5                 | CUSIP: 3128P7QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4004 | PA      | $4018.11       | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A5              | CUSIP: 05952FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154937 | PA      | $112355.66     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | 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        |         9656 | PA      | $9854.87       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938491 FN 05/37 FIXED 6                           | CUSIP: 31412YC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19289 | PA      | $19777.36      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4272                                                          | FREDDIE MAC FHR 4272 FD                                     | CUSIP: 3137B6BC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1124973 | PA      | $1115789.45    | 0.00%             | 2043-11-15      | Floating      | 4.14%                 | 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        |       271112 | PA      | $156788.56     | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTERNATIONAL INC                                                  | CHOICE HOTELS INTL INC SR UNSECURED 12/29 3.7               | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |      5090000 | PA      | $4883285.94    | 0.01%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9                        | COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5                     | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140440 | PA      | $142220.67     | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1             | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7365583 | PA      | $2839061.88    | 0.01%             | 2045-06-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9030 FN 06/26 FIXED 4                           | CUSIP: 31419LA86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          206 | PA      | $205.27        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                                 | FREDDIE MAC FHR 4790 F                                      | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20367454 | PA      | $19977295.44   | 0.04%             | 2043-10-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2003-AR4                          | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1             | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48237 | PA      | $46602.25      | 0.00%             | 2034-01-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.77500 03/03/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $437638.72     | 0.00%             |  |  |  | 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        |       269824 | PA      | $269348.85     | 0.00%             | 2030-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H01                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H01 FA              | CUSIP: 38382YQ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11821090 | PA      | $11919978.60   | 0.03%             | 2073-01-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6899 FN 12/45 FIXED 4                           | CUSIP: 3140EBUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       236433 | PA      | $227040.16     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260430                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $900.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3128 G2 01/47 FIXED 3                        | CUSIP: 3618AHPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1280146 | PA      | $1142034.02    | 0.00%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6060 FN 07/43 FIXED 3                           | CUSIP: 3138M9WW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       463441 | PA      | $424637.01     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                             | ERAC USA FINANCE LLC                                        | CUSIP: 26882SDD5<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6091065.33    | 0.01%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9282 FN 12/26 FIXED 3.5                         | CUSIP: 3138E2J48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62425 | PA      | $62139.84      | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892886 FN 07/36 FIXED 6                           | CUSIP: 31410N6X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22233 | PA      | $22918.08      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/52 0.125                                 | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     89488716 | PA      | $46513310.98   | 0.10%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                                         | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1               | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         9029 | PA      | $9075.12       | 0.00%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR                | CUSIP: 13947LAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1300000.00    | 0.00%             | 2033-03-21      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-76                                                               | FANNIE MAE FNR 2006 76 QF                                   | CUSIP: 31396KBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50944 | PA      | $50646.06      | 0.00%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 3A1 144A          | CUSIP: 74930PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       774923 | PA      | $732391.01     | 0.00%             | 2036-10-27      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1                 | CUSIP: 466247QP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       103910 | PA      | $83500.35      | 0.00%             | 2035-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $134229.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2               | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       979362 | PA      | $964038.99     | 0.00%             | 2034-12-25      | Floating      | 4.53%                 | 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        |         3955 | PA      | $3978.88       | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A D 144A          | CUSIP: 210928AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4707494 | PA      | $4874626.78    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2176 FR 10/53 FIXED 5.5                 | CUSIP: 3133CEMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3722123 | PA      | $3745681.81    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    229587922 | PA      | $221607455.01  | 0.47%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080318 G2 09/29 FLOATING VAR                   | CUSIP: 36225CK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6006 | PA      | $6021.24       | 0.00%             | 2029-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4422 FN 07/45 FIXED 4                           | CUSIP: 3138YV4G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12901 | PA      | $12391.74      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080012 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2616 | PA      | $2616.04       | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-325817.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $35336.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR 144A 10/27 5.75                | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |      5548000 | PA      | $5637354.04    | 0.01%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | GLENCORE FUNDING LLC                                        | CUSIP: 37790BDW8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     30300000 | PA      | $30198746.49   | 0.06%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                                               | SANTOS FINANCE LTD COMPANY GUAR 144A 09/33 6.875            | CUSIP: 803014AB5<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |     18100000 | PA      | $19722827.90   | 0.04%             | 2033-09-19      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S            | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1096906 | PA      | $351893.63     | 0.00%             | 2047-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A1                          | CUSIP: 45660UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20533 | PA      | $20192.80      | 0.00%             | 2032-01-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8341 FR 07/53 FIXED 5                   | CUSIP: 3132DWHS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52074 | PA      | $51565.89      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-7380484.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A             | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16349081 | PA      | $11150066.52   | 0.02%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                                                 | FREDDIE MAC FHR 2178 PB                                     | CUSIP: 3133TLUH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1236 | PA      | $1263.32       | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC COMPANY GUAR 11/28 6                           | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     21100000 | PA      | $21897897.77   | 0.05%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0018 FN 01/30 FIXED 3.5                         | CUSIP: 3138YDAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126760 | PA      | $125383.57     | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-5376057.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF222 RR                                | CUSIP: ACI2QBJY4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |       991522 | PA      | $1213480.13    | 0.00%             | 2028-04-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1            | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       738089 | PA      | $610320.32     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9887 FN 10/52 FIXED 5                           | CUSIP: 3140N26Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44551 | PA      | $44180.71      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2               | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     28100000 | PA      | $15435244.04   | 0.03%             | 2033-08-22      | Fixed         | 2.00%                 | 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        |       681339 | PA      | $671373.73     | 0.00%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890870 FN 08/32 FIXED VAR                         | CUSIP: 31410LW73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101646 | PA      | $100522.16     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 VAR              | CUSIP: 05565ECV5<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |     12600000 | PA      | $12632250.20   | 0.03%             | 2027-03-19      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080013 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3393 | PA      | $3395.35       | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3148686.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-2                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1                       | CUSIP: 81743PAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          328 | PA      | $328.44        | 0.00%             | 2033-06-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2145 FN 01/45 FIXED 4                           | CUSIP: 31418BL38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       310289 | PA      | $298993.03     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3735 FN 08/43 FIXED 3                           | CUSIP: 3138X3EH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19467 | PA      | $17806.91      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8511 FN 05/31 FIXED VAR                         | CUSIP: 3138ETN51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108870 | PA      | $107566.71     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3979                                                          | FREDDIE MAC FHR 3979 ZL                                     | CUSIP: 3137AKPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       164336 | PA      | $154436.97     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | 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        |           25 | PA      | $25.02         | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO3067 FN 08/49 FIXED 3.5                         | CUSIP: 3140JXMR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       516172 | PA      | $478800.17     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-46520.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50032 FG 08/47 FIXED 4                   | CUSIP: 3132XSBA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6762585 | PA      | $6490614.40    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PPM CLO LTD 2019-3A                                                              | PPM CLO 3 LTD. PPMC 2019 3A A1R2 144A                       | CUSIP: 69355EAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12550000 | PA      | $12561312.95   | 0.03%             | 2034-07-17      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 11/28 2.2                   | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |       890000 | PA      | $838309.21     | 0.00%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0675 FN 09/41 FIXED VAR                         | CUSIP: 3138EGXD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       255477 | PA      | $263332.56     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -30500000 | NC      | $-172745.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 06/28 VAR                    | CUSIP: ACI1MT9Q9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1100000 | PA      | $1409492.89    | 0.00%             | 2028-06-09      | Floating      | 2.25%                 | 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        |       180539 | PA      | $160624.42     | 0.00%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260819                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-313365.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 742918 FN 09/33 FLOATING VAR                      | CUSIP: 31403AK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5291 | PA      | $5428.75       | 0.00%             | 2033-09-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 7 DAC 7A                                                       | TORO EUROPEAN CLO TCLO 7A ARE 144A                          | CUSIP: ACI227LV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     14653272 | PA      | $16916560.29   | 0.04%             | 2034-02-15      | Floating      | 2.79%                 | 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        |        20014 | PA      | $20785.74      | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA1679 G2 02/44 FIXED 4.5                      | CUSIP: 36179N2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5315 | PA      | $5256.63       | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11          | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       754264 | PA      | $410961.62     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8873 FN 07/34 FIXED VAR                         | CUSIP: 3140XC2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       324746 | PA      | $321151.03     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887598 FN 07/36 FIXED 6                           | CUSIP: 31410FDB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11410 | PA      | $11787.90      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830188 FN 06/35 FIXED 6                           | CUSIP: 31407GJ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16518 | PA      | $17135.29      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | 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        |         2989 | PA      | $2985.80       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2349                                                                 | FREDDIE MAC FHR 2349 NZ                                     | CUSIP: 313398XY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       205515 | PA      | $212921.16     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1381 FR 04/53 FIXED 5.5                 | CUSIP: 3133C1RA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1523763 | PA      | $1554475.62    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-2                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 2 SA 144A          | CUSIP: 36274JAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4000 | PA      | $4006.55       | 0.00%             | 2055-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 2.875                                 | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    321230000 | PA      | $238601112.13  | 0.51%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 M1             | CUSIP: 86358EAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128940 | PA      | $133450.92     | 0.00%             | 2033-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03916 FG 02/38 FIXED 6.5                 | CUSIP: 3128M5VH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6565 | PA      | $6941.72       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A A 144A                  | CUSIP: ACI2Q4KY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     73381947 | PA      | $84919728.31   | 0.18%             | 2067-08-22      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2006-1                                                   | NEW YORK MORTGAGE TRUST NYMT 2006 1 2A3                     | CUSIP: 649603AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1480269 | PA      | $1205831.61    | 0.00%             | 2036-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A         | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9630648 | PA      | $9633984.59    | 0.02%             | 2038-04-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7497 FN 12/48 FIXED 3.5                         | CUSIP: 3140H9KK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       537724 | PA      | $503301.45     | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 676699 FN 12/32 FIXED 6                           | CUSIP: 31391TX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2574 | PA      | $2624.33       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2907 FN 02/47 FIXED 4                           | CUSIP: 31418CGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11464 | PA      | $10995.46      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TR 2004-R2                                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2004 R2 A3              | CUSIP: 45660NW68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33953 | PA      | $34066.74      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1             | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       626150 | PA      | $448082.64     | 0.00%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 724254 FN 08/33 FLOATING VAR                      | CUSIP: 31402BTK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          768 | PA      | $786.17        | 0.00%             | 2033-08-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/28 VAR                         | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     31700000 | PA      | $33023703.24   | 0.07%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                  | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83476620 | PA      | $74536775.69   | 0.16%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                    | CLEARWAY ENERGY OP LLC COMPANY GUAR 144A 02/31 3.75         | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     10700000 | PA      | $9913539.30    | 0.02%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-48                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 48 2A2                     | CUSIP: 12669EU95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       377207 | PA      | $349396.53     | 0.00%             | 2033-10-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2135                                                                 | FREDDIE MAC FHR 2135 OH                                     | CUSIP: 3133TJX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68736 | PA      | $70109.29      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-35777.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 1A                  | CUSIP: 590219AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45927 | PA      | $47974.83      | 0.00%             | 2036-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMJA MORTGAGE LN TR 2007-A3                                              | INDYMAC IMJA MORTGAGE LOAN TRU IMJA 2007 A3 A1              | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       888308 | PA      | $332897.39     | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837321 FN 09/35 FLOATING VAR                      | CUSIP: 31407QG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37358 | PA      | $38504.85      | 0.00%             | 2035-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 2A1              | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108503 | PA      | $51216.26      | 0.00%             | 2036-03-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                             | ERAC USA FINANCE LLC                                        | CUSIP: 26882SDH6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      2189000 | PA      | $2184777.86    | 0.00%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8359 FN 11/46 FIXED 3                           | CUSIP: 3138WJJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6656 | PA      | $5965.06       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2613 FN 08/43 FIXED 3                           | CUSIP: 3138WP3X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107376 | PA      | $98318.02      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA-56                                                                    | FHLMC GNMA FHG 56 Z                                         | CUSIP: 3133T7YG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          301 | PA      | $300.60        | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA7801 FN 01/54 FIXED 5.5                         | CUSIP: 3140A8U34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       541129 | PA      | $545173.69     | 0.00%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 1 B2 144A               | CUSIP: 89172EAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7648000 | PA      | $7415681.29    | 0.02%             | 2055-02-25      | Variable      | 4.34%                 | 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        |       506443 | PA      | $345318.04     | 0.00%             | 2047-01-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0950 FN 11/46 FIXED 3                           | CUSIP: 3140FLBU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140855 | PA      | $126733.50     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FINANCE LIMITED                                                | LIMA METRO LINE 2 FIN LT SR SECURED 144A 07/34 5.875        | CUSIP: 532522AA7<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |      8760707 | PA      | $8956771.45    | 0.02%             | 2034-07-05      | Fixed         | 5.88%                 | 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        |          177 | PA      | $180.15        | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1376965.69   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-24A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 24A 3A2            | CUSIP: 86359AG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3488 | PA      | $3453.21       | 0.00%             | 2033-07-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2005-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 2A2             | CUSIP: 59020UXK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81570 | PA      | $76151.10      | 0.00%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                            | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                      | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      6131715 | PA      | $6130936.21    | 0.01%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2C                | CUSIP: 61753NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       732405 | PA      | $320626.15     | 0.00%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECURED FIN SR SECURED REGS 05/29 5.25         | CUSIP: ACI1BWMH9<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     10000000 | PA      | $12677265.18   | 0.03%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843855 FN 11/35 FIXED 6                           | CUSIP: 31407XQG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21897 | PA      | $22438.88      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A             | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39431 | PA      | $24564.11      | 0.00%             | 2030-09-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1A 144A          | CUSIP: 78450PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18051248 | PA      | $18850309.74   | 0.04%             | 2053-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2386 FN 12/46 FIXED 4                           | CUSIP: 3140F9UL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34825 | PA      | $33401.26      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RC1907 FR 02/36 FIXED 3.5                 | CUSIP: 3133L8DL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39182 | PA      | $37824.40      | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A         | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       655284 | PA      | $646480.02     | 0.00%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1320042.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N1463 FH 05/37 FLOATING VAR              | CUSIP: 3128QHTU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1335 | PA      | $1335.82       | 0.00%             | 2037-05-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5666 FN 08/45 FIXED 4                           | CUSIP: 3138WFJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29837 | PA      | $28733.69      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A           | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13250000 | PA      | $13258800.52   | 0.03%             | 2034-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 594652 FN 06/31 FIXED 8.5                         | CUSIP: 31387UTH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19632 | PA      | $20360.77      | 0.00%             | 2031-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 538583 GN 11/30 FIXED 8.5                         | CUSIP: 36212NJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          913 | PA      | $937.54        | 0.00%             | 2030-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                               | VISIO TRUST VISIO 2023 2 A1 144A                            | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3743263 | PA      | $3751869.48    | 0.01%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC                                                   | CUSIP: 46652MD28<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     37500000 | PA      | $37490613.75   | 0.08%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE5 M4            | CUSIP: 073879WD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6541675 | PA      | $6678348.92    | 0.01%             | 2035-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                   | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5789 | PA      | $5403.38       | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR             | CUSIP: 53944YBC6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      1750000 | PA      | $1766362.08    | 0.00%             | 2028-11-26      | Floating      | 5.09%                 | 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        |           19 | PA      | $18.64         | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8         | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10704323 | PA      | $10713260.75   | 0.02%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                    | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     16500000 | PA      | $16665343.86   | 0.04%             | 2028-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3312 G2 12/45 FIXED 4.5                      | CUSIP: 36179RVD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6134 | PA      | $6064.91       | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAB MTGE BACKED PASS-THRU CERTS 2006-1                                          | CSAB MORTGAGE BACKED TRUST CSAB 2006 1 A6A                  | CUSIP: 22943HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1194991 | PA      | $291528.76     | 0.00%             | 2036-06-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0494 FN 08/30 FIXED 5                           | CUSIP: 31417YRQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60713 | PA      | $61488.17      | 0.00%             | 2030-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7681 FN 07/53 FIXED 4.5                         | CUSIP: 3140NQRB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       762200 | PA      | $739519.36     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES                 | 10 RENEW POWER SUBSIDIAR SR SECURED REGS 07/28 4.5          | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |      3700000 | PA      | $3493124.86    | 0.01%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889365 FN 01/38 FIXED VAR                         | CUSIP: 31410KCA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       266346 | PA      | $278732.61     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 19 1 AA PTT PASS THRU CE 144A 06/34 3.3         | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4291292 | PA      | $4066881.43    | 0.01%             | 2034-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A E 144A                        | CUSIP: ACI2V5906<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6300000 | PA      | $8261180.66    | 0.02%             | 2056-08-28      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 A3 144A          | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168392483 | PA      | $140415890.49  | 0.30%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 05/28 VAR                        | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2400000 | PA      | $2405049.26    | 0.01%             | 2028-05-24      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO3413 G2 04/47 FIXED 3                        | CUSIP: 3617FEYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5037293 | PA      | $4493876.99    | 0.01%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SBL HOLDINGS LLC                                                                 | SBL HOLDINGS INC SR UNSECURED 144A 10/34 7.2                | CUSIP: 78397DAD0<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3151665.76    | 0.01%             | 2034-10-30      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -149500000 | PA      | $-144303385.98 | -0.31%            | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3364 FN 05/33 FIXED 3.5                         | CUSIP: 31418CW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5238 | PA      | $5150.81       | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 1A1                    | CUSIP: 17025MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1224475 | PA      | $1106188.55    | 0.00%             | 2037-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3797 GN 10/47 FIXED 3.5                         | CUSIP: 3617B7GE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32695 | PA      | $30212.45      | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 05/28 4.751                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2800000 | PA      | $2808252.69    | 0.01%             | 2028-05-12      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 601856 FN 01/31 FIXED 8                           | CUSIP: 31388DTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3867 | PA      | $3904.90       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A3           | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2934858 | PA      | $2718314.54    | 0.01%             | 2035-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0943 FN 06/43 FIXED 3                           | CUSIP: 3138X0BM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93098 | PA      | $85361.68      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1827 FN 03/44 FIXED 4                           | CUSIP: 31418BA55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       700542 | PA      | $678315.67     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928904 FN 12/37 FIXED 6                           | CUSIP: 31412MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43018 | PA      | $43881.67      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO IV LTD                                                              | GREYWOLF CLO LTD GWOLF 2019 1A A1R2 144A                    | CUSIP: 39809TAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9150000 | PA      | $9161738.26    | 0.02%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920310 FN 05/36 FIXED 6                           | CUSIP: 31412BN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13596 | PA      | $13864.71      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-19680.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-137700.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918653 FN 06/37 FIXED 6                           | CUSIP: 31411YTJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1775 | PA      | $1816.04       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2021-4                                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2021 4 A12 144A              | CUSIP: 46652VBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8651676 | PA      | $8471620.80    | 0.02%             | 2051-08-25      | Variable      | 5.00%                 | 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        |        19254 | PA      | $19619.51      | 0.00%             | 2032-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9882 FN 10/45 FIXED 4                           | CUSIP: 3140E26U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6859 | PA      | $6580.53       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD7712 FN 02/39 FIXED 5                           | CUSIP: 31418VSA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5464 | PA      | $5512.31       | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | 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        |          804 | PA      | $831.17        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $478426.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 1998-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 1998 RF1 A 144A         | CUSIP: 863572SK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4973 | PA      | $4967.97       | 0.00%             | 2027-04-15      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313721 FN 08/26 FLOATING VAR                      | CUSIP: 31374GPE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          267 | PA      | $267.02        | 0.00%             | 2026-08-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 06/33 5.375                       | CUSIP: ACI30VFW4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      6900000 | PA      | $7773190.98    | 0.02%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 11/29 VAR                    | CUSIP: ACI21PCV3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       800000 | PA      | $980144.87     | 0.00%             | 2029-11-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                          | GSG BIDCO LTD SR SECURED 144A 06/36 5.375                   | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     43700000 | PA      | $50163646.43   | 0.11%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                    | VISTRA OPERATIONS CO LLC SR SECURED 144A 01/31 4.7          | CUSIP: 92840VAY8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      7400000 | PA      | $7285036.56    | 0.02%             | 2031-01-31      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 1A1                    | CUSIP: 362290AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2162612 | PA      | $1012328.34    | 0.00%             | 2037-03-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4             | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6418332 | PA      | $3735370.36    | 0.01%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                                                          | EMPOWER FINANCE 2020 LP COMPANY GUAR 144A 09/27 1.357       | CUSIP: 29248HAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15600000 | PA      | $14950157.04   | 0.03%             | 2027-09-17      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A Z 144A                        | CUSIP: ACI2NGCK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     54756000 | PA      | $16035574.50   | 0.03%             | 2058-06-28      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                          | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV5 A12 144A         | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53469254 | PA      | $46370841.82   | 0.10%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4192 FN 10/28 FIXED VAR                         | CUSIP: 3138ELUS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65627 | PA      | $65115.96      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A            | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341138 | PA      | $267660.24     | 0.00%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QA10                                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA10 A1            | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11476 | PA      | $10379.71      | 0.00%             | 2036-12-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-OPX1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 OPX1 A5A           | CUSIP: 17311FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       743643 | PA      | $313771.63     | 0.00%             | 2037-01-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                      | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625       | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20700000 | PA      | $20373961.13   | 0.04%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP3 SA 144A        | CUSIP: 17332PAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60193 | PA      | $58450.63      | 0.00%             | 2064-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-R4                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 R4 2A 144A                 | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164476 | PA      | $149302.28     | 0.00%             | 2034-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 485909 GN 04/31 FIXED 7.5                         | CUSIP: 36209YYE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          256 | PA      | $260.53        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902237 FN 10/36 FIXED 6                           | CUSIP: 31411ALS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51396 | PA      | $53045.03      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3195 FR 06/53 FIXED 5                   | CUSIP: 3132DQRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13020512 | PA      | $13060768.62   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 2 A2 144A           | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2018541 | PA      | $2021381.24    | 0.00%             | 2026-12-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC-2007-1X                                                      | NEWGATE FUNDING PLC NGATE 2007 1X A3 REGS                   | CUSIP: 994BNLII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       208681 | PA      | $272758.26     | 0.00%             | 2050-12-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 11 2A1                     | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229628 | PA      | $220523.66     | 0.00%             | 2034-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00921 FG 04/28 FIXED 7.5                 | CUSIP: 31283HAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           35 | PA      | $35.22         | 0.00%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936154 FN 05/37 FIXED 6                           | CUSIP: 31412VQF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          681 | PA      | $706.99        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SW (FINANCE) I PLC                                                               | SW (FINANCE) I PLC SR SECURED REGS 03/27 1.625              | CUSIP: ACI1WPQH7<br>LEI: 549300BHN1HB5BNG2R96 | Long             | DBT              | CORP              | GB        |      1559000 | PA      | $1980715.41    | 0.00%             | 2027-03-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC CROWN CASTLE INC                           | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3174114.55    | 0.01%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 10/61 0.5                    | CUSIP: BMBL1DII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     16400000 | PA      | $5138275.22    | 0.01%             | 2061-10-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD 2024-1A                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 1A A1R 144A       | CUSIP: 69703NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7600000 | PA      | $7598767.96    | 0.02%             | 2032-10-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4027 FN 05/40 FIXED 3.5                         | CUSIP: 31418DPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       324893 | PA      | $310192.16     | 0.00%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9098 FN 10/51 FIXED VAR                         | CUSIP: 3140XDDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1832687 | PA      | $1616069.48    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 12/28 4.75                    | CUSIP: 49427RAN2<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |      3300000 | PA      | $3277373.98    | 0.01%             | 2028-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                                  | CUSIP: 21H020659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180700000 | PA      | $149225730.02  | 0.32%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4788 FN 10/45 FIXED 4                           | CUSIP: 3138YWKA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21939 | PA      | $21130.32      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | 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        |           54 | PA      | $53.70         | 0.00%             | 2029-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804565 FN 01/35 FLOATING VAR                      | CUSIP: 31406AZ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409262 | PA      | $416580.47     | 0.00%             | 2035-01-01      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735341 FN 12/34 FLOATING VAR                      | CUSIP: 31402Q5A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          983 | PA      | $1005.21       | 0.00%             | 2034-12-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882566 FN 07/36 FIXED 6                           | CUSIP: 31409YQT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8569 | PA      | $8872.69       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 527278 FN 11/29 FIXED 6                           | CUSIP: 31384LXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          172 | PA      | $175.41        | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-MLN1                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 MLN1 A2D           | CUSIP: 59024UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5212730 | PA      | $4955216.81    | 0.01%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A1                    | CUSIP: 12669F6L2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47923 | PA      | $46479.67      | 0.00%             | 2034-11-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8198 FN 02/46 FIXED VAR                         | CUSIP: 3138ETDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110154 | PA      | $106035.62     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                        | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       295428 | PA      | $294555.30     | 0.00%             | 2042-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF3083 G2 07/48 FIXED 4                        | CUSIP: 3617G9M81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1316099 | PA      | $1240928.52    | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995051 FN 03/37 FIXED VAR                         | CUSIP: 31416BL89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23785 | PA      | $24962.49      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848099 FN 10/35 FIXED 6                           | CUSIP: 31408DGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7731 | PA      | $7883.47       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK5586 FN 04/42 FIXED 4                           | CUSIP: 3138EAF44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69875 | PA      | $67546.23      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8350 FN 04/53 FIXED 4.5                         | CUSIP: 3140NDH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       305216 | PA      | $296458.02     | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357944 FN 09/35 FIXED 6                           | CUSIP: 31376KS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15609 | PA      | $16291.23      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                                   | URSA RE II LTD UNSECURED 144A 12/29 VAR                     | CUSIP: 91734PAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $297870.00     | 0.00%             | 2029-12-07      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                        | CANADIAN IMPERIAL BANK SR UNSECURED 09/28 VAR               | CUSIP: 13607QFD9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      6100000 | PA      | $6086263.84    | 0.01%             | 2028-09-08      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004240 G2 09/38 FIXED 6.5                      | CUSIP: 36202EV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          764 | PA      | $791.51        | 0.00%             | 2038-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 435011 GN 01/31 FIXED 8                           | CUSIP: 36207LGU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          500 | PA      | $505.36        | 0.00%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A2B                 | CUSIP: 59020UJR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14686 | PA      | $14052.90      | 0.00%             | 2029-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                                | INEOS FINANCE PLC SR SECURED 144A 08/30 5.625               | CUSIP: ACI2TKLW2<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |     10000000 | PA      | $10108282.36   | 0.02%             | 2030-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A2             | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47083 | PA      | $45373.83      | 0.00%             | 2034-05-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 781217 G2 04/30 FIXED 8                        | CUSIP: 36225BK64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          686 | PA      | $696.91        | 0.00%             | 2030-04-20      | Fixed         | 8.00%                 | 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        |          241 | PA      | $245.77        | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTALEXCHANGE SR UNSECURED 09/28 3.625           | CUSIP: 45866FBB9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      4400000 | PA      | $4332671.20    | 0.01%             | 2028-09-01      | Fixed         | 3.62%                 | 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        |        12584 | PA      | $12037.67      | 0.00%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3596 FR 05/53 FIXED 5.5                 | CUSIP: 3133C37H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2372971 | PA      | $2392457.60    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $150918.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV38 5Y 35-100% SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $5867404.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                                    | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A        | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3803910 | PA      | $3812138.04    | 0.01%             | 2038-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/29 3.875       | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     30650000 | PA      | $29929551.21   | 0.06%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9299778 | PA      | $9001324.07    | 0.02%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C33049 FG 12/29 FIXED 7.5                 | CUSIP: 31293YL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          330 | PA      | $334.87        | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $126860.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 11/31 VAR             | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     11600000 | PA      | $11440826.66   | 0.02%             | 2031-11-04      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3277 FN 02/48 FIXED 4                           | CUSIP: 31418CUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21029 | PA      | $20006.18      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 1A1           | CUSIP: 93363EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1959290 | PA      | $1735442.27    | 0.00%             | 2036-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2921 FN 10/48 FIXED 3                           | CUSIP: 3140QAG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       524306 | PA      | $468039.73     | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6289 FN 02/42 FIXED VAR                         | CUSIP: 3138EN7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175684 | PA      | $180652.34     | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896316 FN 07/36 FIXED 6                           | CUSIP: 31410SYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79598 | PA      | $82564.23      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                        | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    115950000 | PA      | $116703675.00  | 0.25%             | 2030-08-17      | Fixed         | 5.50%                 | 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        |         4628 | PA      | $1948.84       | 0.00%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938838 FN 05/37 FIXED 6                           | CUSIP: 31412YPX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15764 | PA      | $16221.51      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4572 FR 08/53 FIXED 5.5                 | CUSIP: 3132DSCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       819544 | PA      | $826045.75     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745423 FN 04/36 FIXED VAR                         | CUSIP: 31403DD48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25902 | PA      | $27181.97      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-93                                                        | FANNIE MAE FNR 2006 93 FN                                   | CUSIP: 31396LBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157075 | PA      | $155862.97     | 0.00%             | 2036-10-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080031 G2 01/27 FLOATING VAR                   | CUSIP: 36225CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2915 | PA      | $2907.34       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | 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        |      1795804 | PA      | $413659.06     | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65              | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6110015.41    | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | 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        |         7472 | PA      | $7821.26       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6989 FR 03/52 FIXED 3                   | CUSIP: 3133KNXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3325420 | PA      | $2925461.11    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | 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        |         8858 | PA      | $8677.68       | 0.00%             | 2034-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2224 FN 07/27 FIXED VAR                         | CUSIP: 3138EJPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12147 | PA      | $12078.16      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-19001.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1               | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4288758 | PA      | $4229807.75    | 0.01%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC COMPANY GUAR 11/29 3.125                       | CUSIP: 29250NAZ8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      2000000 | PA      | $1906736.48    | 0.00%             | 2029-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260518                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-8757.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4178 FN 09/53 FIXED 5.5                         | CUSIP: 3140M5UC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5270765 | PA      | $5314995.61    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CS4179 G2 07/47 FIXED 3                        | CUSIP: 3618AWUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2230082 | PA      | $1989473.29    | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922278 FN 12/36 FIXED 6                           | CUSIP: 31412DUB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22677 | PA      | $23734.94      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6820 FN 08/53 FIXED 4.5                         | CUSIP: 3140NPSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2590158 | PA      | $2513035.84    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                       | AMETEK INC DISC COML                                        | CUSIP: 03111CD67<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1598937.92    | 0.00%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2137                                                                 | FREDDIE MAC FHR 2137 TZ                                     | CUSIP: 3133TJRX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132032 | PA      | $133737.17     | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3           | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       369810 | PA      | $335771.36     | 0.00%             | 2035-07-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8885 FN 10/45 FIXED 4                           | CUSIP: 3140E12T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113158 | PA      | $108737.22     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR                | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     11100000 | PA      | $10979787.22   | 0.02%             | 2029-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| MAST USA LLC 2026-1A                                                             | MAST USA LLC MASTT 2026 1A A 144A                           | CUSIP: 57631AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14910714 | PA      | $14687818.21   | 0.03%             | 2051-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934577 FN 10/38 FIXED 5.5                         | CUSIP: 31412TXE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2720 | PA      | $2797.03       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S2 A6             | CUSIP: 46628CAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6171 | PA      | $6782.74       | 0.00%             | 2036-05-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 1A6           | CUSIP: 02150JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       239698 | PA      | $109139.55     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |         2909 | PA      | $3053.58       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A3            | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2719 | PA      | $2737.61       | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1           | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27800 | PA      | $24822.41      | 0.00%             | 2036-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3B           | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5926725 | PA      | $4193782.22    | 0.01%             | 2045-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 479210 FN 01/29 FIXED 6                           | CUSIP: 31382DKX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           45 | PA      | $45.82         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3601 FN 03/48 FIXED 3.5                         | CUSIP: 3140HHAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33264 | PA      | $31196.79      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                           | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1               | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61825 | PA      | $61364.53      | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A2             | CUSIP: 68400DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7582650 | PA      | $4413347.99    | 0.01%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1325 FN 11/32 FIXED 6                           | CUSIP: 31416JPK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46707 | PA      | $47635.04      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP9584 G2 12/46 FIXED 3                        | CUSIP: 3618A0UH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1704622 | PA      | $1517381.56    | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -6141630 | PA      | $-7132400.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A             | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1544562 | PA      | $1482924.25    | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 4A1            | CUSIP: 92925VAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5739709 | PA      | $5230635.40    | 0.01%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-11AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 11AR 2A3            | CUSIP: 61754VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2297682 | PA      | $1301723.01    | 0.00%             | 2037-06-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829690 FN 09/35 FIXED 6                           | CUSIP: 31407FXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19831 | PA      | $20510.50      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5138 FN 09/53 FIXED 5.5                         | CUSIP: 31418EV80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34833849 | PA      | $35110212.94   | 0.07%             | 2053-09-01      | 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        |      2148706 | PA      | $565402.04     | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT2021 FR 05/34 FIXED 3.5                 | CUSIP: 3132AEG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       259540 | PA      | $254766.86     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE7                                           | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE7 A2            | CUSIP: 04541GLZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1066 | PA      | $1008.76       | 0.00%             | 2034-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9716 FN 07/42 FIXED 4                           | CUSIP: 3138M1YN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22558 | PA      | $21791.71      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 2A19               | CUSIP: 12638PCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       820888 | PA      | $251851.97     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                                | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A             | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       731373 | PA      | $703888.78     | 0.00%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35            | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2445000 | PA      | $2524230.32    | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15            | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8619816 | PA      | $8448919.55    | 0.02%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-NC1                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC1 M1             | CUSIP: 76112BX39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1036505 | PA      | $1028886.49    | 0.00%             | 2036-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4531 FN 08/53 FIXED 6                           | CUSIP: 3140NMA98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       219036 | PA      | $224464.67     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 977164 FN 09/38 FIXED 6                           | CUSIP: 31414VB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278114 | PA      | $290114.83     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890530 FN 02/41 FIXED VAR                         | CUSIP: 31410LLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4636 | PA      | $4817.98       | 0.00%             | 2041-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 828105 FN 07/35 FIXED 6                           | CUSIP: 31407EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3371 | PA      | $3437.60       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2930 FN 03/47 FIXED 4                           | CUSIP: 31418CHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6125 | PA      | $5874.11       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5851 FN 10/29 FIXED VAR                         | CUSIP: 3138ENQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       181346 | PA      | $179764.98     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 440744 FN 12/28 FIXED 6                           | CUSIP: 31380HS99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          368 | PA      | $377.14        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 4 A2C                   | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11535704 | PA      | $4449063.74    | 0.01%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 5 1A                | CUSIP: 1266716B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1008442 | PA      | $994095.67     | 0.00%             | 2034-10-25      | Floating      | 4.29%                 | 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        |         8204 | PA      | $8130.08       | 0.00%             | 2040-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 04/33 4.75                            | CUSIP: 00206RNG3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     14900000 | PA      | $14763245.57   | 0.03%             | 2033-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2075                                                                 | FREDDIE MAC FHR 2075 Z                                      | CUSIP: 3133TGCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53615 | PA      | $54189.90      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2959 FN 01/47 FIXED 4                           | CUSIP: 3140FNJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15613 | PA      | $14938.23      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A               | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6656000 | PA      | $8671992.34    | 0.02%             | 2049-12-21      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1875664 | PA      | $1799954.20    | 0.00%             | 2036-01-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $909432.99     | 0.00%             |  |  |  | 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        |       539155 | PA      | $490326.12     | 0.00%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                                 | FREDDIE MAC FHR 2395 FT                                     | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          415 | PA      | $414.92        | 0.00%             | 2031-12-15      | Floating      | 4.24%                 | 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        |       875044 | PA      | $237935.02     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A1            | CUSIP: 74922LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569552 | PA      | $408769.40     | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1146 FN 06/40 FIXED 5                           | CUSIP: 31416WHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20026 | PA      | $20250.11      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5678 FN 08/45 FIXED 4                           | CUSIP: 3138YXJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39455 | PA      | $37897.37      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | 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        |        62030 | PA      | $62171.37      | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/20/23-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-6806223.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $337251.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-101163.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4927 FN 02/32 FIXED 4                           | CUSIP: 3138E9PM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40480 | PA      | $39900.58      | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 182 FW              | CUSIP: 38380UAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       403661 | PA      | $389379.40     | 0.00%             | 2047-05-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625          | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     23400000 | PA      | $24927715.47   | 0.05%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A           | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       208420 | PA      | $205175.01     | 0.00%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3868 FN 12/39 FIXED 3                           | CUSIP: 31418DJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1055656 | PA      | $986505.04     | 0.00%             | 2039-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2046                                                                         | FREDDIE MAC FHR 2046 G                                      | CUSIP: 3133TDCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          783 | PA      | $790.35        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73382 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $496960.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3209 FN 12/47 FIXED 3                           | CUSIP: 31418CR71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5272 | PA      | $4710.75       | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH              | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       570017 | PA      | $573480.36     | 0.00%             | 2066-01-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-49                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 49 A9                      | CUSIP: 12669EG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5007 | PA      | $4922.23       | 0.00%             | 2033-12-19      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-141                                                       | FANNIE MAE FNR 2012 141 FA                                  | CUSIP: 3136AAAN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       345075 | PA      | $338985.11     | 0.00%             | 2042-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP DISC COML PAPER                                    | CUSIP: 00809KD21<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3099307.77    | 0.01%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                                     | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                     | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11700000 | PA      | $11714283.01   | 0.02%             | 2034-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253713 FN 03/31 FIXED 8                           | CUSIP: 31371JYJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          664 | PA      | $680.24        | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                           | HARLEY DAVIDSON FND CP                                      | CUSIP: 41282KD88<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |      2485000 | PA      | $2482754.06    | 0.01%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5340 FN 06/43 FIXED 3                           | CUSIP: 3138X45A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5953 | PA      | $5454.71       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-830083.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G61032 FG 06/47 FIXED 3.5                 | CUSIP: 31335BED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5496475 | PA      | $5151263.67    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | 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        |           96 | PA      | $95.88         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A         | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2089043 | PA      | $3055688.73    | 0.01%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR               | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     29200000 | PA      | $26312154.46   | 0.06%             | 2031-07-10      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ9892 FN 02/43 FIXED 3                           | CUSIP: 3138MR7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          968 | PA      | $888.96        | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 02/33 10                   | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     13700000 | PA      | $15617246.50   | 0.03%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5213 FN 06/43 FIXED 3                           | CUSIP: 3138WSYK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       541328 | PA      | $495748.45     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $268777.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-32                                                        | FANNIE MAE FNR 2006 32 FP                                   | CUSIP: 31395B5U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1437 | PA      | $1436.08       | 0.00%             | 2036-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-80110.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2941 FN 03/32 FIXED 3.5                         | CUSIP: 31418CHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       330987 | PA      | $326222.19     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | 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        |        35650 | PA      | $37387.42      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-62103.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-3                                              | CITICORP MORTGAGE SECURITIES, CMSI 2007 3 1A4               | CUSIP: 17312FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2609495 | PA      | $2508554.77    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0648 FN 03/48 FIXED 3.5                         | CUSIP: 3140H1WJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       212017 | PA      | $197490.55     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES INCORPORATED                                               | TELEDYNE TECHNOLOGIES IN COMPANY GUAR 04/28 2.25            | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1439148.35    | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821348 FN 05/35 FIXED 6                           | CUSIP: 31406VP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18316 | PA      | $18679.73      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08669 FG 09/45 FIXED 4                   | CUSIP: 3128MJW71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3010 | PA      | $2901.55       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/41 FIXED 5.169      | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     34500000 | PA      | $34974516.45   | 0.07%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS B 144A                               | CUSIP: 990ABJRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     14700000 | PA      | $10142267.73   | 0.02%             | 2057-12-30      | Floating      | 5.86%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253438 FN 09/30 FIXED 8.5                         | CUSIP: 31371JPX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          297 | PA      | $305.94        | 0.00%             | 2030-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002510 G2 11/27 FIXED 7                        | CUSIP: 36202CYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1631 | PA      | $1679.33       | 0.00%             | 2027-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 677431 FN 01/33 FIXED 6                           | CUSIP: 31391USU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2105 | PA      | $2147.06       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3763 FN 05/28 FIXED VAR                         | CUSIP: 3138ELFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4936 | PA      | $4897.05       | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-142.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0926 FN 12/43 FIXED 4                           | CUSIP: 3138XCA44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111442 | PA      | $107604.46     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-8                                                                | FANNIE MAE FNR 2008 8 FB                                    | CUSIP: 31396YHR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58655 | PA      | $59063.96      | 0.00%             | 2038-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $39565.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 4A1                    | CUSIP: 362341XC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1423064 | PA      | $611008.32     | 0.00%             | 2035-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002326 G2 11/26 FIXED 8.5                      | CUSIP: 36202CSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          318 | PA      | $319.48        | 0.00%             | 2026-11-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8199 G2 08/52 FIXED 3.5                      | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       294472 | PA      | $272249.48     | 0.00%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0163 FR 07/54 FIXED 5.5                 | CUSIP: 3133CQFC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1045032 | PA      | $1050875.51    | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -288 | NC      | $-36617.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 FH              | CUSIP: 38376RZX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67811 | PA      | $68118.04      | 0.00%             | 2066-09-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                                 | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       848712 | PA      | $625950.67     | 0.00%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357628 FN 10/34 FIXED 5.5                         | CUSIP: 31376KHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17716 | PA      | $18146.92      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8701 FR 06/33 FIXED 3.5                 | CUSIP: 3132A9U21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2156942 | PA      | $2120707.07    | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-17223.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                       | AMETEK INC DISC COML 04/26 ZCP                              | CUSIP: 03111CDT7<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1595191.20    | 0.00%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF3                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A       | CUSIP: 863592AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2136587 | PA      | $1164700.81    | 0.00%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8401 FR 08/53 FIXED 5.5                 | CUSIP: 3133C9KN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3131402 | PA      | $3156963.21    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30363 FG 10/27 FIXED 6                   | CUSIP: 3128CUML7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1348 | PA      | $1375.48       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1460480.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-209885.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV3 PT 144A       | CUSIP: 17332ACD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18671413 | PA      | $19437367.09   | 0.04%             | 2054-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8343 FR 07/53 FIXED 6                   | CUSIP: 3132DWHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20552954 | PA      | $21084239.50   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS XS1076957700 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH905<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       400000 | PA      | $140000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/45 4.625                                 | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     78800000 | PA      | $76017375.00   | 0.16%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 3A1           | CUSIP: 22541QUP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22968 | PA      | $22454.92      | 0.00%             | 2033-10-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3524 FN 11/47 FIXED 4                           | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       453467 | PA      | $434544.00     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-FR1                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 FR1 M2             | CUSIP: 03072SQS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       686290 | PA      | $669599.38     | 0.00%             | 2034-05-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261026                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $219043.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/30 4.85       | CUSIP: 928668CX8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     13600000 | PA      | $13481114.10   | 0.03%             | 2030-09-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/34 FIXED 2.277     | CUSIP: 650036BC9<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     19000000 | PA      | $16261034.10   | 0.03%             | 2034-03-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A               | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     41852493 | PA      | $55434423.31   | 0.12%             | 2049-12-21      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                      | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124900 | PA      | $118917.75     | 0.00%             | 2035-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-6447.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3022 FN 09/32 FIXED VAR                         | CUSIP: 3140X6LC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163278 | PA      | $162577.41     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORPORATION                                                             | APPLOVIN CORP SR UNSECURED 12/29 5.125                      | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $7545240.83    | 0.02%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2637 FR 06/26 FIXED 3.5                 | CUSIP: 31329K4W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1139 | PA      | $1135.75       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                            | AMRIZE FINANCE US LLC COMPANY GUAR 04/28 4.7                | CUSIP: 43475RAQ9<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     22000000 | PA      | $22141543.82   | 0.05%             | 2028-04-07      | Fixed         | 4.70%                 | 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        |       491005 | PA      | $269077.74     | 0.00%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A E 144A          | CUSIP: 210927AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4393467 | PA      | $4435229.99    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                                 | NIAGARA MOHAWK POWER SR UNSECURED 144A 12/28 4.278          | CUSIP: 65364UAL0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     17600000 | PA      | $17506329.46   | 0.04%             | 2028-12-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2206                                                                 | FREDDIE MAC FHR 2206 Z                                      | CUSIP: 3133TN4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32187 | PA      | $33314.18      | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ1835 GN 09/44 FIXED 3.5                         | CUSIP: 36182WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58640 | PA      | $55095.44      | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | 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        |        50016 | PA      | $51476.62      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7706 G2 11/51 FIXED 3                        | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14948366 | PA      | $13364192.46   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-12XS                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 12XS A6A            | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       963683 | PA      | $250438.75     | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260414                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $626713.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2023-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2023 1 A PTT PASS THRU CE 07/37 5.8              | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43254831 | PA      | $44672309.50   | 0.09%             | 2037-07-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-23779.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A2               | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4968639 | PA      | $3813625.07    | 0.01%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H15 FC              | CUSIP: 38375B4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180321 | PA      | $180347.61     | 0.00%             | 2063-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-18                                                               | FANNIE MAE FNR 2004 18 EZ                                   | CUSIP: 31393XSX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67292 | PA      | $69738.75      | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1A 144A          | CUSIP: 78450CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10299885 | PA      | $10603329.14   | 0.02%             | 2052-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) JUN26 XCBT 20260630                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        80837 | NC      | $-113193000.21 | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 06/17/26-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6206288.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 FB                                     | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3113 | PA      | $3112.35       | 0.00%             | 2030-09-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                         | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |      2100000 | PA      | $1901387.10    | 0.00%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-230777.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6527 FN 01/46 FIXED 4                           | CUSIP: 3138WGHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       209423 | PA      | $201421.51     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1              | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8029538 | PA      | $1945186.98    | 0.00%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2468 FR 08/37 FIXED 3                   | CUSIP: 31329KW59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       202516 | PA      | $191392.05     | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                   | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7762139 | PA      | $7037015.06    | 0.01%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 10/30 3                           | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      9977000 | PA      | $8749323.17    | 0.02%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5189 FN 11/53 FIXED 5                           | CUSIP: 31418EXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       322747 | PA      | $319402.74     | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK5750 GN 12/44 FIXED 3.5                         | CUSIP: 36183PL70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31102 | PA      | $29222.38      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2004-14T2                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 14T2 A13          | CUSIP: 12667FMZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6494 | PA      | $6266.72       | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                                     | ACE SECURITIES CORP. ACE 2004 HE4 M2                        | CUSIP: 004421JJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158686 | PA      | $150804.27     | 0.00%             | 2034-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                            | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                      | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17903678 | PA      | $17913232.14   | 0.04%             | 2039-06-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8419 FN 06/43 FIXED 3                           | CUSIP: 3138WWK99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       240109 | PA      | $219927.18     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3318                                                                 | FREDDIE MAC FHR 3318 F                                      | CUSIP: 31397HDF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110593 | PA      | $109135.56     | 0.00%             | 2037-05-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4760 FN 07/53 FIXED 5.5                         | CUSIP: 3140NMJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       866300 | PA      | $874071.67     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8231 FN 07/39 FIXED 5                           | CUSIP: 31416SED9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5869 | PA      | $5929.94       | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0662 FN 03/33 FIXED 3                           | CUSIP: 3140H1WY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       321386 | PA      | $312357.77     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | 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        |      2445893 | PA      | $2492547.96    | 0.01%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-10787.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-251148.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-3                                                         | FANNIE MAE FNR 2017 3 FA                                    | CUSIP: 3136AU5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3839889 | PA      | $3795330.53    | 0.01%             | 2047-02-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $107165.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $77066.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1610 FR 01/34 FIXED 3.5                 | CUSIP: 3132ADYF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69565 | PA      | $68332.76      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2A            | CUSIP: 59023XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1375154 | PA      | $414709.48     | 0.00%             | 2037-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260520                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $26495.92      | 0.00%             |  |  |  | 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        |        29174 | PA      | $27843.37      | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A         | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       967136 | PA      | $967911.83     | 0.00%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A86344 FG 05/39 FIXED 4.5                 | CUSIP: 312933BM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7419 | PA      | $7337.28       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7891 FN 03/46 FIXED 4                           | CUSIP: 3140F3XV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116740 | PA      | $112315.45     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $181379.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2073                                                                 | FREDDIE MAC FHR 2073 Z                                      | CUSIP: 3133TERT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54030 | PA      | $54809.02      | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D98559 FG 02/31 FIXED 4.5                 | CUSIP: 3128E5QL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70518 | PA      | $70437.71      | 0.00%             | 2031-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 05/29 5.281                                    | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      4750000 | PA      | $4846090.51    | 0.01%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4               | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19819360 | PA      | $3543772.86    | 0.01%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1                | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       184526 | PA      | $118565.90     | 0.00%             | 2035-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 11/28 2.3              | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      4900000 | PA      | $4641695.52    | 0.01%             | 2028-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0742 FN 03/33 FIXED 3                           | CUSIP: 3140HDZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356756 | PA      | $346862.11     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERBIE RE LTD                                                                    | HERBIE RE LTD UNSECURED 144A 01/30 VAR                      | CUSIP: 42703VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       400000 | PA      | $400600.00     | 0.00%             | 2030-01-07      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-719935.44    | -0.00%            |  |  |  | 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        |         2283 | PA      | $2366.73       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CI1510 G2 11/46 FIXED 3                        | CUSIP: 3617X5VB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1053531 | PA      | $937798.24     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                            | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 AV1            | CUSIP: 59024KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       637962 | PA      | $274762.63     | 0.00%             | 2037-06-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2C                       | CUSIP: 00442CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4474985 | PA      | $1014927.45    | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A1 144A         | CUSIP: 21056DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       153446 | PA      | $153604.64     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA 144A 08/28 VAR                     | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     32000000 | PA      | $32071316.48   | 0.07%             | 2028-08-22      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-601245.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $116439.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR5                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 4A1           | CUSIP: 32051GXV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141762 | PA      | $120740.74     | 0.00%             | 2035-11-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080046 G2 02/27 FLOATING VAR                   | CUSIP: 36225CBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2618 | PA      | $2611.37       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                               | FANNIE MAE FNR 2008 10 PI                                   | CUSIP: 31396YLB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38972 | PA      | $4613.14       | 0.00%             | 2037-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-43005.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545191 FN 09/31 FIXED VAR                         | CUSIP: 31385HUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          367 | PA      | $374.32        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5504 FN 11/39 FIXED 5                           | CUSIP: 31417SDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11133 | PA      | $11237.44      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL POWER (US HOLDINGS) INC                                                  | CAPITAL POWER US HOLDING COMPANY GUAR 144A 06/28 5.257      | CUSIP: 14041TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6137262.40    | 0.01%             | 2028-06-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 486085 GN 07/30 FIXED 8.5                         | CUSIP: 36209Y6W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3014 | PA      | $3050.14       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 687712 FN 02/33 FIXED 6.5                         | CUSIP: 31400HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2581 | PA      | $2669.75       | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5583 FN 11/52 FIXED 5.5                         | CUSIP: 3140QRFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11263908 | PA      | $11362445.30   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 868936 FN 05/36 FIXED 6                           | CUSIP: 31409ELR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35062 | PA      | $36798.97      | 0.00%             | 2036-05-01      | 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        |          683 | PA      | $689.92        | 0.00%             | 2030-05-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 09/35 5.625              | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     28400000 | PA      | $27519600.00   | 0.06%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735961 FN 09/35 FLOATING VAR                      | CUSIP: 31402RTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9142 | PA      | $9278.93       | 0.00%             | 2035-09-01      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A           | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6510026 | PA      | $3349645.63    | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 794887 FN 10/34 FIXED 5.5                         | CUSIP: 31405PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17295 | PA      | $17786.68      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 07/26 0.00000                  | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1127900000 | PA      | $210875281.24  | 0.45%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BK5524 GN 05/49 FIXED 4                           | CUSIP: 3617J6D50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145734 | PA      | $137617.67     | 0.00%             | 2049-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $206288.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-26508.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A        | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33748723 | PA      | $28141737.06   | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2006-W1                                                     | FANNIEMAE WHOLE LOAN FNW 2006 W1 1A2                        | CUSIP: 31395B5H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7875 | PA      | $8104.97       | 0.00%             | 2045-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A           | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1280 | PA      | $1226.47       | 0.00%             | 2035-01-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1829 GN 08/49 FIXED 4                           | CUSIP: 3617L8A64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       196729 | PA      | $185619.65     | 0.00%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                       | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                   | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13000000 | PA      | $13008742.89   | 0.03%             | 2034-07-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-384185.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                             | LIFEPOINT HEALTH INC SR SECURED 144A 10/30 11               | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |      9200000 | PA      | $9905824.00    | 0.02%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002884 G2 02/30 FIXED 8                        | CUSIP: 36202DFZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1199 | PA      | $1240.24       | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781430 GN 09/31 FIXED 8                           | CUSIP: 36225BST6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1136 | PA      | $1190.86       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5669 FN 01/53 FIXED 5.5                         | CUSIP: 3140NAJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       645145 | PA      | $648881.19     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1            | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73676 | PA      | $34133.69      | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SECURITIZATION LLC                                           | VIRGINIA POWER FUEL SEC SR SECURED 05/33 4.877              | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |     19800000 | PA      | $20024868.60   | 0.04%             | 2033-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9215 FN 12/29 FIXED 3.5                         | CUSIP: 3138YBGZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156004 | PA      | $153987.56     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5            | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569909 | PA      | $527877.35     | 0.00%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                         | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  20860000000 | PA      | $109200696.89  | 0.23%             | 2044-12-20      | Fixed         | 2.00%                 | 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        |        42484 | PA      | $42421.32      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PART SR UNSECURED 03/27 3.9               | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      3090000 | PA      | $3072862.37    | 0.01%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995938 FN 01/39 FIXED VAR                         | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2026400 | PA      | $2126880.40    | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | 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        |         6367 | PA      | $6339.68       | 0.00%             | 2031-07-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5288 FN 05/29 FIXED 3.5                         | CUSIP: 3138XU2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8357 | PA      | $8255.57       | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ3305 GN 11/44 FIXED 3.5                         | CUSIP: 36182XU66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       286716 | PA      | $269554.23     | 0.00%             | 2044-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 883594 FN 04/36 FIXED 6                           | CUSIP: 31410AUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15110 | PA      | $15408.59      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                     | ACE SECURITIES CORP. ACE 2006 FM2 A2D                       | CUSIP: 00442CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5750355 | PA      | $1303612.48    | 0.00%             | 2036-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RBSGC MTGE PASS THRU CERT 2005-A                                                 | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 A 2A3             | CUSIP: 74927UAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4915512 | PA      | $4082543.95    | 0.01%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-106492.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 612197 FN 11/31 FLOATING VAR                      | CUSIP: 31388RDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20443 | PA      | $20635.53      | 0.00%             | 2031-11-01      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10120000 | PA      | $7731034.34    | 0.02%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080736 G2 09/33 FLOATING VAR                   | CUSIP: 36225CZA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25985 | PA      | $26350.81      | 0.00%             | 2033-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1381 FN 03/52 FIXED VAR                         | CUSIP: 3140XGRB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30269385 | PA      | $26639660.90   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 4 A                        | CUSIP: 81744FBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90216 | PA      | $85581.51      | 0.00%             | 2034-05-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780651 GN 10/27 FIXED 7                           | CUSIP: 36225AWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           36 | PA      | $36.61         | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-12                                                               | FANNIE MAE FNR 2009 12 LK                                   | CUSIP: 31397NKP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          346 | PA      | $390.41        | 0.00%             | 2039-03-25      | Variable      | 13.77%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7306 FN 09/53 FIXED 5.5                         | CUSIP: 3140NQDL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4839558 | PA      | $4879861.02    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783357 FN 03/37 FIXED 6                           | CUSIP: 31405AJA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1959 | PA      | $2018.48       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A C                               | CUSIP: ACI2P7XQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7434000 | PA      | $9896330.04    | 0.02%             | 2062-11-16      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                                 | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3                  | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2049912 | PA      | $2005875.59    | 0.00%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A D 144A          | CUSIP: 21056DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1762469 | PA      | $1825041.59    | 0.00%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR2                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR2 M1              | CUSIP: 65535VKK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1350170 | PA      | $1222746.21    | 0.00%             | 2035-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848562 FN 12/35 FIXED 6                           | CUSIP: 31408DWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1338 | PA      | $1388.21       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-515310.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A               | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6656000 | PA      | $8745863.22    | 0.02%             | 2049-12-21      | Floating      | 6.38%                 | 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        |         2600 | PA      | $2690.50       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 SA 144A        | CUSIP: 17326UAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29827 | PA      | $9773.29       | 0.00%             | 2058-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0091 FN 07/27 FIXED VAR                         | CUSIP: 3138EGC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          423 | PA      | $422.96        | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2243                                                                 | FREDDIE MAC FHR 2243 Z                                      | CUSIP: 3133TPJU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103467 | PA      | $107129.52     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3            | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27010105 | PA      | $26091046.04   | 0.06%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3275 G2 09/47 FIXED 3                        | CUSIP: 3618AHT80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2482681 | PA      | $2214823.44    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.3537 05/12/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-345868.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A10          | CUSIP: 12668BXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1991159 | PA      | $718347.11     | 0.00%             | 2036-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                                              | PROVINCE OF ALBERTA SR UNSECURED 144A 08/26 2.05            | CUSIP: 01306GAC7<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |      6000000 | PA      | $5960004.06    | 0.01%             | 2026-08-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| VALERIE ASSET LTD                                                                | VALERIE ASSET LTD 09/50 1                                   | CUSIP: 918940AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     26401000 | PA      | $23611716.40   | 0.05%             | 2050-09-15      | Fixed         | 5.27%                 | Yes           |                  3 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 04/28 VAR                       | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      4700000 | PA      | $4756899.75    | 0.01%             | 2028-04-13      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/27 VAR                                      | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     29050000 | PA      | $29375563.35   | 0.06%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                                 | PRINCIPAL LFE GLB FND II SR SECURED 144A 08/26 1.25         | CUSIP: 74256LEP0<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3956345.32    | 0.01%             | 2026-08-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2024 FN 05/53 FIXED 5.5                         | CUSIP: 3140NJHA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1213138 | PA      | $1224862.44    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2414 FN 02/35 FIXED VAR                         | CUSIP: 3140X5VG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17114 | PA      | $16746.14      | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER 04/26 ZCP                           | CUSIP: 40412DDG1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     19000000 | PA      | $18964308.50   | 0.04%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SCALELOGIX ABS US ISSUER 25-1A LLC                                               | SCALELOGIX ABS US ISSUER, LLC SCLGX 2025 1A A2 144A         | CUSIP: 80587FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19400000 | PA      | $19115813.28   | 0.04%             | 2055-07-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC4071 FR 07/51 FIXED 3                   | CUSIP: 3133ANQY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       750981 | PA      | $661797.85     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CMLTI 2026-RP1                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2026 RP1 PT 144A        | CUSIP: 17332WAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174370000 | PA      | $171039065.69  | 0.36%             | 2065-02-25      | Fixed         | 5.03%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 2A3             | CUSIP: 762009BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189955 | PA      | $150083.14     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2474775.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $34.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-271230.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $33801.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890502 FN 11/26 FIXED VAR                         | CUSIP: 31410LKP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          125 | PA      | $124.85        | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2585                                                                 | FREDDIE MAC FHR 2585 FD                                     | CUSIP: 31393MH61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1190 | PA      | $1188.95       | 0.00%             | 2032-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-3                                                                | FANNIE MAE FNR 2002 3 FE                                    | CUSIP: 31392BUS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31672 | PA      | $31709.25      | 0.00%             | 2030-06-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1                  | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6848 | PA      | $6564.18       | 0.00%             | 2044-07-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8127 FN 07/43 FIXED 3                           | CUSIP: 3138WWA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10935 | PA      | $10007.68      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 SA 144A          | CUSIP: 52474EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       163386 | PA      | $159106.03     | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                             | STONEPEAK SALTT 2021 1A AA 144A                             | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       164233 | PA      | $160828.06     | 0.00%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3154 FN 08/44 FIXED 4                           | CUSIP: 3138WCQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26317 | PA      | $25365.65      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9741 FN 12/40 FIXED 5                           | CUSIP: 31419LZF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8652 | PA      | $8727.86       | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0082 FN 10/39 FIXED VAR                         | CUSIP: 3138EGCU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135129 | PA      | $139091.74     | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A2                 | CUSIP: 31394PPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3178311 | PA      | $3305765.17    | 0.01%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5              | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       328451 | PA      | $326309.23     | 0.00%             | 2035-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290503                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $739610.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1820 FN 12/28 FIXED 3.5                         | CUSIP: 3138XDAW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7129 | PA      | $7062.72       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-1                                                          | MORTGAGEIT TRUST MHL 2005 1 1A2                             | CUSIP: 61913PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57099 | PA      | $57002.85      | 0.00%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                                 | CALIFORNIA ST HLTH FACS FING A CASMED 06/30 FIXED 2.704     | CUSIP: 13032UVH8<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |      5100000 | PA      | $4807818.45    | 0.01%             | 2030-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-6                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 6 A1                | CUSIP: 885220EP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84384 | PA      | $83130.90      | 0.00%             | 2033-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1218 GN 09/49 FIXED 4                           | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       365878 | PA      | $345827.15     | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8288 FR 01/53 FIXED 5                   | CUSIP: 3132DWF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50758 | PA      | $50335.85      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080145 G2 12/27 FLOATING VAR                   | CUSIP: 36225CET9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1185 | PA      | $1187.77       | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN23                                                                   | BANK BANK 2019 BN23 A3                                      | CUSIP: 06541RBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26900000 | PA      | $25372835.89   | 0.05%             | 2052-12-15      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002218 G2 05/26 FIXED 7.5                      | CUSIP: 36202CPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            4 | PA      | $3.91          | 0.00%             | 2026-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080342 G2 11/29 FLOATING VAR                   | CUSIP: 36225CLY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20760 | PA      | $20795.66      | 0.00%             | 2029-11-20      | Floating      | 5.12%                 | 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        |         5248 | PA      | $5357.29       | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2012-7                                              | RBSSP RESECURITIZATION TRUST RBSSP 2012 7 A1 144A           | CUSIP: 74931QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5155780 | PA      | $3547564.14    | 0.01%             | 2037-10-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 082793 G2 04/41 FLOATING VAR                   | CUSIP: 36225FC72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       505804 | PA      | $515362.27     | 0.00%             | 2041-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)                      | WESTINGHOUSE AIR BRAKE COMPANY GUAR 09/28 4.7               | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6118891.46    | 0.01%             | 2028-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260401                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $167031.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFORMATION SVCS                              | CUSIP: 31622GDH7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      5900000 | PA      | $5888859.03    | 0.01%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908259 FN 03/37 FIXED 6                           | CUSIP: 31411HB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47673 | PA      | $48967.30      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2116                                                                 | FREDDIE MAC FHR 2116 ZG                                     | CUSIP: 3133THTS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127839 | PA      | $130324.72     | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3674 FN 10/26 FIXED 3.5                         | CUSIP: 31417ACL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3604 | PA      | $3589.41       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003083 G2 05/31 FIXED 8                        | CUSIP: 36202DM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          539 | PA      | $549.74        | 0.00%             | 2031-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2C            | CUSIP: 84751NAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345209 | PA      | $187683.22     | 0.00%             | 2037-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| GMAC MTGE CORPORATION LN TRUST 2007-HE3                                          | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE3 2A1           | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4413 | PA      | $4368.72       | 0.00%             | 2037-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-4                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 4 5A                | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2654319 | PA      | $1026828.00    | 0.00%             | 2045-11-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                    | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12427 | PA      | $12154.85      | 0.00%             | 2034-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 789595 FH 07/32 FLOATING VAR              | CUSIP: 31295NUU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           79 | PA      | $80.10         | 0.00%             | 2032-07-01      | Floating      | 6.10%                 | 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        |       218157 | PA      | $45279.19      | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1            | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19571 | PA      | $14713.26      | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8240 FN 04/43 FIXED 3                           | CUSIP: 3138W6EN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2547606 | PA      | $2333486.19    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                            | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1           | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       356176 | PA      | $337039.86     | 0.00%             | 2037-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735718 FN 07/35 FIXED VAR                         | CUSIP: 31402RK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          623 | PA      | $652.37        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY REGS 09/27 VAR                      | CUSIP: ACI2YB9M2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      2300000 | PA      | $3037811.53    | 0.01%             | 2027-09-03      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $25311.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/30 VAR                  | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     39700000 | PA      | $40261080.50   | 0.09%             | 2030-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 21A             | CUSIP: 07384MM82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          320 | PA      | $301.32        | 0.00%             | 2034-05-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KD92<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     12500000 | PA      | $12487016.25   | 0.03%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C37                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 C37 ASB            | CUSIP: 95000PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561259 | PA      | $559968.13     | 0.00%             | 2049-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3              | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       409257 | PA      | $413110.37     | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A2                  | CUSIP: 46629CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380795 | PA      | $293462.24     | 0.00%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4244 FN 11/45 FIXED 4                           | CUSIP: 3140E8WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1998 | PA      | $1924.78       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-187640.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-3461.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                | PIEDMONT OPERATING PARTN COMPANY GUAR 08/30 3.15            | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     19300000 | PA      | $17366076.50   | 0.04%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C00921 FG 02/30 FIXED 7.5                 | CUSIP: 31292HAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          290 | PA      | $299.05        | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                    | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2801 | PA      | $2796.87       | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875            | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23681343 | PA      | $24092749.05   | 0.05%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-162833.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 1A1             | CUSIP: 59020UE35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       706389 | PA      | $690817.42     | 0.00%             | 2035-09-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10526431 | PA      | $-10531548.41  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A      | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11823821 | PA      | $10631298.35   | 0.02%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-7009.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0298 FN 03/46 FIXED 4                           | CUSIP: 3140EUKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29626 | PA      | $28469.39      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0835 FN 04/46 FIXED 4                           | CUSIP: 3140EU4V8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1671535 | PA      | $1606973.49    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8290 FN 08/53 FIXED 5.5                         | CUSIP: 3140NRF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1929198 | PA      | $1951439.66    | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-90853.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD7047 FN 05/40 FIXED 5                           | CUSIP: 31418UZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6905 | PA      | $6929.22       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544260 FN 08/30 FIXED 8.5                         | CUSIP: 31385GTR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3871 | PA      | $3911.48       | 0.00%             | 2030-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 PT 144A         | CUSIP: 12653JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86907257 | PA      | $70439783.42   | 0.15%             | 2058-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260707                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-9382.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL              | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1901872 | PA      | $1901239.57    | 0.00%             | 2065-06-20      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942351 FN 07/37 FIXED 6                           | CUSIP: 31413DL88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       187399 | PA      | $194775.24     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                  | CUSIP: 21H030658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    392000000 | PA      | $349712905.92  | 0.74%             | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                        | BANCO BILBAO VIZCAYA ARG SR UNSECURED 03/29 5.381           | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     10600000 | PA      | $10886984.19   | 0.02%             | 2029-03-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.30000 09/25/24-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $421729.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 531197 GN 06/30 FIXED 8.5                         | CUSIP: 36212EDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          114 | PA      | $115.17        | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B               | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4825676 | PA      | $3428137.15    | 0.01%             | 2037-03-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937645 FN 06/37 FIXED 6                           | CUSIP: 31412XES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3699 | PA      | $3871.22       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6402 FR 03/39 FIXED 3.5                 | CUSIP: 31329QDF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       582532 | PA      | $557292.65     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY COVERED 144A 11/26 5.264            | CUSIP: 638602BS0<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      5500000 | PA      | $5540588.35    | 0.01%             | 2026-11-10      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-27                                                        | FANNIE MAE FNR 2017 27 FA                                   | CUSIP: 3136AVM48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3501611 | PA      | $3450210.05    | 0.01%             | 2047-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8316 FR 04/53 FIXED 5.5                 | CUSIP: 3132DWGZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24217816 | PA      | $24432151.53   | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3352 FN 05/33 FIXED VAR                         | CUSIP: 3140X6WN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       513215 | PA      | $506371.90     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 04/28 4.95                      | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     25572000 | PA      | $25542797.80   | 0.05%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A2                  | CUSIP: 466247E74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4076 | PA      | $2784.05       | 0.00%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890566 FN 12/43 FIXED VAR                         | CUSIP: 31410LMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154942 | PA      | $141757.24     | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                                                      | AKER BP ASA SR UNSECURED 144A 01/31 4                       | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |      1100000 | PA      | $1055713.91    | 0.00%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357140 FN 07/31 FIXED 6                           | CUSIP: 31376JV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          231 | PA      | $232.51        | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2501 FR 04/38 FIXED 3                   | CUSIP: 31329KX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20118 | PA      | $19035.62      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7937 G2 03/52 FIXED 3                        | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54869858 | PA      | $49054948.25   | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 3.125                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140275000 | PA      | $110011764.30  | 0.23%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 881960 FN 02/36 FLOATING VAR                      | CUSIP: 31409XZZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25021 | PA      | $25825.24      | 0.00%             | 2036-02-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6286 G2 11/49 FIXED 4.5                      | CUSIP: 36179U6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3614 | PA      | $3567.77       | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125      | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     37900000 | PA      | $38311812.68   | 0.08%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2405 FN 09/45 FIXED 4                           | CUSIP: 31418BU79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1361517 | PA      | $1310897.04    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                      | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80546678 | PA      | $74514860.50   | 0.16%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3556                                                                 | FREDDIE MAC FHR 3556 FA                                     | CUSIP: 31398EK29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83890 | PA      | $84641.65      | 0.00%             | 2037-07-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL MOTORS COMPANY SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $252096.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A1 144A         | CUSIP: 21055PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       672697 | PA      | $673392.61     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 11/27 VAR                                | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     15800000 | PA      | $15999250.48   | 0.03%             | 2027-11-07      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970866 FN 12/38 FIXED 5.5                         | CUSIP: 31414NCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13999 | PA      | $14307.28      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-35                                                        | FANNIE MAE FNR 2012 35 QF                                   | CUSIP: 3136A5MN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58630 | PA      | $58222.36      | 0.00%             | 2042-04-25      | Floating      | 4.18%                 | 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        |        27827 | PA      | $25907.41      | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2550000 | PA      | $2495606.38    | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2D            | CUSIP: 59021AAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2015539 | PA      | $921014.45     | 0.00%             | 2037-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4071 FN 06/53 FIXED 5                           | CUSIP: 3140NLQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2080301 | PA      | $2073153.83    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 ASB           | CUSIP: 46645UAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       570223 | PA      | $568531.57     | 0.00%             | 2049-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725187 FN 07/33 FLOATING VAR                      | CUSIP: 31402CUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          334 | PA      | $339.87        | 0.00%             | 2033-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4375 FR 08/27 FIXED 3                   | CUSIP: 3131X72G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12445 | PA      | $12346.07      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     18400000 | PA      | $18527701.15   | 0.04%             | 2028-07-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SRT ISSUER I LLC 2025-1                                                          | SRT ISSUER SRTI 2025 1 A2B 144A                             | CUSIP: 78475KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30762000 | PA      | $30827260.97   | 0.07%             | 2031-10-01      | Floating      | 7.11%                 | No            |                  3 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A C 144A          | CUSIP: 210928AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8073500 | PA      | $8334449.31    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A3A             | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       820377 | PA      | $735478.55     | 0.00%             | 2046-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5760 FN 09/45 FIXED 4                           | CUSIP: 3138WFMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3004238 | PA      | $2889444.17    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3075 FN 07/32 FIXED VAR                         | CUSIP: 3140J7MZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83811 | PA      | $82590.29      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                         | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858     | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      6770000 | PA      | $5531737.21    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A          | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $1864450.50    | 0.00%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897161 FN 10/36 FIXED 6                           | CUSIP: 31410TWW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8052 | PA      | $8289.07       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1688299.42    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831349 FN 02/36 FIXED 6                           | CUSIP: 31407HTE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       333558 | PA      | $349099.06     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | 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        |        32119 | PA      | $33522.74      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884977 FN 06/36 FIXED 6                           | CUSIP: 31410CFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          244 | PA      | $250.74        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1B2          | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        86229 | PA      | $79798.34      | 0.00%             | 2045-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2006-AM1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 AM1 A5             | CUSIP: 86359XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4068832 | PA      | $4009705.49    | 0.01%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2             | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2656 | PA      | $2609.27       | 0.00%             | 2033-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 865174 FN 02/36 FIXED 6                           | CUSIP: 31409AFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12695 | PA      | $13287.37      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -26227654 | PA      | $-25869935.55  | -0.06%            | 2056-04-13      | Fixed         | 5.00%                 | 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        |        15488 | PA      | $14561.92      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 591475 FN 08/31 FIXED 8.5                         | CUSIP: 31387RCL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12584 | PA      | $12693.97      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880500 FN 07/36 FIXED 6                           | CUSIP: 31409WGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8377 | PA      | $8668.73       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | WELLTOWER OP LLC COMPANY GUAR 04/26 4.25                    | CUSIP: 95040QAC8<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |       800000 | PA      | $800000.00     | 0.00%             | 2026-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8429 FN 04/53 FIXED 5.5                         | CUSIP: 3140NDLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2874005 | PA      | $2898783.19    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 08/26 VAR                | CUSIP: 04685A4B4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |      5900000 | PA      | $5910873.17    | 0.01%             | 2026-08-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                         | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                      | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       317158 | PA      | $286172.73     | 0.00%             | 2036-07-26      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3156                                                                 | FREDDIE MAC FHR 3156 AZ                                     | CUSIP: 31396R6F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137402 | PA      | $140955.87     | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                                   | FREMONT HOME LOAN TRUST FHLT 2006 A 2A4                     | CUSIP: 35729RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9383196 | PA      | $6180345.37    | 0.01%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6242 FR 06/53 FIXED 5                   | CUSIP: 3133C65B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34560 | PA      | $34208.57      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $340319.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS7326 FN 11/38 FIXED VAR                         | CUSIP: 3140XPD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405348 | PA      | $387503.57     | 0.00%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005269 G2 12/41 FIXED 6                        | CUSIP: 36202F2A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30184 | PA      | $31732.97      | 0.00%             | 2041-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT JUN26 XSFE 20260615                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         5437 | NC      | $-2167608.52   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2007-72                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 72 YF               | CUSIP: 38375LV80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90674 | PA      | $89952.06      | 0.00%             | 2037-11-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR                | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     22400000 | PA      | $22754164.16   | 0.05%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-116                                                              | FANNIE MAE FNR 2007 116 PB                                  | CUSIP: 31396X7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13196 | PA      | $13525.03      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0129 FN 04/43 FIXED 3                           | CUSIP: 3138WMEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242671 | PA      | $222123.12     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH INC                                                     | BETH ISRAEL LAHEY HEALTH SECURED 07/28 2.22                 | CUSIP: 08661UAA4<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |      2900000 | PA      | $2763760.90    | 0.01%             | 2028-07-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 2A2                              | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68579 | PA      | $79017.72      | 0.00%             | 2034-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-15                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1               | CUSIP: 126670MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       244675 | PA      | $243796.49     | 0.00%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004049 G2 11/37 FIXED 6                        | CUSIP: 36202EQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1473 | PA      | $1549.02       | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3           | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18775 | PA      | $14314.48      | 0.00%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 847892 FN 12/35 FIXED 6                           | CUSIP: 31408C7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          131 | PA      | $135.45        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6349 FN 03/27 FIXED 3.5                         | CUSIP: 3138EBBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31996 | PA      | $31805.51      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357746 FN 04/35 FIXED 6                           | CUSIP: 31376KL38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          390 | PA      | $409.50        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897135 FN 09/36 FIXED 6                           | CUSIP: 31410TV44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20547 | PA      | $21157.37      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-150248.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6873 FN 06/48 FIXED 3.5                         | CUSIP: 3140HLT71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12889 | PA      | $12010.48      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FC                                     | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       294214 | PA      | $294928.45     | 0.00%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781478 GN 03/32 FIXED 7.5                         | CUSIP: 36225BUB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          147 | PA      | $153.86        | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889117 FN 10/35 FIXED VAR                         | CUSIP: 31410GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3787 | PA      | $3817.71       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                   | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                     | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | 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        |         1154 | PA      | $1177.70       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260423                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-7049.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-689381.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0214 FN 02/46 FIXED 4                           | CUSIP: 3140EUGY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       679540 | PA      | $652731.75     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-245333.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895005 FN 10/36 FIXED 6                           | CUSIP: 31410RKS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43611 | PA      | $44475.66      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3122 FN 03/52 FIXED 3                           | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6327417 | PA      | $5574232.67    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8135 FN 07/43 FIXED 3                           | CUSIP: 3138WWBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       363799 | PA      | $333051.51     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H 2A1             | CUSIP: 05948XTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131353 | PA      | $126950.14     | 0.00%             | 2033-09-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 1A1           | CUSIP: 93363PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9329 | PA      | $8496.02       | 0.00%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                              | ANTARES HOLDINGS SR UNSECURED 144A 07/26 3.95               | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |      6200000 | PA      | $6179329.51    | 0.01%             | 2026-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3975                                                          | FREDDIE MAC FHR 3975 CS                                     | CUSIP: 3137AK4J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4103323 | PA      | $426183.05     | 0.00%             | 2041-12-15      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $7157.41       | 0.00%             |  |  |  | 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        |        10075 | PA      | $10079.55      | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781163 GN 04/30 FIXED 8.5                         | CUSIP: 36225BJG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4116 | PA      | $4229.18       | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT3145 FN 07/51 FIXED 3                           | CUSIP: 3140LRP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1042298 | PA      | $918470.21     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS D 144A                               | CUSIP: 990ABJSD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      5500000 | PA      | $3794726.02    | 0.01%             | 2057-12-30      | Floating      | 6.56%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $222844.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1             | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6428844 | PA      | $4639613.48    | 0.01%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 06/26 4.875                 | CUSIP: 756109BF0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      6600000 | PA      | $6601191.89    | 0.01%             | 2026-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG              | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1218069 | PA      | $1217603.17    | 0.00%             | 2067-02-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/50 1.625                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     83160000 | PA      | $43405621.46   | 0.09%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906078 FN 01/37 FIXED 6                           | CUSIP: 31411EUB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          289 | PA      | $301.64        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $24234560.09   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9271 05/08/25-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2929752.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-33                                                               | FANNIE MAE FNR 2007 33 HF                                   | CUSIP: 31396VGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69693 | PA      | $69062.32      | 0.00%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903182 FN 10/36 FIXED 6                           | CUSIP: 31411BM75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1869 | PA      | $1905.82       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 29T1 2A2          | CUSIP: 02147PAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1559468 | PA      | $613380.09     | 0.00%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0330 FN 08/43 FIXED 3                           | CUSIP: 3138W9LL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       411163 | PA      | $376864.59     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 06/28 VAR                  | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     56450000 | PA      | $55038423.72   | 0.12%             | 2028-06-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV42 5Y 35-100% SP JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $1698205.10    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3621 FN 03/39 FIXED 3.5                         | CUSIP: 31418DAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       192323 | PA      | $184707.07     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1           | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       274720 | PA      | $273332.55     | 0.00%             | 2035-10-25      | Floating      | 4.41%                 | 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        |          298 | PA      | $303.82        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR          | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      1500000 | PA      | $1506089.87    | 0.00%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7091* 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1168382.34    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896006 FN 07/36 FIXED 6                           | CUSIP: 31410SNX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6600 | PA      | $6805.48       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3             | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       159543 | PA      | $149107.02     | 0.00%             | 2033-10-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2030 FN 02/46 FIXED 4                           | CUSIP: 3140E6HG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       580757 | PA      | $557059.88     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $255625.00     | 0.00%             | 2027-06-06      | Floating      | 13.26%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 678879 FN 01/33 FIXED 6                           | CUSIP: 31391WFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          753 | PA      | $767.54        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W10                                                    | FANNIEMAE WHOLE LOAN FNW 2004 W10 A6                        | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200588 | PA      | $205781.93     | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                                                 | FREDDIE MAC FHR 2080 Z                                      | CUSIP: 3133TG3U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38202 | PA      | $38619.52      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG              | CUSIP: 38376R4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5081164 | PA      | $5150533.71    | 0.01%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                     | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3254862 | PA      | $3766811.82    | 0.01%             | 2031-04-15      | Floating      | 2.67%                 | 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        |        60517 | PA      | $56433.59      | 0.00%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797649 FN 09/35 FIXED 6                           | CUSIP: 31405SEW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          642 | PA      | $670.05        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1                   | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416815 | PA      | $397307.00     | 0.00%             | 2034-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2755 FN 09/46 FIXED 4                           | CUSIP: 31418CBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34004 | PA      | $32655.72      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $2212211.85    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $45709.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062648<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -949000 | PA      | $-981892.37    | -0.00%            | 2056-04-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5             | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4667209 | PA      | $2769126.69    | 0.01%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97898 FG 11/27 FIXED 6                   | CUSIP: 3128E4X31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          257 | PA      | $262.72        | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-1A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 1A A 144A         | CUSIP: 05377RGC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20700000 | PA      | $20998216.62   | 0.04%             | 2029-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                                     | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A2 144A        | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2242812 | PA      | $1488768.45    | 0.00%             | 2037-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0701 FN 11/45 FIXED 4                           | CUSIP: 3138YRX78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4460 | PA      | $4280.02       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9410 FN 12/26 FIXED VAR                         | CUSIP: 3138ERN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1008 | PA      | $1004.77       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5548 FN 05/38 FLOATING VAR                      | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1824951 | PA      | $1897710.22    | 0.00%             | 2038-05-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2D                              | CUSIP: 362463AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3147840 | PA      | $1718299.59    | 0.00%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260506                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-24418.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917595 FN 04/37 FIXED 6                           | CUSIP: 31411XNL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21233 | PA      | $22168.90      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0329 FN 02/30 FIXED 4                           | CUSIP: 31417YLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7254 | PA      | $7230.11       | 0.00%             | 2030-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QATAR GOVT                                                                       | STATE OF QATAR SR UNSECURED 144A 04/50 4.4                  | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     46200000 | PA      | $38348245.32   | 0.08%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                                       | DOC DR LLC COMPANY GUAR 01/28 3.95                          | CUSIP: 71951QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3900000 | PA      | $3859881.17    | 0.01%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $57258065.79   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 399907 FN 08/27 FLOATING VAR                      | CUSIP: 31378JGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5541 | PA      | $5549.71       | 0.00%             | 2027-08-01      | Floating      | 6.28%                 | 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        |         3551 | PA      | $3614.18       | 0.00%             | 2035-03-01      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CMLTI 2026-RP1                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2026 RP1 SA 144A        | CUSIP: 17332WAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       429000 | PA      | $429000.00     | 0.00%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                              | GSAMP TRUST GSAMP 2004 WF M2                                | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119545 | PA      | $122255.28     | 0.00%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A6            | CUSIP: 86789MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528728 | PA      | $482023.52     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                             | RAAC SERIES RAAC 2005 SP2 2A                                | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       627936 | PA      | $584285.25     | 0.00%             | 2044-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK PLC                                                                  | LLOYDS BANK PLC SR UNSECURED REGS 04/32 VAR                 | CUSIP: ACI14DZD4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |     41200000 | PA      | $30952427.00   | 0.07%             | 2032-04-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-16                                                        | FANNIE MAE FNR 2017 16 CF                                   | CUSIP: 3136AVA74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6054192 | PA      | $5958136.02    | 0.01%             | 2047-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NGN BOUGHT USD 20261118                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $-45150.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A6             | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5897536 | PA      | $4946434.14    | 0.01%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003110 G2 07/31 FIXED 8                        | CUSIP: 36202DN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          803 | PA      | $822.57        | 0.00%             | 2031-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                    | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     18300000 | PA      | $18379900.18   | 0.04%             | 2028-03-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C27091 FG 06/29 FIXED 6.5                 | CUSIP: 31293Q2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          162 | PA      | $167.31        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                                     | LEHMAN MORTGAGE TRUST LMT 2007 5 1A1                        | CUSIP: 52521RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       157654 | PA      | $141202.79     | 0.00%             | 2037-06-25      | Floating      | 4.44%                 | 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        |     17068886 | PA      | $9934272.68    | 0.02%             | 2037-01-25      | Floating      | 4.07%                 | 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        |       256113 | PA      | $247585.42     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826818 FN 08/35 FIXED 6                           | CUSIP: 31407CSF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          806 | PA      | $830.64        | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3619 FR 10/26 FIXED 3                   | CUSIP: 3131X7AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85441 | PA      | $85053.18      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-3                                                                | FANNIE MAE FNR 2007 3 SH                                    | CUSIP: 31396PRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5454 | PA      | $343.05        | 0.00%             | 2037-02-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2D                | CUSIP: 617538AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6968932 | PA      | $3503030.03    | 0.01%             | 2036-12-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H18 FD              | CUSIP: 38380LMX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       275409 | PA      | $274943.76     | 0.00%             | 2068-11-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901087 FN 08/36 FIXED 6.5                         | CUSIP: 31410YCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161166 | PA      | $170472.45     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC                                                   | CUSIP: 46652MED3<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     35000000 | PA      | $34807860.50   | 0.07%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 936526 FN 07/37 FIXED 6                           | CUSIP: 31412V4K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23546 | PA      | $24715.34      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 1A4             | CUSIP: 863579J90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       712536 | PA      | $472983.49     | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3305                                                                 | FREDDIE MAC FHR 3305 FJ                                     | CUSIP: 31397GT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110167 | PA      | $108760.24     | 0.00%             | 2037-04-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                             | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR               | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2600000 | PA      | $2752490.00    | 0.01%             | 2031-05-27      | Floating      | 21.46%                | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A           | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1342116 | PA      | $1283364.04    | 0.00%             | 2046-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080329 G2 10/29 FLOATING VAR                   | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42776 | PA      | $42717.53      | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12M3           | CUSIP: 161630CA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1227580 | PA      | $1198383.39    | 0.00%             | 2037-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMIC 2102                                                           | FREDDIE MAC FHR 2102 Z                                      | CUSIP: 3133THHD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100222 | PA      | $101723.50     | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91284 FG 01/30 FIXED 4.5                 | CUSIP: 3128P7M91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11220 | PA      | $11279.01      | 0.00%             | 2030-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 FB                                     | CUSIP: 31397KE23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       977269 | PA      | $977870.42     | 0.00%             | 2037-08-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 11/32 2.5                     | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     10600000 | PA      | $8636462.25    | 0.02%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.657 03/13/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-21140.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2010 FN 11/45 FIXED 4                           | CUSIP: 3140E6GU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231925 | PA      | $222231.30     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3660 FN 05/39 FIXED 3.5                         | CUSIP: 31418DB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       164987 | PA      | $158249.81     | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | 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        |         9135 | PA      | $9130.38       | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2D                   | CUSIP: 66988RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15132705 | PA      | $4968703.98    | 0.01%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 749785 GN 11/41 FIXED 3.5                         | CUSIP: 3620C56W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25272 | PA      | $23682.75      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C47272 FG 10/29 FIXED 6.5                 | CUSIP: 31298GCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3340 | PA      | $3457.56       | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-23987.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S3 1A1            | CUSIP: 16162XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1054389 | PA      | $426768.01     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-110412.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A              | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181169 | PA      | $169816.87     | 0.00%             | 2034-06-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4680 FN 03/46 FIXED 4                           | CUSIP: 3138YJFW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171941 | PA      | $165264.23     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-17074.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0598 FN 01/46 FIXED 4                           | CUSIP: 3140EUUY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100545 | PA      | $96516.00      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260826                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $656009.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 973771 FN 03/38 FIXED 5.5                         | CUSIP: 31414RJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6241 | PA      | $6365.78       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3461 FR 08/26 FIXED 3                   | CUSIP: 3131X6Z29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          321 | PA      | $319.37        | 0.00%             | 2026-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7567 FN 07/29 FIXED VAR                         | CUSIP: 3138EQMR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22572 | PA      | $22342.80      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254198 FN 02/32 FIXED 6                           | CUSIP: 31371KKK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          456 | PA      | $467.69        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2838 FN 09/46 FIXED 4                           | CUSIP: 3140EXEL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171986 | PA      | $165236.77     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR              | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       177015 | PA      | $181398.12     | 0.00%             | 2034-01-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHG-62-B                                                                         | FHLMC GNMA FHG 62 Z                                         | CUSIP: 3133TA5W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34342 | PA      | $34670.23      | 0.00%             | 2027-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3965 FN 03/40 FIXED 2.5                         | CUSIP: 31418DMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4147000 | PA      | $3783773.73    | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0603 FN 05/40 FIXED VAR                         | CUSIP: 31419AU54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61007 | PA      | $63661.12      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-2                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 2 1A              | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1392165 | PA      | $1228314.38    | 0.00%             | 2046-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO 2018-2 DAC 18-2A                                               | BAIN CAPITAL EURO CLO BCCE 2018 2A AR 144A                  | CUSIP: ACI1WTQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1307257 | PA      | $1512500.22    | 0.00%             | 2032-01-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 10/37 6.125                       | CUSIP: ACI30VG03<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     18500000 | PA      | $20754989.81   | 0.04%             | 2037-10-07      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30381 FG 12/27 FIXED 6                   | CUSIP: 3128CUM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4715 | PA      | $4812.10       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965929 FN 12/37 FIXED 6                           | CUSIP: 31414GSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25323 | PA      | $26085.49      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                               | FANNIE MAE FNR 2003 34 A1                                   | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2898 | PA      | $2927.79       | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-106292.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TRUST                                                        | FELLS POINT FUNDING TR SR UNSECURED 144A 01/27 3.046        | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8500000 | PA      | $8405988.13    | 0.02%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A71059 FG 01/38 FIXED 7                   | CUSIP: 3128L4E83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1005 | PA      | $1057.03       | 0.00%             | 2038-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1                  | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1422 | PA      | $1444.81       | 0.00%             | 2029-09-25      | Floating      | 4.45%                 | 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        |         1698 | PA      | $1777.33       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B3 144A          | CUSIP: 52474AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15576827 | PA      | $11361541.35   | 0.02%             | 2058-02-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994013 FN 10/39 FIXED 4                           | CUSIP: 31416AGW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75266 | PA      | $72797.25      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                                  | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A       | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3953618 | PA      | $4574350.25    | 0.01%             | 2031-01-15      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7015 FN 09/53 FIXED 5.5                         | CUSIP: 3140QSYM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31055370 | PA      | $31330220.66   | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-727.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5876 FN 06/53 FIXED 5.5                         | CUSIP: 3140NNQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3000514 | PA      | $3028749.15    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1800 FN 02/44 FIXED 4                           | CUSIP: 31418BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40885 | PA      | $39587.82      | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6622 FN 06/53 FIXED 5                           | CUSIP: 3140QSLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71951705 | PA      | $71316961.93   | 0.15%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-1                                                                | FANNIE MAE FNR 2008 1 NI                                    | CUSIP: 31396YEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121583 | PA      | $8491.87       | 0.00%             | 2037-06-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR3087 G2 09/46 FIXED 3                        | CUSIP: 3618AHNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       550052 | PA      | $490707.87     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-272830.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2015-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2015 1 AA PTT PASS THRU CE 06/29 3.45            | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3415806 | PA      | $3350654.32    | 0.01%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A3             | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6719219 | PA      | $3310009.63    | 0.01%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800158 FN 11/34 FLOATING VAR                      | CUSIP: 31405U5T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1967 | PA      | $2015.10       | 0.00%             | 2034-11-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4            | CUSIP: 46645UAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8606000 | PA      | $8539713.15    | 0.02%             | 2049-12-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/32 VAR              | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      8000000 | PA      | $7880416.80    | 0.02%             | 2032-01-21      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU2032 FN 07/43 FIXED 3                           | CUSIP: 3138X1HJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       465957 | PA      | $426161.23     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | 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        |        38360 | PA      | $39123.90      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4429                                                          | FREDDIE MAC FHR 4429 AI                                     | CUSIP: 3137BGA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5187048 | PA      | $488136.49     | 0.00%             | 2038-11-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3201                                                                 | FREDDIE MAC FHR 3201 SG                                     | CUSIP: 31397APC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42411 | PA      | $4482.39       | 0.00%             | 2036-08-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-4543.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-E                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 E A3              | CUSIP: 73316TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1716838 | PA      | $1675668.99    | 0.00%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C76699 FG 02/33 FIXED 6.5                 | CUSIP: 31288FNQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4987 | PA      | $5163.22       | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                                                              | HIGHWOODS REALTY LP SR UNSECURED 04/29 4.2                  | CUSIP: 431282AR3<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3501677.99    | 0.01%             | 2029-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A84999 FG 03/39 FIXED 4.5                 | CUSIP: 312931RU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144451 | PA      | $143214.73     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THAYER PARK CLO LTD 2017-1A                                                      | THAYER PARK CLO, LTD. THAYR 2017 1A A1RR 144A               | CUSIP: 883310AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10950000 | PA      | $10945561.53   | 0.02%             | 2034-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0087 05/12/25-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-133379.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      7660000 | PA      | $7699272.13    | 0.02%             | 2028-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01                | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A10                | CUSIP: 3137FMCZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2600000 | PA      | $2501505.50    | 0.01%             | 2029-04-25      | Fixed         | 2.94%                 | 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        |       818130 | PA      | $635088.76     | 0.00%             | 2046-12-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 1A1                  | CUSIP: 466247E33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23075 | PA      | $14738.98      | 0.00%             | 2036-02-25      | Floating      | 6.05%                 | 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        |         8739 | PA      | $9066.05       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 250653 FN 08/26 FIXED 8.5                         | CUSIP: 31371FMA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            5 | PA      | $5.19          | 0.00%             | 2026-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3408 FN 07/28 FIXED 3.5                         | CUSIP: 31418CYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1261 | PA      | $1251.30       | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254694 FN 04/33 FIXED 6                           | CUSIP: 31371K3B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          161 | PA      | $166.09        | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8452 FR 08/54 FIXED 5                   | CUSIP: 3132DWL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61982 | PA      | $61217.10      | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/29 5.3         | CUSIP: 44891ACU9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      6500000 | PA      | $6590440.42    | 0.01%             | 2029-01-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -99000000 | PA      | $-100801322.82 | -0.21%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                                | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                  | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1347450.00    | 0.00%             | 2032-04-08      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B                  | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       526118 | PA      | $496599.14     | 0.00%             | 2036-05-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $499052.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $39450.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 4A1M                 | CUSIP: 46630PAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125607 | PA      | $103686.53     | 0.00%             | 2037-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 1A1             | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10088456 | PA      | $9067958.41    | 0.02%             | 2046-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-109                                                       | FANNIE MAE FNR 2010 109 Q                                   | CUSIP: 31398NSK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2216115 | PA      | $2187857.72    | 0.00%             | 2040-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5213 FN 04/44 FIXED VAR                         | CUSIP: 3138EMYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3898 | PA      | $3848.11       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | 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        |       149095 | PA      | $133978.23     | 0.00%             | 2036-09-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP SR UNSECURED 09/30 2.25                    | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      7000000 | PA      | $6310160.92    | 0.01%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | EQUINIX INC SR UNSECURED 03/28 1.55                         | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     38144000 | PA      | $36124258.80   | 0.08%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2004-FL1                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2004 FL1 1A1           | CUSIP: 32051GDV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4040 | PA      | $3790.41       | 0.00%             | 2035-02-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 913121 FN 03/37 FIXED 6                           | CUSIP: 31411RPE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64137 | PA      | $66111.13      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 01/29 VAR               | CUSIP: 61690DK64<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     16000000 | PA      | $16047211.36   | 0.03%             | 2029-01-12      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J5                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J5 1A1            | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       604706 | PA      | $293480.20     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3890 FN 01/40 FIXED 3                           | CUSIP: 31418DKC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8417081 | PA      | $7862066.09    | 0.02%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260626                                  | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  12983235000 | PA      | $8954137.95    | 0.02%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |            1 | NC      | $50312.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530499 GN 09/30 FIXED 7.5                         | CUSIP: 36212DKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1195 | PA      | $1201.06       | 0.00%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917021 FN 04/37 FIXED 6                           | CUSIP: 31411WYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14402 | PA      | $14940.10      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4118 FR 05/27 FIXED 3.5                 | CUSIP: 3131X7SF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2355 | PA      | $2337.82       | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A F                               | CUSIP: ACI2P7X77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2470000 | PA      | $3296032.68    | 0.01%             | 2062-11-16      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830989 FN 08/35 FIXED 6                           | CUSIP: 31407HF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          644 | PA      | $673.40        | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4791 FR 06/53 FIXED 5                   | CUSIP: 3133C5KC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23185 | PA      | $23012.58      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844253 FN 11/35 FIXED 6                           | CUSIP: 31407X5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44566 | PA      | $45445.47      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 2A1             | CUSIP: 61748HLA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1247663 | PA      | $279389.21     | 0.00%             | 2035-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CK0445 GN 02/52 FIXED 4                           | CUSIP: 3617XUP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3027488 | PA      | $2853785.10    | 0.01%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-35                                                               | FANNIE MAE FNR 2001 35 ZC                                   | CUSIP: 313920RZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161341 | PA      | $163541.37     | 0.00%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91196 FG 05/28 FIXED 4.5                 | CUSIP: 3128P7KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4557 | PA      | $4555.15       | 0.00%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-134                                                       | FANNIE MAE FNR 2012 134 FD                                  | CUSIP: 3136AARY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81662 | PA      | $80235.36      | 0.00%             | 2042-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A1            | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       519433 | PA      | $184982.51     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3C             | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6932213 | PA      | $6704648.96    | 0.01%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1            | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1032789 | PA      | $848025.77     | 0.00%             | 2037-06-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870747 FN 07/36 FIXED 6                           | CUSIP: 31409GL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10473 | PA      | $10837.54      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357957 FN 09/35 FIXED 5.5                         | CUSIP: 31376KTN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75059 | PA      | $77496.04      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $158991.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS CAPITAL REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    466534000 | PA      | $466534000.00  | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 54CB 2A4          | CUSIP: 12668APH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       517211 | PA      | $262793.97     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                              | CONSTELLATION ENERGY                                        | CUSIP: 21038QDQ4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      2898000 | PA      | $2889414.10    | 0.01%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5500 FN 04/48 FIXED 4                           | CUSIP: 3140H7DE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       339459 | PA      | $325002.23     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002660 G2 10/28 FIXED 7.5                      | CUSIP: 36202C5V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          139 | PA      | $140.46        | 0.00%             | 2028-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6788 FN 03/27 FIXED 3.5                         | CUSIP: 3138EBRJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          960 | PA      | $955.11        | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 06/34 6.5             | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     36400000 | PA      | $37913584.80   | 0.08%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9914 FN 12/40 FIXED 4                           | CUSIP: 31419MAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26242 | PA      | $25366.25      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                                   | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                      | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32300000 | PA      | $32332972.16   | 0.07%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                          | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                     | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     40500000 | PA      | $46437672.51   | 0.10%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $41957.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A3                  | CUSIP: 46628BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       525462 | PA      | $364116.42     | 0.00%             | 2036-10-25      | Floating      | 3.93%                 | 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        |          628 | PA      | $657.06        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766027 FN 02/34 FIXED 5                           | CUSIP: 31404EA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5954 | PA      | $5949.07       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                               | CONAGRA BRANDS INC SR UNSECURED 11/27 1.375                 | CUSIP: 205887CF7<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     12490000 | PA      | $11877853.98   | 0.03%             | 2027-11-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9387 FN 07/43 FIXED 3                           | CUSIP: 3138WXND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       194858 | PA      | $178358.18     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002755 G2 05/29 FIXED 7                        | CUSIP: 36202DBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1998 | PA      | $2058.22       | 0.00%             | 2029-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9944 FR 03/53 FIXED 6                   | CUSIP: 3133BYBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       363612 | PA      | $372277.51     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $500920.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848585 FN 12/35 FLOATING VAR                      | CUSIP: 31408DXN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55939 | PA      | $57215.76      | 0.00%             | 2035-12-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIVERSITY                                                               | CORNELL UNIVERSITY SR UNSECURED 06/30 4.169                 | CUSIP: 219207AD9<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9932752.60    | 0.02%             | 2030-06-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M1              | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          680 | PA      | $680.22        | 0.00%             | 2034-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0586 FN 07/26 FIXED VAR                         | CUSIP: 3138EGUL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           89 | PA      | $88.77         | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-551502.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $348162.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4942 FN 03/53 FIXED 6                           | CUSIP: 31418EP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257734 | PA      | $264707.47     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745822 FN 09/36 FIXED VAR                         | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156009 | PA      | $163722.99     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255873 FN 06/35 FIXED 7                           | CUSIP: 31371MFN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82964 | PA      | $83999.08      | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                         | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55782 | PA      | $51890.98      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0398 FR 09/53 FIXED 5                   | CUSIP: 3133CCNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2697023 | PA      | $2689832.33    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 DATA A 144A       | CUSIP: 465972AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17100000 | PA      | $15792123.60   | 0.03%             | 2042-06-10      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A9              | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       616980 | PA      | $603744.04     | 0.00%             | 2035-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66                                                 | CUSIP: 71855BD82<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     26573000 | PA      | $26549257.02   | 0.06%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01                | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A7                 | CUSIP: 3137FMD25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1267278 | PA      | $1263762.78    | 0.00%             | 2026-04-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                            | AON NORTH AMERICA INC AON NORTH AMERICA INC                 | CUSIP: 03740MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4800000 | PA      | $4903632.24    | 0.01%             | 2029-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260608                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $193922.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                           | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 09/27 VAR          | CUSIP: 79587J2D4<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     20600000 | PA      | $20692590.61   | 0.04%             | 2027-09-02      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62034000 | PA      | $64128366.47   | 0.14%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-88204.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-46927.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922830 FN 12/36 FIXED 6                           | CUSIP: 31412EHF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82264 | PA      | $84797.57      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4221 FN 11/53 FIXED 5.5                         | CUSIP: 3140A4VP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112802 | PA      | $114072.76     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25                | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     18660000 | PA      | $17219078.72   | 0.04%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745327 FN 03/36 FIXED VAR                         | CUSIP: 31403DA41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2043 | PA      | $2144.31       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46361 FG 02/47 FIXED 3.5                 | CUSIP: 3132WLB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1038464 | PA      | $971348.11     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7483 FR 02/53 FIXED 5.5                 | CUSIP: 3133BVJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2673447 | PA      | $2695678.92    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 5A1              | CUSIP: 05946XJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       760745 | PA      | $746698.82     | 0.00%             | 2034-11-20      | Floating      | 5.80%                 | 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        |         2923 | PA      | $2960.39       | 0.00%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003053 G2 03/31 FIXED 6.5                      | CUSIP: 36202DMA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4116 | PA      | $4278.10       | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                              | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIA           | CUSIP: 76110WRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       584772 | PA      | $577115.49     | 0.00%             | 2033-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9558 FN 06/43 FIXED 3                           | CUSIP: 31417GTQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45305 | PA      | $41077.46      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 11/33 2.65                    | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |      4800000 | PA      | $3819598.90    | 0.01%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                        | FANNIE MAE FNR 2025 18 FM                                   | CUSIP: 3136BVKH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18124127 | PA      | $18197639.84   | 0.04%             | 2054-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2924 FN 12/45 FIXED 4                           | CUSIP: 3140E7HA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3968 | PA      | $3823.28       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7601 FN 07/46 FIXED 4                           | CUSIP: 3138WHNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76657 | PA      | $73648.92      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2023-HTL                              | BAMLL 2023 HTL 10/27 0                                      | CUSIP: 05942JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       546864 | PA      | $11836.89      | 0.00%             | 2027-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832890 FN 09/35 FIXED 6                           | CUSIP: 31407KKB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          934 | PA      | $961.16        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5632 FN 02/48 FIXED 4                           | CUSIP: 3140H7HJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9258 | PA      | $8933.15       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8261 FR 09/52 FIXED 6                   | CUSIP: 3132DWFA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       228161 | PA      | $234267.99     | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                          | BCAP LLC TRUST BCAP 2011 RR6 5A1 144A                       | CUSIP: 05535YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2351867 | PA      | $2107496.68    | 0.00%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97161 FG 01/27 FIXED 6                   | CUSIP: 3128E35W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          667 | PA      | $680.59        | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2019 2 A PTT PASS THRU CE 11/29 2.9              | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1232982 | PA      | $1182477.49    | 0.00%             | 2029-11-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 A2 144A         | CUSIP: 12594YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204236907 | PA      | $187083232.64  | 0.40%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830681 FN 06/35 FIXED 6                           | CUSIP: 31407G2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4570 | PA      | $4684.56       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5626 FN 01/53 FIXED 5.5                         | CUSIP: 3140NAHC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90450 | PA      | $91156.18      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8152 FR 06/51 FIXED 3                   | CUSIP: 3132DWBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       453615 | PA      | $401080.68     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | 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        |      2623412 | PA      | $1105242.31    | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT SR UNSECURED 02/28 4.25               | CUSIP: 02666TAA5<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      6678000 | PA      | $6644683.12    | 0.01%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 AIOS 144A      | CUSIP: 17326UAM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14698245 | PA      | $83394.17      | 0.00%             | 2058-02-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AA6418 GN 05/43 FIXED 3.5                         | CUSIP: 36178EDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11204 | PA      | $10534.07      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINAN SR SECURED 144A 07/31 4.75                 | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      1520000 | PA      | $1309375.55    | 0.00%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                               | FANNIE MAE FNR 2007 53 SA                                   | CUSIP: 31396WCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36538 | PA      | $2250.86       | 0.00%             | 2037-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR                  | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5002944.50    | 0.01%             | 2027-09-22      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7838 FN 08/46 FIXED 3                           | CUSIP: 3138WHV82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7242 | PA      | $6545.79       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9386 G2 06/48 FIXED 4                        | CUSIP: 3617H7NB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1349657 | PA      | $1274242.11    | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 09/29 5.303           | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       800000 | PA      | $796098.22     | 0.00%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895304 FN 09/36 FIXED 6                           | CUSIP: 31410RU56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31419 | PA      | $32652.19      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3           | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9389713 | PA      | $8358955.62    | 0.02%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845420 FN 02/36 FIXED 6                           | CUSIP: 31408AG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          688 | PA      | $710.26        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1799 FN 04/27 FIXED VAR                         | CUSIP: 3138EH7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7753 | PA      | $7712.01       | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6534 FN 07/47 FIXED 4                           | CUSIP: 3140GVHL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27276 | PA      | $26146.13      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B2 144A         | CUSIP: 12594YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66087781 | PA      | $47256636.16   | 0.10%             | 2056-02-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 04/28 VAR                              | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     18900000 | PA      | $18875110.02   | 0.04%             | 2028-04-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0194 FN 01/39 FIXED 5.5                         | CUSIP: 31416VGC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253308 | PA      | $261472.77     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR4                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR4 2A1            | CUSIP: 22541SEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233859 | PA      | $236914.42     | 0.00%             | 2034-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 4 1A1             | CUSIP: 93936NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       445217 | PA      | $432630.91     | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6241 FN 05/53 FIXED 4.5                         | CUSIP: 3140QR5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1725961 | PA      | $1678117.80    | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C13                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C13 A4             | CUSIP: 90353KAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17486088 | PA      | $17330947.93   | 0.04%             | 2051-10-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A5                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A5 2A3             | CUSIP: 76114HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109215 | PA      | $52777.88      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 646088 GN 12/36 FIXED 5                           | CUSIP: 36292DXR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          645 | PA      | $643.90        | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/31 VAR                         | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      2000000 | PA      | $2017754.96    | 0.00%             | 2031-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF231 RR                                | CUSIP: ACI2QBKR7<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |      2125085 | PA      | $2472319.55    | 0.01%             | 2028-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A4             | CUSIP: 68403KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2142381 | PA      | $1388866.05    | 0.00%             | 2037-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904674 FN 12/36 FIXED 6                           | CUSIP: 31411DCK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6903 | PA      | $7038.97       | 0.00%             | 2036-12-01      | 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        |          418 | PA      | $436.02        | 0.00%             | 2031-01-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2058                                                                 | FREDDIE MAC FHR 2058 TE                                     | CUSIP: 3133TDTV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40741 | PA      | $41122.41      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PINNACOL ASSURANCE                                                               | PINNACOL ASSURANCE SUBORDINATE 06/34 8.625                  | CUSIP: 72349LAA0<br>LEI: 549300D37RE2C54DGD62 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15926983.80   | 0.03%             | 2034-06-25      | Fixed         | 8.62%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2753 FN 04/26 FIXED 3.5                         | CUSIP: 31416YBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            7 | PA      | $7.47          | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-80                                                               | FANNIE MAE FNR 2007 80 FA                                   | CUSIP: 31396XEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1420011 | PA      | $1416954.34    | 0.00%             | 2037-08-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-348985.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-343080.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 09/27 4.25                           | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     45425000 | PA      | $45323103.55   | 0.10%             | 2027-09-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $821345.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1100 FN 04/54 FIXED 5.5                         | CUSIP: 3140AAGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       808463 | PA      | $813950.75     | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.54841 06/13/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-20069643.95  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M3                     | CUSIP: 040104MG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       464230 | PA      | $474823.94     | 0.00%             | 2034-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4727 FN 12/45 FIXED 4                           | CUSIP: 3140E9HD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148258 | PA      | $142830.55     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | 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        |         7426 | PA      | $7426.92       | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88400 03/25/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-15013.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRF2                              | CUSIP: 955NUGII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13900000 | PA      | $13988409.28   | 0.03%             | 2032-06-07      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1588 FN 10/47 FIXED 4                           | CUSIP: 3140H2XS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4695 | PA      | $4500.27       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8387 FN 03/46 FIXED VAR                         | CUSIP: 3138ETJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       439223 | PA      | $423333.22     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                 | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5290265 | PA      | $2608923.35    | 0.01%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 595556 FN 05/31 FIXED 8.5                         | CUSIP: 31387VTM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6187 | PA      | $6341.72       | 0.00%             | 2031-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $31222.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3275 FR 07/53 FIXED 5.5                 | CUSIP: 3132DQT89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3002012 | PA      | $3027047.67    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3832 FN 11/39 FIXED 3.5                         | CUSIP: 31418DHJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19125 | PA      | $18311.54      | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2A                | CUSIP: 617538AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2324137 | PA      | $1168675.31    | 0.00%             | 2036-12-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-2820.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6             | CUSIP: 92922FM21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4527583 | PA      | $4498162.83    | 0.01%             | 2035-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $118887.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2077                                                                 | FREDDIE MAC FHR 2077 Z                                      | CUSIP: 3133TEPM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74150 | PA      | $75263.20      | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A1          | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          344 | PA      | $342.89        | 0.00%             | 2036-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136              | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     19700000 | PA      | $19299147.55   | 0.04%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A          | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6761238 | PA      | $6788312.83    | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-8                                                    | GSAA HOME EQUITY TRUST GSAA 2006 8 2A2                      | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13452784 | PA      | $2717165.00    | 0.01%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809591 FN 02/35 FLOATING VAR                      | CUSIP: 31406GNG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14286 | PA      | $14575.50      | 0.00%             | 2035-02-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY3873 FN 08/45 FIXED 4                           | CUSIP: 3138YHJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13047 | PA      | $12589.60      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9697 FN 11/40 FIXED 4                           | CUSIP: 31419LX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50551 | PA      | $48996.03      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | 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        |        22948 | PA      | $23401.39      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES 2006-S6                                  | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S6 A15             | CUSIP: 74957VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       395285 | PA      | $341213.18     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2018-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 18 1 AA PTT PASS THRU CE 144A 03/33 3.8         | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1062944 | PA      | $1038678.77    | 0.00%             | 2033-03-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985499 FN 08/38 FIXED 6                           | CUSIP: 31415PX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83465 | PA      | $85744.15      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                                  | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                     | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16877733 | PA      | $4493076.96    | 0.01%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0589 FN 05/41 FIXED 5.5                         | CUSIP: 3138ADUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7359 | PA      | $7515.81       | 0.00%             | 2041-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 A5            | CUSIP: 46625SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446367 | PA      | $445179.39     | 0.00%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                                              | EMF NL BV EMFNL 2008 APRX A2 REGS                           | CUSIP: B39M0PII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       296512 | PA      | $342000.95     | 0.00%             | 2041-04-17      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928220 FN 04/37 FIXED 6.5                         | CUSIP: 31412LG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       216361 | PA      | $228499.00     | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0590 FR 08/26 FIXED 3.5                 | CUSIP: 3132CWUP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           46 | PA      | $45.80         | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $86698.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)                           | CBRE SVCS INC DISC COML PAPER                               | CUSIP: 12610CD80<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     31000000 | PA      | $30972685.90   | 0.07%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLITNIR HOLDCO EHF                                                               | PP690IAC7 GLITNER BANKI HF PP690IAC7 GLITNER BANKI HF       | CUSIP: 962LJPII7<br>LEI: N/A                  | Long             | DBT              | CORP              | IS        |        26686 | PA      | $30.85         | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5340 FN 02/34 FIXED VAR                         | CUSIP: 3140J95A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67393 | PA      | $66209.97      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252334 FN 02/29 FIXED 6.5                         | CUSIP: 31371HHK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          410 | PA      | $417.30        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1647 FN 02/39 FIXED 5                           | CUSIP: 31416JZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40487 | PA      | $40721.91      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-319395.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $977862.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1215000 | PA      | $1212554.47    | 0.00%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC4415 FR 07/51 FIXED 3                   | CUSIP: 3133AN3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       825851 | PA      | $727741.18     | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-245333.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S5                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A13             | CUSIP: 74957EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       386939 | PA      | $329983.78     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 1A6A               | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2546677 | PA      | $552351.85     | 0.00%             | 2037-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1549 FN 09/48 FIXED VAR                         | CUSIP: 3140X4WK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5595477 | PA      | $5361899.61    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2627752.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 11CB 3A1          | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1692423 | PA      | $745883.67     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 06/27 VAR                    | CUSIP: BJ5FX5II4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1500000 | PA      | $1728254.08    | 0.00%             | 2027-06-24      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM4306 GN 04/45 FIXED 3.5                         | CUSIP: 36184QYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40929 | PA      | $38479.19      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | 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        |    191740469 | PA      | $8751150.07    | 0.02%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1566 FR 12/33 FIXED 3.5                 | CUSIP: 3132ADW38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17546 | PA      | $17235.54      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2019-GC42                                           | GS MORTGAGE SECURITIES TRUST GSMS 2019 GC42 A4              | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $9445076.00    | 0.02%             | 2052-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0440 FR 09/53 FIXED 5                   | CUSIP: 3133CCPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3457369 | PA      | $3453419.34    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895008 FN 11/36 FIXED 6                           | CUSIP: 31410RKV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7538 | PA      | $7686.75       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A3            | CUSIP: 12465MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7102219 | PA      | $3290105.24    | 0.01%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 SA 144A         | CUSIP: 12653MAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         6856 | PA      | $6586.27       | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A2             | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3016603 | PA      | $1632304.06    | 0.00%             | 2037-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1538 FN 01/44 FIXED 3                           | CUSIP: 3138WAV87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184810 | PA      | $169190.95     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 557247 FN 08/30 FIXED 8.5                         | CUSIP: 31386ABQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2401 | PA      | $2451.47       | 0.00%             | 2030-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1            | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       595359 | PA      | $524205.25     | 0.00%             | 2035-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9368 GN 04/50 FIXED 4                           | CUSIP: 3617MYMR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1042426 | PA      | $983568.09     | 0.00%             | 2050-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3898 FN 01/35 FIXED 3.5                         | CUSIP: 31418DKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134522 | PA      | $131624.59     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946580 FN 09/37 FIXED 6                           | CUSIP: 31413JCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25441 | PA      | $26393.81      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1             | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142208 | PA      | $134505.43     | 0.00%             | 2034-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV4              | CUSIP: 126670DD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2992713 | PA      | $2946600.19    | 0.01%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 10/29 VAR                       | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6030475.25    | 0.01%             | 2029-10-18      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884826 FN 07/36 FIXED 6                           | CUSIP: 31410CA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           78 | PA      | $79.17         | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-6213.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $143813.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO6792 FN 06/42 FIXED 4                           | CUSIP: 3138LXRN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13795 | PA      | $13322.10      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $23849.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                           | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1               | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6742026 | PA      | $544616.78     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13 08/13/25-01/02/29 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $1434952.46    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                          | FREDDIE MAC FHR 5513 MF                                     | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14875528 | PA      | $14973139.31   | 0.03%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-793274.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                                    | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                       | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       160762 | PA      | $161453.72     | 0.00%             | 2027-01-27      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4             | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1844462 | PA      | $915108.98     | 0.00%             | 2037-04-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2333 FN 02/41 FIXED 4                           | CUSIP: 31416XSX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12534 | PA      | $12112.80      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2447484895 | PA      | $2146462804.85 | 4.56%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-34                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 34 1A1             | CUSIP: 2254W0BZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          595 | PA      | $608.37        | 0.00%             | 2032-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 144A 11/36 7.1        | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      4100000 | PA      | $4192270.13    | 0.01%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC2                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3             | CUSIP: 84751PFW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170174 | PA      | $169924.55     | 0.00%             | 2035-12-25      | Floating      | 4.77%                 | 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        |         5721 | PA      | $5695.41       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B                | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3046797 | PA      | $2324274.08    | 0.00%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $398929.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U99114 FG 02/44 FIXED 3.5                 | CUSIP: 3132H7DU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29492 | PA      | $27893.17      | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                         | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                    | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1087313 | PA      | $1088433.11    | 0.00%             | 2031-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4193 FN 07/53 FIXED 5.5                         | CUSIP: 3140NLUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4471843 | PA      | $4515517.75    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $182872.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 2A1            | CUSIP: 74923HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       955157 | PA      | $166874.64     | 0.00%             | 2037-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929838 FN 08/38 FIXED 6                           | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60837 | PA      | $63635.02      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-18546.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917554 FN 04/37 FIXED 6                           | CUSIP: 31411XMB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11464 | PA      | $11834.74      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0482 G2 07/55 FIXED 4                        | CUSIP: 3618N5RC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6146949 | PA      | $5765702.74    | 0.01%             | 2055-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3950 FR 05/53 FIXED 5.5                 | CUSIP: 3133C4L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       693430 | PA      | $701242.45     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745000 FN 10/35 FIXED VAR                         | CUSIP: 31403CUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59746 | PA      | $61713.25      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS                  | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     21656844 | PA      | $24906907.75   | 0.05%             | 2050-12-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5275 FN 06/54 FIXED 5.5                         | CUSIP: 3140AE2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8186406 | PA      | $8240084.58    | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 15CB A25          | CUSIP: 02151CBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89942 | PA      | $49420.54      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP              | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122463 | PA      | $43851.71      | 0.00%             | 2036-07-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0831 FN 02/48 FIXED 4                           | CUSIP: 3140HD4R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53386 | PA      | $51158.23      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995883 FN 06/39 FIXED VAR                         | CUSIP: 31416CJ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81783 | PA      | $85839.70      | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/29 VAR                  | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5196173.00    | 0.01%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $106783.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882576 FN 07/36 FIXED 6                           | CUSIP: 31409YQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32021 | PA      | $33157.35      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 879680 FN 05/36 FLOATING VAR                      | CUSIP: 31409VJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54203 | PA      | $55725.74      | 0.00%             | 2036-05-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                             | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A          | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9954079 | PA      | $9700527.69    | 0.02%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6115 FN 07/43 FIXED 3                           | CUSIP: 3138M9YM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184542 | PA      | $168801.40     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C00895 FG 12/29 FIXED 7                   | CUSIP: 31292G7G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          192 | PA      | $201.67        | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 09/27 VAR                    | CUSIP: ACI27Z6Z3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       900000 | PA      | $1204451.45    | 0.00%             | 2027-09-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323990 FN 10/29 FIXED VAR                         | CUSIP: 31374T2X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          411 | PA      | $421.88        | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846937 FN 01/36 FLOATING VAR                      | CUSIP: 31408B4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26699 | PA      | $27197.61      | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 912069 FN 02/32 FIXED 6                           | CUSIP: 31411NJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15762 | PA      | $16070.85      | 0.00%             | 2032-02-01      | 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        |       289429 | PA      | $288815.70     | 0.00%             | 2030-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781328 GN 09/31 FIXED 7                           | CUSIP: 36225BPM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2677 | PA      | $2777.00       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | 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        |         7945 | PA      | $7920.87       | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | 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      | $541.07        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 2.25                                  | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    292800000 | PA      | $213486655.15  | 0.45%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2001-T10                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T10 A1                    | CUSIP: 3139216A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1117 | PA      | $1139.92       | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8784 FN 02/47 FIXED 3                           | CUSIP: 3138WJXN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8902 | PA      | $7993.95       | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A89384 FG 10/39 FIXED 4                   | CUSIP: 312936M95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89685 | PA      | $87148.26      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4039 FN 03/28 FIXED VAR                         | CUSIP: 3140J8PZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          188 | PA      | $186.93        | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                                                           | SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/28 4.6               | CUSIP: 85205TAK6<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |      6800000 | PA      | $6806684.40    | 0.01%             | 2028-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $50773.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008989 G2 10/26 FLOATING VAR                   | CUSIP: 36202K7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2099 | PA      | $2096.81       | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | 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        |        13712 | PA      | $14181.09      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7189 FN 03/47 FIXED 4                           | CUSIP: 3140FS7B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20776 | PA      | $20000.65      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | 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        |           44 | PA      | $43.77         | 0.00%             | 2028-09-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03                                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H03 FA              | CUSIP: 38382YR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53252022 | PA      | $53897543.29   | 0.11%             | 2073-02-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                      | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    207980000 | PA      | $11567356.88   | 0.02%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB3477 GN 09/47 FIXED 5                           | CUSIP: 3617AT2J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95828 | PA      | $95599.99      | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1            | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1783015 | PA      | $1683057.40    | 0.00%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5930 FN 01/53 FIXED 5.5                         | CUSIP: 3140NASU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       236894 | PA      | $238761.99     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 775852 FN 03/44 FLOATING VAR                      | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85682 | PA      | $86712.84      | 0.00%             | 2044-03-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-116342.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1            | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181735 | PA      | $169001.50     | 0.00%             | 2036-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-241116.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4222 FN 06/53 FIXED 5                           | CUSIP: 3140NLVQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       199129 | PA      | $197224.49     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D R 144A            | CUSIP: 78450PAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |          852 | PA      | $294429.58     | 0.00%             | 2053-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7073 FR 02/53 FIXED 5.5                 | CUSIP: 3133BU2E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4085796 | PA      | $4121559.14    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                      | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1762337 | PA      | $1757803.12    | 0.00%             | 2037-03-26      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 03/29 3.2                            | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $964718.69     | 0.00%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 1A                  | CUSIP: 589929F94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1940 | PA      | $1792.44       | 0.00%             | 2028-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786223 FH 01/28 FLOATING VAR              | CUSIP: 31348S4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          162 | PA      | $162.08        | 0.00%             | 2028-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-142                                                       | FANNIE MAE FNR 2010 142 PL                                  | CUSIP: 31398SKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173863 | PA      | $172321.60     | 0.00%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-14                                                        | FANNIE MAE FNR 2014 14 SC                                   | CUSIP: 3136AJQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3659009 | PA      | $295169.36     | 0.00%             | 2038-12-25      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 11/27 VAR                                  | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     18300000 | PA      | $18350865.22   | 0.04%             | 2027-11-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.41000 11/05/24-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1508809.11   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6000 FN 05/46 FIXED 4                           | CUSIP: 3140F1U26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53701 | PA      | $51587.42      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7205 FN 12/29 FIXED VAR                         | CUSIP: 3138EQAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3115 | PA      | $3087.23       | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 512030 FN 11/29 FIXED 8.5                         | CUSIP: 31383SY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1698 | PA      | $1729.40       | 0.00%             | 2029-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1877 FR 03/54 FIXED 5.5                 | CUSIP: 3142GSCP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10741691 | PA      | $10806672.60   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 933385 FN 02/38 FIXED 5                           | CUSIP: 31412SNA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1380 | PA      | $1383.08       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2023-HTL                              | BAMLL 2023 HTL 10/27 1                                      | CUSIP: 05942JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77123006 | PA      | $77112931.81   | 0.16%             | 2027-10-15      | Variable      | 7.54%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7555 FN 03/53 FIXED 5.5                         | CUSIP: 3140NCMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1819288 | PA      | $1835111.65    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4407 FN 03/46 FIXED 4                           | CUSIP: 3140EY3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       631846 | PA      | $607832.17     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 736997 FN 11/33 FIXED 6                           | CUSIP: 31402SX28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3147 | PA      | $3209.02       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 1 AA PTT PASS THRU CE 02/29 3.65            | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4155802 | PA      | $4046063.55    | 0.01%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-63730.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5             | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4952317 | PA      | $4818347.10    | 0.01%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A9 144A        | CUSIP: 36262RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7543174 | PA      | $7054473.24    | 0.01%             | 2052-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 811937 FN 04/35 FLOATING VAR                      | CUSIP: 31406KBE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83767 | PA      | $86101.16      | 0.00%             | 2035-04-01      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-20.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                        | FANNIE MAE FNR 2024 10 AF                                   | CUSIP: 3136BQ6A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5219552 | PA      | $5199398.55    | 0.01%             | 2050-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2             | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4801688 | PA      | $2382424.20    | 0.01%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR13                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR13 4A1           | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10840 | PA      | $9550.33       | 0.00%             | 2035-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8413 FR 08/53 FIXED 6                   | CUSIP: 3133C9K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186273 | PA      | $191013.13     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 10/31 4.75                           | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     20250000 | PA      | $20040623.30   | 0.04%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT1572 FN 05/43 FIXED 3                           | CUSIP: 3138WNXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27836 | PA      | $25492.12      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                                | AIRCASTLE LTD COMPANY GUAR 06/26 4.25                       | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |      1500000 | PA      | $1498222.08    | 0.00%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS C 144A                               | CUSIP: 990ABJSB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |      7900000 | PA      | $5450606.47    | 0.01%             | 2057-12-30      | Floating      | 6.16%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5165 FN 10/53 FIXED 5.5                         | CUSIP: 31418EW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61758283 | PA      | $62248260.37   | 0.13%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 3A8                     | CUSIP: 362611AL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153471 | PA      | $155417.97     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965509 FN 12/37 FIXED 6                           | CUSIP: 31414GDN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36373 | PA      | $37879.88      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928401 FN 05/37 FIXED 6                           | CUSIP: 31412LNS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8741 | PA      | $9149.04       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                                  | VERAISON RE LTD UNSECURED 144A 03/34 VAR                    | CUSIP: 92335TAF6<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      1200000 | PA      | $1200480.00    | 0.00%             | 2034-03-08      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91034 FG 06/27 FIXED 6                   | CUSIP: 3128P7EF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9039 | PA      | $9224.57       | 0.00%             | 2027-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/28 4.282                  | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       500000 | PA      | $498326.37     | 0.00%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1011 FN 12/46 FIXED 4                           | CUSIP: 3140E5DR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       196108 | PA      | $187869.13     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896573 FN 06/36 FIXED 6                           | CUSIP: 31410TCJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17573 | PA      | $18007.45      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0200 FH 02/36 FLOATING VAR              | CUSIP: 3128S4GH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14229 | PA      | $14500.70      | 0.00%             | 2036-02-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0414 FN 12/39 FIXED 3                           | CUSIP: 3140HDN83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       846008 | PA      | $791141.03     | 0.00%             | 2039-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO INC                                                                 | EVERGY METRO 1ST MORTGAGE 06/30 2.25                        | CUSIP: 30037DAA3<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2378168.31    | 0.01%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-38                                                        | FANNIE MAE FNR 2004 38 FK                                   | CUSIP: 31393YBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       215339 | PA      | $214137.58     | 0.00%             | 2034-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905116 FN 01/37 FIXED 6                           | CUSIP: 31411DSD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          317 | PA      | $323.10        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5450 FN 04/46 FIXED 4                           | CUSIP: 3140F1BU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278277 | PA      | $267084.72     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4702 FN 07/46 FIXED 4                           | CUSIP: 3138YJGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       515681 | PA      | $494781.16     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                                      | COBANK ACB JR SUBORDINA 12/99 VAR                           | CUSIP: 19075QAD4<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |      5200000 | NS      | $5117788.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRIS BAPTIST MEDICAL CENTER INC                                              | INTEGRIS BAPTIST MEDICAL SR SECURED 08/50 3.875             | CUSIP: 45834QAA7<br>LEI: 549300S00ZKDLJSB3927 | Long             | DBT              | CORP              | US        |      6300000 | PA      | $4586186.43    | 0.01%             | 2050-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD RON BOUGHT USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $982.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A1R 144A                              | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9827241 | PA      | $11370627.36   | 0.02%             | 2031-07-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A X2                            | CUSIP: ACI2NGD30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |         1972 | PA      | $0.00          | 0.00%             | 2058-06-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2415 FN 10/45 FIXED 4                           | CUSIP: 31418BVH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112527 | PA      | $108319.99     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3460 FN 09/28 FIXED 3.5                         | CUSIP: 31418CZ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93147 | PA      | $92594.34      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-1477.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A9           | CUSIP: 75115DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       668008 | PA      | $535638.84     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ9970 FN 01/28 FIXED 4                           | CUSIP: 3138MSCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1412 | PA      | $1404.92       | 0.00%             | 2028-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/54 5.75                     | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      3900000 | PA      | $3632776.41    | 0.01%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95              | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     24400000 | PA      | $17776592.18   | 0.04%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                       | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  12340000000 | PA      | $65893679.47   | 0.14%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-87                                                        | FANNIE MAE FNR 2012 87 SQ                                   | CUSIP: 3136A7YG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4547432 | PA      | $641490.30     | 0.00%             | 2042-08-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW9006 FN 08/29 FIXED 3.5                         | CUSIP: 3138XZAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76259 | PA      | $75118.01      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908962 FN 01/37 FIXED 6                           | CUSIP: 31411HZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21482 | PA      | $22016.48      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 532746 GN 07/30 FIXED 8.5                         | CUSIP: 36212FZK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1069 | PA      | $1098.46       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G02366 FG 10/36 FIXED 6.5                 | CUSIP: 3128LXTX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19982 | PA      | $21146.55      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2D                | CUSIP: 61753KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2683136 | PA      | $1085170.18    | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                                    | JONES LANG LASALLE FIN BV                                   | CUSIP: 48002BD90<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |      3700000 | PA      | $3696307.77    | 0.01%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884823 FN 06/36 FIXED 6                           | CUSIP: 31410CAY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9791 | PA      | $10136.82      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/20/24-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $147037640.99  | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $702.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4751 FN 03/43 FIXED VAR                         | CUSIP: 3140J9H53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       321330 | PA      | $303344.68     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A6 2A1                  | CUSIP: 46632DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38569 | PA      | $28716.24      | 0.00%             | 2037-12-25      | Floating      | 5.12%                 | 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        |        27437 | PA      | $27862.82      | 0.00%             | 2035-11-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-992211.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6766 FN 08/43 FIXED 3                           | CUSIP: 3138X6QU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4538 | PA      | $4159.08       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                             | GSAMP TRUST GSAMP 2004 AR1 M2                               | CUSIP: 36228F6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       453191 | PA      | $467838.85     | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR41                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR41 A3            | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6736989 | PA      | $6550537.07    | 0.01%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4OA3 PIMCO SWAPTION 3.25 CALL USD 2026071              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1698600000 | NC      | $-1483896.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE2                                              | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE2 M1                | CUSIP: 12506YCW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50236 | PA      | $86869.51      | 0.00%             | 2034-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3934 FN 02/40 FIXED 3                           | CUSIP: 31418DLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132747 | PA      | $123875.44     | 0.00%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-78137.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V80642 FG 11/43 FIXED 4.5                 | CUSIP: 3132L5WB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       240920 | PA      | $236930.27     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $170978.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7850000 | PA      | $7845276.89    | 0.02%             | 2026-04-07      | None          | 0.00%                 | 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        |       147839 | PA      | $155182.81     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2691 FN 07/46 FIXED 4                           | CUSIP: 3140F97D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95103 | PA      | $90908.15      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3838                                                          | FREDDIE MAC FHR 3838 GZ                                     | CUSIP: 3137A9YV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3733597 | PA      | $3607294.23    | 0.01%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $756716.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A2D                       | CUSIP: 00442EAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19365209 | PA      | $4830455.88    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5567                                                          | FREDDIE MAC FHR 5567 FB                                     | CUSIP: 3137HMEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11064179 | PA      | $11165843.22   | 0.02%             | 2055-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-1215.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4620                                                          | FREDDIE MAC FHR 4620 AF                                     | CUSIP: 3137BSAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2761999 | PA      | $2740280.96    | 0.01%             | 2042-11-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $6624.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3462 FN 12/33 FIXED VAR                         | CUSIP: 3140X6Z46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39645 | PA      | $39039.34      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                                     | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                        | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3066262 | PA      | $3056356.20    | 0.01%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                            | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |     92000000 | PA      | $92597299.88   | 0.20%             | 2029-12-18      | Floating      | 7.22%                 | No            |                  3 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2            | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84149 | PA      | $80611.98      | 0.00%             | 2035-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1279 FH 04/36 FLOATING VAR              | CUSIP: 3128NHM42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59372 | PA      | $61128.93      | 0.00%             | 2036-04-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6                   | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       322456 | PA      | $329139.84     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2374                                                                 | FREDDIE MAC FHR 2374 F                                      | CUSIP: 31339G5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17420 | PA      | $17388.75      | 0.00%             | 2031-06-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR2                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR2 1A2           | CUSIP: 939336D59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80131 | PA      | $81572.71      | 0.00%             | 2033-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA Y 144A                        | CUSIP: ACI23MMX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2375000 | PA      | $9198313.40    | 0.02%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                      | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6953 | PA      | $7068.79       | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1           | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       912662 | PA      | $834625.03     | 0.00%             | 2035-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2             | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100712 | PA      | $96718.00      | 0.00%             | 2035-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR4430 FN 03/43 FIXED 3                           | CUSIP: 3138W14Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45564 | PA      | $41770.73      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-678383.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT6424 FN 06/43 FIXED 3                           | CUSIP: 3138WUD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       714848 | PA      | $655455.55     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8666 FR 08/32 FIXED 3.5                 | CUSIP: 3132A9TX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126161 | PA      | $124208.94     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922668 FN 03/37 FIXED 6                           | CUSIP: 31412ECD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19739 | PA      | $20345.60      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3306 FN 03/48 FIXED 4                           | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10522 | PA      | $10011.39      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG           | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      4100000 | PA      | $1435000.00    | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1             | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5789307 | PA      | $5761454.17    | 0.01%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2492 FN 10/44 FIXED 4                           | CUSIP: 3138Y3XW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79614 | PA      | $76723.65      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2343                                                                 | FREDDIE MAC FHR 2343 UZ                                     | CUSIP: 313399MW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       236053 | PA      | $243145.52     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ2 A4 144A        | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43087055 | PA      | $35738437.48   | 0.08%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2624 FR 05/26 FIXED 3.5                 | CUSIP: 31329K4H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           38 | PA      | $37.49         | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30438 FG 11/27 FIXED 6                   | CUSIP: 3128CUPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3320 | PA      | $3388.55       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 899892 FN 11/36 FIXED 6                           | CUSIP: 31410WXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279313 | PA      | $291566.19     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0276 FN 04/45 FIXED 4                           | CUSIP: 3138YDJW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154929 | PA      | $148976.93     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A2             | CUSIP: 25151AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1399722 | PA      | $1301027.15    | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5386 FN 07/45 FIXED 4                           | CUSIP: 3138WE6Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26572 | PA      | $25583.90      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 2A1            | CUSIP: 12667G5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57241 | PA      | $46266.12      | 0.00%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                           | FREDDIEMAC STRIP FHS 389 C35                                | CUSIP: 31325YRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    296939341 | PA      | $36572783.39   | 0.08%             | 2052-06-15      | Fixed         | 2.00%                 | 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        |        10212 | PA      | $10418.99      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $83.74         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2             | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3055126 | PA      | $2643713.01    | 0.01%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/27 VAR                  | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      9900000 | PA      | $9884146.73    | 0.02%             | 2027-04-22      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                               | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 2A4             | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1447615 | PA      | $1371793.96    | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UCACA2 PIMCO SWAPTION 3.669 CALL USD 202604              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -107000000 | NC      | $-307282.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX1                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M2            | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1745013 | PA      | $1756310.88    | 0.00%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A B 144A                        | CUSIP: ACI2V5997<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     32762000 | PA      | $43400787.53   | 0.09%             | 2056-08-28      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4481 FR 10/53 FIXED 6                   | CUSIP: 3133CG6S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       355609 | PA      | $363569.68     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $4153275.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $2001.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UCABA3 PIMCO SWAPTION 4.069 PUT USD 2026043              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -107000000 | NC      | $-322358.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837370 FN 10/35 FIXED 6                           | CUSIP: 31407QJP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25507 | PA      | $26349.25      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5050 FR 05/40 FIXED 3.5                 | CUSIP: 3133KYTF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2607382 | PA      | $2488533.60    | 0.01%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5273 FN 06/54 FIXED 5.5                         | CUSIP: 3140AE2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1650209 | PA      | $1681213.88    | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-166165.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -428695705 | PA      | $-428695705.00 | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905759 FN 12/36 FLOATING VAR                      | CUSIP: 31411EJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1157 | PA      | $1188.79       | 0.00%             | 2036-12-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1             | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3417 | PA      | $3222.83       | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1                 | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3269981 | PA      | $3195554.72    | 0.01%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0217 FN 09/57 FIXED 3                           | CUSIP: 3140FXG30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20352105 | PA      | $17717707.70   | 0.04%             | 2057-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON INVESTMENTS FINANCING LIMITED                                              | RIPON INVESTMENTS FINANCING RIPON PPN PROXY                 | CUSIP: 945ZEJII7<br>LEI: 635400QTU39PPCOAU759 | Long             | DBT              | CORP              | GB        |      1548050 | PA      | $2021554.94    | 0.00%             | 2049-12-02      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $1045250.27    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-54113.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424015000 | PA      | $425421394.15  | 0.90%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A4              | CUSIP: 17307GRE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       157226 | PA      | $152633.62     | 0.00%             | 2035-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A D 144A                           | CUSIP: ACI2M1B02<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     14400000 | PA      | $19238475.48   | 0.04%             | 2035-06-21      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7959 FR 07/53 FIXED 4.5                 | CUSIP: 3133C8ZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       999387 | PA      | $967970.29     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-4132.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1530 FN 04/43 FIXED 3.5                         | CUSIP: 3140Q8VY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       440719 | PA      | $413664.91     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A            | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6951272 | PA      | $6295725.10    | 0.01%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $572069.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75       | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     34700000 | PA      | $34793453.00   | 0.07%             | 2028-01-18      | Fixed         | 4.75%                 | 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        |     59465968 | PA      | $51639723.70   | 0.11%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255844 FN 09/35 FIXED 6                           | CUSIP: 31371MER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51067 | PA      | $53599.90      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CE3958 GN 09/51 FIXED 4                           | CUSIP: 3617VSMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79658 | PA      | $75292.84      | 0.00%             | 2051-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7613 FR 07/30 FIXED 3.5                 | CUSIP: 3132A8N62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27348 | PA      | $27082.92      | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9360 FN 01/27 FIXED 3.5                         | CUSIP: 3138E2MJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4030 | PA      | $4013.06       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2D                | CUSIP: 61753VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3552661 | PA      | $1110568.35    | 0.00%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $16894.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -288 | NC      | $-302925.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DRYDEN 86 CLO LTD 2020-86A                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2020 86A A1R2 144A            | CUSIP: 26245XAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4200000 | PA      | $4204380.81    | 0.01%             | 2034-07-17      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/26 5.88            | CUSIP: 86562MDA5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      2300000 | PA      | $2310678.65    | 0.00%             | 2026-07-13      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9234 FN 06/48 FIXED 4                           | CUSIP: 3140HBHL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       569097 | PA      | $544857.44     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889829 FN 07/35 FIXED VAR                         | CUSIP: 31410KSS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2037 | PA      | $2046.26       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1                  | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       624535 | PA      | $487337.06     | 0.00%             | 2035-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                                   | EPH FIN INTERNATIONAL AS COMPANY GUAR REGS 11/28 6.651      | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |     16400000 | PA      | $20064212.33   | 0.04%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                              | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A             | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     13386452 | PA      | $15491972.39   | 0.03%             | 2033-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR                  | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     25900000 | PA      | $25547583.62   | 0.05%             | 2027-09-22      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13          | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       908052 | PA      | $350613.08     | 0.00%             | 2036-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0777 FN 06/31 FIXED 5                           | CUSIP: 31417Y2K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9520 | PA      | $9635.77       | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC50A6 PIMCO SWAPTION 2.54 CALL EUR 2026041              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -23100000 | NC      | $-3543.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                     | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                    | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     15200000 | PA      | $17684449.56   | 0.04%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8279 FR 11/52 FIXED 6                   | CUSIP: 3132DWFU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155045 | PA      | $159239.84     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                              | BRANDYWINE OPER PARTNERS COMPANY GUAR 10/29 4.55            | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     16500000 | PA      | $15063302.27   | 0.03%             | 2029-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-367835.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813599 FN 01/36 FLOATING VAR                      | CUSIP: 31406L3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37873 | PA      | $38967.94      | 0.00%             | 2036-01-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985896 FN 08/38 FIXED 5.5                         | CUSIP: 31415QGD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          178 | PA      | $179.92        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 789606 FN 08/34 FIXED 6                           | CUSIP: 31405HGP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35794 | PA      | $36513.62      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 6A1              | CUSIP: 863579Q43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       789524 | PA      | $601579.73     | 0.00%             | 2036-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893479 FN 09/36 FIXED 6                           | CUSIP: 31410PUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1037 | PA      | $1082.50       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV3                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV3 PT 144A            | CUSIP: 46594MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53607798 | PA      | $54114675.46   | 0.12%             | 2056-04-25      | Variable      | 7.46%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-188014.30    | -0.00%            |  |  |  | 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        |         6061 | PA      | $6069.66       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3394 FN 06/53 FIXED 5.5                         | CUSIP: 3140NKXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1190560 | PA      | $1199733.14    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915016 FN 04/37 FIXED 6                           | CUSIP: 31411USD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       213987 | PA      | $221980.44     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                              | OCEANVIEW MORTGAGE TRUST BVINV 2021 5 A1 144A               | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33537770 | PA      | $29169103.37   | 0.06%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6405 FN 12/45 FIXED 4                           | CUSIP: 3138WGDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1940114 | PA      | $1865181.51    | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                                | CUSIP: 22823QDG3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     33700000 | PA      | $33637034.92   | 0.07%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H13                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H13 FT              | CUSIP: 38375B2L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       246085 | PA      | $246149.81     | 0.00%             | 2063-05-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 892397 G2 02/60 FLOATING VAR                   | CUSIP: 36208A7J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       808674 | PA      | $814498.76     | 0.00%             | 2060-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                     | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3708001 | PA      | $1199536.34    | 0.00%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A E                       | CUSIP: ACI2Q4KR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      2643000 | PA      | $2987787.46    | 0.01%             | 2067-08-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080409 G2 05/30 FLOATING VAR                   | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17035 | PA      | $17066.61      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080388 G2 03/30 FLOATING VAR                   | CUSIP: 36225CNE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24787 | PA      | $24862.29      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/42 3.25                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    239616100 | PA      | $197505441.83  | 0.42%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889451 FN 05/38 FIXED VAR                         | CUSIP: 31410KEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       369900 | PA      | $382587.76     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-BNC1                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC1 A2            | CUSIP: 86358EKV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113059 | PA      | $118653.08     | 0.00%             | 2034-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6786 FN 02/54 FIXED VAR                         | CUSIP: 3140XNRG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28149 | PA      | $28372.25      | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A            | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259469 | PA      | $257063.55     | 0.00%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6461 FN 09/46 FIXED 4                           | CUSIP: 3140FEFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267207 | PA      | $255930.75     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1081366.12    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1           | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116716 | PA      | $106346.20     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941341 FN 08/37 FIXED 6                           | CUSIP: 31413CHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6635 | PA      | $6893.24       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AN8477 GN 08/45 FIXED 3.5                         | CUSIP: 36186SM21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96661 | PA      | $90874.83      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3645 FN 05/28 FIXED VAR                         | CUSIP: 3138ELBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6872 | PA      | $6820.38       | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1273481.60   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) JUN26 XCBT 20260630                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1418 | NC      | $365908.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                                   | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2            | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225550 | PA      | $220197.66     | 0.00%             | 2029-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-RR2                                                          | BCAP LLC TRUST BCAP 2008 RR2 A6 144A                        | CUSIP: 05531TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145517 | PA      | $997293.10     | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840267 FN 11/35 FIXED 6                           | CUSIP: 31407TQU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          904 | PA      | $925.90        | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $16339.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-621689.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-16                                                        | FANNIE MAE FNR 2017 16 FM                                   | CUSIP: 3136AVB65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6594496 | PA      | $6492591.34    | 0.01%             | 2047-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892937 FN 08/36 FIXED 6                           | CUSIP: 31410PBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22388 | PA      | $22830.58      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4501 FN 03/46 FIXED 4                           | CUSIP: 3140F0AB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1959327 | PA      | $1879706.35    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9349 FN 03/29 FIXED 3.5                         | CUSIP: 3138XML73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       264518 | PA      | $261337.28     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                                   | CANTOR COMMERCIAL REAL ESTATE CF 2019 CF2 A5                | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7900000 | PA      | $7452477.64    | 0.02%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12355399 | PA      | $7288857.50    | 0.02%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3643 FN 11/52 FIXED VAR                         | CUSIP: 3140XKBM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       387859 | PA      | $391231.61     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3297 FN 05/35 FIXED VAR                         | CUSIP: 3140X6UX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       738328 | PA      | $715036.26     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-59246.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8107 FN 08/45 FIXED 4                           | CUSIP: 3140E1AH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7843 | PA      | $7544.15       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U79040 FG 07/29 FIXED 3.5                 | CUSIP: 3132G5BJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8378 | PA      | $8321.83       | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846229 FN 11/35 FLOATING VAR                      | CUSIP: 31408BEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69399 | PA      | $70866.85      | 0.00%             | 2035-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885413 FN 06/36 FIXED 6                           | CUSIP: 31410CVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32476 | PA      | $33992.69      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9036 FN 11/47 FIXED 4                           | CUSIP: 3140GYBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2064221 | PA      | $1978079.48    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/29 4.625                       | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     32943000 | PA      | $31293787.77   | 0.07%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $1075.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 479820 GN 12/30 FIXED 8                           | CUSIP: 36209SAV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2891 | PA      | $2926.64       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 8A1              | CUSIP: 863579R42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1435291 | PA      | $750006.95     | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -36900000 | NC      | $-178145.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 02/33 5.25             | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6200000 | PA      | $6083085.36    | 0.01%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91288 FG 02/30 FIXED 4.5                 | CUSIP: 3128P7ND1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4726 | PA      | $4751.45       | 0.00%             | 2030-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575           | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5043440 | PA      | $4976774.62    | 0.01%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829873 FN 07/35 FLOATING VAR                      | CUSIP: 31407F6J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20133 | PA      | $20731.62      | 0.00%             | 2035-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904700 FN 11/36 FIXED 6                           | CUSIP: 31411DDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21108 | PA      | $21723.03      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1          | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       575680 | PA      | $245477.31     | 0.00%             | 2036-10-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-HE1                                                     | ACE SECURITIES CORP. ACE 2003 HE1 M1                        | CUSIP: 004421DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777105 | PA      | $802144.24     | 0.00%             | 2033-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 05/28 VAR                  | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1981870.52    | 0.00%             | 2028-05-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2884900.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922569 FN 12/36 FIXED 6                           | CUSIP: 31412D6E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180787 | PA      | $187552.90     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-R1                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 R1 A3              | CUSIP: 45662JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1410327 | PA      | $1252643.77    | 0.00%             | 2035-12-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4217                                                          | FREDDIE MAC FHR 4217 F                                      | CUSIP: 3137B2JP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       272554 | PA      | $267803.72     | 0.00%             | 2043-06-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2551                                                                 | FREDDIE MAC FHR 2551 FD                                     | CUSIP: 31393JAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1142 | PA      | $1139.13       | 0.00%             | 2033-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $94076.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                              | LEHMAN MORTGAGE TRUST LMT 2006 3 1A1                        | CUSIP: 52520CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2461949 | PA      | $1163182.30    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-249454.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                               | FANNIE MAE FNR 2007 96 AF                                   | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44781 | PA      | $44890.77      | 0.00%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 2023 SECURITIZATION FUNDING LLC                                        | CONSUMERS 23 SECURE FUND SR SECURED 03/28 5.55              | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8553908 | PA      | $8623138.36    | 0.02%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER COMPANY                                                        | MONONGAHELA POWER CO 1ST MORTGAGE 144A 05/27 3.55           | CUSIP: 610202BR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4400000 | PA      | $4358072.80    | 0.01%             | 2027-05-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C55998 FG 10/29 FIXED 6.5                 | CUSIP: 31298SUX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2374 | PA      | $2457.40       | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823576 FN 08/35 FIXED 6                           | CUSIP: 31406X6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          744 | PA      | $765.73        | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-140884.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52473 FG 12/47 FIXED 4                   | CUSIP: 3132XUXB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       266499 | PA      | $255699.36     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3485 FN 05/29 FIXED 3.5                         | CUSIP: 3138XS2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1453 | PA      | $1441.20       | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A ER 144A                           | CUSIP: ACI1747N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      9482000 | PA      | $10550972.30   | 0.02%             | 2054-10-29      | Floating      | 6.54%                 | 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        |         5743 | PA      | $5740.93       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0926 FN 04/40 FIXED VAR                         | CUSIP: 31418NA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19639 | PA      | $20194.00      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 06/27 4.75                  | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      2372000 | PA      | $2377111.57    | 0.01%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER 05/26 ZCP                           | CUSIP: 40412DEB1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     47900000 | PA      | $47661386.15   | 0.10%             | 2026-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882040 FN 05/36 FIXED 6                           | CUSIP: 31409X4Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2144 | PA      | $2238.08       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 805530 FN 11/34 FIXED 6                           | CUSIP: 31406B4P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30929 | PA      | $31920.98      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING COMPANY LLC                                         | COLUMBIA PIPELINES OPCO SR UNSECURED 144A 08/30 5.927       | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3200000 | PA      | $3350568.93    | 0.01%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898851 FN 11/36 FIXED 6                           | CUSIP: 31410VTG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10697 | PA      | $11069.54      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $49884.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0559 FN 09/30 FIXED 5                           | CUSIP: 31417YTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17137 | PA      | $17242.76      | 0.00%             | 2030-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 398058 FN 12/26 FIXED 8                           | CUSIP: 31378GE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            7 | PA      | $6.54          | 0.00%             | 2026-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3616 FR 10/26 FIXED 3.5                 | CUSIP: 3131X7AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4466 | PA      | $4445.12       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01220 FG 09/31 FIXED 6.5                 | CUSIP: 31292HK94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1712 | PA      | $1775.16       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172                | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      1500000 | PA      | $1421496.65    | 0.00%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 03/27 2.9                     | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       500000 | PA      | $492661.59     | 0.00%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 02/33 13.25                      | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 280894200000 | PA      | $75311132.60   | 0.16%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                                         | FANNIE MAE FNR 2025 6 FA                                    | CUSIP: 3136BUTN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21360035 | PA      | $21571584.32   | 0.05%             | 2055-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76473 12/17/24-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1644412.90    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 PT 144A         | CUSIP: 12653MAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145657259 | PA      | $137467752.62  | 0.29%             | 2058-04-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3           | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181291 | PA      | $202881.17     | 0.00%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CI7716 GN 11/51 FIXED 4                           | CUSIP: 3617XCSD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3841401 | PA      | $3614840.04    | 0.01%             | 2051-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/31 FIXED 2.951     | CUSIP: 88880LAN3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1630000 | PA      | $1490620.49    | 0.00%             | 2031-06-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4714 FN 06/53 FIXED 5                           | CUSIP: 3140NMGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       945094 | PA      | $935650.82     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 07/30 VAR               | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     19800000 | PA      | $20257600.37   | 0.04%             | 2030-07-10      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0544 FN 05/53 FIXED 5                           | CUSIP: 3140NGTA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247851 | PA      | $245746.28     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5001 FR 07/39 FIXED 3.5                 | CUSIP: 3133KYRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155627 | PA      | $149240.23     | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1248 FR 05/52 FIXED 4                   | CUSIP: 3133BAL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       839651 | PA      | $793434.60     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080021 G2 12/26 FLOATING VAR                   | CUSIP: 36225CAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4425 | PA      | $4424.21       | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 05/30 VAR                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     26700000 | PA      | $27359994.63   | 0.06%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934433 FN 09/38 FIXED 6                           | CUSIP: 31412TSW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48332 | PA      | $50694.83      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX3715 FN 06/27 FIXED 3.5                         | CUSIP: 3138Y5DV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          158 | PA      | $156.96        | 0.00%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A C 144A          | CUSIP: 21056EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5448840 | PA      | $5626899.73    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | 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        |         9353 | PA      | $9366.28       | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2             | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       118162 | PA      | $105664.48     | 0.00%             | 2045-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 06/27 4.35       | CUSIP: 928668BS0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     11580000 | PA      | $11549078.39   | 0.02%             | 2027-06-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2680 FN 11/45 FIXED 4                           | CUSIP: 3138YT6S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85960 | PA      | $82693.21      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $161314.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2076 FN 08/45 FIXED 4                           | CUSIP: 3140E6JW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173313 | PA      | $167626.73     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 01/30 VAR                       | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     23841000 | PA      | $24180244.56   | 0.05%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A C 144A                  | CUSIP: ACI34GB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1924000 | PA      | $2229676.33    | 0.00%             | 2059-08-22      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-4548.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2397 FN 04/28 FIXED 3                           | CUSIP: 3138WPUX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1093 | PA      | $1078.50       | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003153 G2 10/31 FIXED 8                        | CUSIP: 36202DQE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           40 | PA      | $40.07         | 0.00%             | 2031-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 987404 FN 10/38 FIXED 5.5                         | CUSIP: 31415R3M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2694 | PA      | $2747.84       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-AR21                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR21 1A1           | CUSIP: 22540V4R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1030 | PA      | $822.46        | 0.00%             | 2032-06-25      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2005-W1                                                     | FANNIEMAE WHOLE LOAN FNW 2005 W1 1A1                        | CUSIP: 31394CB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97591 | PA      | $101044.89     | 0.00%             | 2044-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 03/19/25-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-8901548.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2118                                                                 | FREDDIE MAC FHR 2118 PE                                     | CUSIP: 3133THS81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113107 | PA      | $115256.54     | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 03/18/26-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $541714.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0382 FH 10/35 FLOATING VAR              | CUSIP: 3128NCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       956378 | PA      | $990528.41     | 0.00%             | 2035-10-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR               | CUSIP: 61690U8C7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     25000000 | PA      | $25011106.75   | 0.05%             | 2028-05-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/26 3.875             | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     37682000 | PA      | $37634308.15   | 0.08%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1913 FH 05/37 FLOATING VAR              | CUSIP: 3128QSDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5477 | PA      | $5647.23       | 0.00%             | 2037-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0124 FN 02/33 FIXED 5                           | CUSIP: 31416VD68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1849 | PA      | $1862.72       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES3                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES3 PT 144A            | CUSIP: 46659XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26007705 | PA      | $27764913.45   | 0.06%             | 2055-10-25      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2007-FA4                                            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA4 1A8           | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       388162 | PA      | $125122.12     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080346 G2 11/29 FLOATING VAR                   | CUSIP: 36225CL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16641 | PA      | $16685.12      | 0.00%             | 2029-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7188 FN 05/46 FIXED 4                           | CUSIP: 3138WG7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1032044 | PA      | $993035.35     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 569095 FN 03/31 FIXED 8.5                         | CUSIP: 31386PGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12529 | PA      | $12564.20      | 0.00%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS COMPANY                                                        | NATIONAL FUEL GAS CO SR UNSECURED 03/31 2.95                | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     10900000 | PA      | $9913105.17    | 0.02%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 964072 FN 07/38 FIXED 5.5                         | CUSIP: 31414EQZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8771 | PA      | $9019.34       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-36180.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA5706 FN 01/46 FIXED 4                           | CUSIP: 3140EAKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126908 | PA      | $121815.84     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 25A1                  | CUSIP: 07386HUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3881220 | PA      | $2340895.36    | 0.00%             | 2035-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                       | VERIZON COMMUNICATIONS SR UNSECURED 11/45 5.75              | CUSIP: 92343VHH0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     10300000 | PA      | $10038159.37   | 0.02%             | 2045-11-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-27148.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                         | LEHMAN XS TRUST LXS 2006 12N A32A                           | CUSIP: 525226AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3045681 | PA      | $3034783.70    | 0.01%             | 2046-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 529481 GN 07/30 FIXED 8.5                         | CUSIP: 36212CFW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3486 | PA      | $3528.98       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909092 FN 09/37 FIXED 6                           | CUSIP: 31411H7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       613855 | PA      | $647655.03     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 475496 GN 07/28 FIXED 6.5                         | CUSIP: 36209MGD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2233 | PA      | $2256.75       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ9331 G2 01/47 FIXED 3                        | CUSIP: 3618ACLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2570033 | PA      | $2292783.21    | 0.00%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735269 FN 02/35 FIXED VAR                         | CUSIP: 31402Q2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20110 | PA      | $20790.42      | 0.00%             | 2035-02-01      | 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        |        69677 | PA      | $67856.44      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | 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        |         9081 | PA      | $9121.70       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3075 FN 11/39 FIXED VAR                         | CUSIP: 3140X6MZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7985 | PA      | $7647.00       | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                                    | ARGENT SECURITIES INC. ARSI 2006 W4 A2D                     | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21254877 | PA      | $5019906.81    | 0.01%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-39667.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                                             | ADNOC MURBAN RSC LTD SR UNSECURED 144A 09/29 4.25           | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |     13000000 | PA      | $12811166.68   | 0.03%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $78947.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A11         | CUSIP: 02149JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       811523 | PA      | $270344.42     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                              | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       600000 | PA      | $600000.00     | 0.00%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8823 FN 02/47 FIXED 4                           | CUSIP: 3138WJYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78481 | PA      | $75271.12      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLN 15 2 AA PTT PASS THRU CE 03/29 3.6               | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4735917 | PA      | $4682164.83    | 0.01%             | 2029-03-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922275 FN 12/36 FIXED 6                           | CUSIP: 31412DT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9762 | PA      | $10160.96      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A8             | CUSIP: 761119AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1316955 | PA      | $343870.60     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT SR UNSECURED 02/29 4.9                | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     53900000 | PA      | $54202547.17   | 0.12%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3596                                                                 | FREDDIE MAC FHR 3596 FC                                     | CUSIP: 31398KUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       382103 | PA      | $382338.33     | 0.00%             | 2035-08-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844435 FN 11/35 FIXED 6                           | CUSIP: 31407YEG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9342 | PA      | $9614.26       | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 442138 GN 11/26 FIXED 8                           | CUSIP: 36207UEK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           97 | PA      | $97.10         | 0.00%             | 2026-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ACCIDENT FUND INSURANCE CO OF AMERICA                                            | ACCIDENT FUND INS CO AM SUBORDINATED 144A 08/32 8.5         | CUSIP: 00452AAA8<br>LEI: 2549009NUX96RJZ6DQ30 | Long             | DBT              | CORP              | US        |     45000000 | PA      | $45050162.40   | 0.10%             | 2032-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                           | CASTLELAKE LP FIRST LIEN TERM LOAN                          | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     62690655 | PA      | $58741895.34   | 0.12%             | 2031-05-12      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| FNR-2005-13                                                                      | FANNIE MAE FNR 2005 13 FA                                   | CUSIP: 31394CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       249139 | PA      | $248040.83     | 0.00%             | 2035-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252874 FN 11/29 FIXED 7.5                         | CUSIP: 31371H2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2365 | PA      | $2429.99       | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866057 FN 03/36 FIXED 6                           | CUSIP: 31409BE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          593 | PA      | $622.57        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                            | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M4              | CUSIP: 71085PCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1465750 | PA      | $1410879.75    | 0.00%             | 2035-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2253                                                                 | FREDDIE MAC FHR 2253 Z                                      | CUSIP: 3133TPP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69720 | PA      | $71338.53      | 0.00%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3910 FN 11/30 FIXED VAR                         | CUSIP: 3140J8KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13707 | PA      | $13619.45      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 12/28 6.1                   | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1559327.31    | 0.00%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7774 FR 02/53 FIXED 5.5                 | CUSIP: 3133BVT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7605443 | PA      | $7673914.59    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 965682 FN 02/38 FIXED 5.5                         | CUSIP: 31414GJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1414 | PA      | $1450.71       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-159027.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3736 FN 08/43 FIXED 3                           | CUSIP: 3138X3EJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       472673 | PA      | $432798.50     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1               | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        27405 | PA      | $27733.60      | 0.00%             | 2028-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2002 3 4A1              | CUSIP: 576433BM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63570 | PA      | $63242.52      | 0.00%             | 2032-10-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA4484 FN 04/39 FIXED 5                           | CUSIP: 31416M6W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8196 | PA      | $8287.43       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7559 FN 07/46 FIXED 4                           | CUSIP: 3138WHMH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103043 | PA      | $99303.49      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815859 FN 02/35 FIXED 5.5                         | CUSIP: 31406PMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47536 | PA      | $49079.15      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A E 144A          | CUSIP: 21055PAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4398570 | PA      | $4440103.56    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852487 FN 12/35 FIXED 6                           | CUSIP: 31408JCY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4377 | PA      | $4464.45       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9389 FN 11/32 FIXED 3                           | CUSIP: 3140GYNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       721618 | PA      | $701173.27     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5072 FN 07/53 FIXED 5.5                         | CUSIP: 31418ET67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42892684 | PA      | $43252640.70   | 0.09%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     16501000 | PA      | $16456131.64   | 0.03%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PROJECT PANAMA SPV LIMITED LIABILITY CO                                          | PROJECT PANAMA SPV LLC 01/29 1                              | CUSIP: 74290GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46803000 | PA      | $47072473.42   | 0.10%             | 2029-01-03      | Floating      | 7.20%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 520031 FN 10/29 FIXED 5.5                         | CUSIP: 31384CVY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2280 | PA      | $2291.71       | 0.00%             | 2029-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA SR UNSECURED 03/28 VAR                   | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     19200000 | PA      | $19118700.48   | 0.04%             | 2028-03-24      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-47                                                        | FANNIE MAE FNR 2017 47 FE                                   | CUSIP: 3136AWXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5305410 | PA      | $5206984.24    | 0.01%             | 2047-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3017 FN 12/45 FIXED 4                           | CUSIP: 3140E7K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38268 | PA      | $36628.33      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                                | ITC HOLDINGS CORP SR UNSECURED 144A 05/30 2.95              | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |     20900000 | PA      | $19568801.46   | 0.04%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5039 FN 06/53 FIXED 5.5                         | CUSIP: 31418ES50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55377310 | PA      | $55867422.43   | 0.12%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 5A1             | CUSIP: 863579G77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       533610 | PA      | $302784.64     | 0.00%             | 2035-12-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -608 | NC      | $-80910.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP8746 FN 10/42 FIXED 3                           | CUSIP: 3138MCWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82603 | PA      | $75699.36      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5568 FR 05/54 FIXED 5.5                 | CUSIP: 3132DTFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27053525 | PA      | $27261299.30   | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-9AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 9AR 1A              | CUSIP: 61748HQW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12305 | PA      | $9164.39       | 0.00%             | 2035-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW2487 FN 06/29 FIXED 3.5                         | CUSIP: 3138XRXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6390 | PA      | $6318.32       | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV SR UNSECURED 144A 06/27 4.625          | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     35600000 | PA      | $35681513.32   | 0.08%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 PT 144A       | CUSIP: 36273CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20717807 | PA      | $18343612.52   | 0.04%             | 2064-07-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885411 FN 06/36 FIXED 5                           | CUSIP: 31410CVC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          971 | PA      | $966.72        | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A3             | CUSIP: 83611XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2120386 | PA      | $1549059.58    | 0.00%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP GST                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $17815.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9272 FN 02/29 FIXED 3.5                         | CUSIP: 3138XMJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53576 | PA      | $53065.28      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 09/21/26 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $14307.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $233261.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2AB3                  | CUSIP: 1266944B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3971729 | PA      | $3642572.78    | 0.01%             | 2036-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962371 FN 03/38 FIXED 5.5                         | CUSIP: 31414CT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23244 | PA      | $23877.60      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2164 FN 11/45 FIXED 3                           | CUSIP: 3140E6MN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20868 | PA      | $18996.71      | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1107 FN 06/49 FIXED VAR                         | CUSIP: 3140X4GR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10789158 | PA      | $10338762.31   | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34140000 | PA      | $34104948.46   | 0.07%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896002 FN 07/36 FIXED 6                           | CUSIP: 31410SNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1405 | PA      | $1457.94       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LQD US TRS EQUITY SOFR-55 CBK                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |            1 | NC      | $2383119.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 4.65             | CUSIP: 05565ECU7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $5425303.64    | 0.01%             | 2027-03-19      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 994897 FN 09/33 FIXED 5.5                         | CUSIP: 31416BGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27903 | PA      | $28520.58      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6689351 | PA      | $6608436.10    | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202458000 | PA      | $209277485.94  | 0.44%             | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H22                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H22 FD              | CUSIP: 38376RHB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2700091 | PA      | $2699321.09    | 0.01%             | 2065-09-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                      | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       890723 | PA      | $862132.65     | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A       | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8599000 | PA      | $8085234.69    | 0.02%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 555109 GN 08/31 FIXED 7                           | CUSIP: 36213HVA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          922 | PA      | $938.07        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                             | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3372794.42    | 0.01%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                             | GENERAL MOTORS FINL CO SR UNSECURED 05/27 VAR               | CUSIP: 37045XES1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     12100000 | PA      | $12172643.56   | 0.03%             | 2027-05-08      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7244 FN 02/53 FIXED 5.5                         | CUSIP: 3140NCBN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46050 | PA      | $46488.10      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                                       | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                      | CUSIP: 48130PEL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       300000 | PA      | $298427.79     | 0.00%             | 2026-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323995 FN 10/29 FIXED VAR                         | CUSIP: 31374T3C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1181 | PA      | $1204.56       | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR                  | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     25600000 | PA      | $26081129.47   | 0.06%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                            | AON NORTH AMERICA INC AON NORTH AMERICA INC                 | CUSIP: 03740MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6763000 | PA      | $6799275.11    | 0.01%             | 2027-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1              | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       657866 | PA      | $534711.65     | 0.00%             | 2046-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A             | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       678573 | PA      | $157225.11     | 0.00%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BF3228 GN 01/48 FIXED 4                           | CUSIP: 3617G9SR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5473 | PA      | $5180.22       | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                               | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85              | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      6100000 | PA      | $6127546.14    | 0.01%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/42 2.375                                 | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     86800000 | PA      | $63286015.41   | 0.13%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831811 FN 09/36 FIXED 6                           | CUSIP: 31407JDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15982 | PA      | $16774.76      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4214 FR 05/53 FIXED 5                   | CUSIP: 3133C4VF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1538781 | PA      | $1524276.89    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                  | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8450977 | PA      | $4424622.04    | 0.01%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A R 144A                  | CUSIP: ACI34GD13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       170000 | PA      | $2205215.16    | 0.00%             | 2059-08-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A              | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2596 | PA      | $2565.85       | 0.00%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 651267 FN 07/32 FIXED 6.5                         | CUSIP: 31390NQU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1034 | PA      | $1069.84       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                  | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  21993800000 | PA      | $15287511.71   | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $97881.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5277 FN 06/45 FIXED 4                           | CUSIP: 3138YW2K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       376912 | PA      | $363523.96     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 250641 FN 08/26 FIXED 7.5                         | CUSIP: 31371FLW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            5 | PA      | $4.93          | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 04/30 3.875                   | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     17657000 | PA      | $17200429.18   | 0.04%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535145 FN 02/30 FIXED VAR                         | CUSIP: 31384VP63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21928 | PA      | $22287.69      | 0.00%             | 2030-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 981038 FN 04/38 FIXED 5.5                         | CUSIP: 31415ALT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          625 | PA      | $641.71        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6883 FR 12/28 FIXED 3.5                 | CUSIP: 3132A7UG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25623 | PA      | $25414.19      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-459617.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-1818056.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 694376 FN 03/33 FLOATING VAR                      | CUSIP: 31400QMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8940 | PA      | $9095.90       | 0.00%             | 2033-03-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-44906.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-18                                                        | FANNIE MAE FNR 2017 18 FA                                   | CUSIP: 3136AVPY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3294737 | PA      | $3253013.24    | 0.01%             | 2047-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1             | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12726895 | PA      | $7347340.59    | 0.02%             | 2047-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7396 FN 01/27 FIXED 3.5                         | CUSIP: 3138XXGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60901 | PA      | $60623.41      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                                              | FANNIE MAE FNR 2009 111 FC                                  | CUSIP: 31398GQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2698 | PA      | $2708.97       | 0.00%             | 2038-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $41268728.61   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B                | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20800011 | PA      | $8412934.83    | 0.02%             | 2037-03-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 06/28 4.95                  | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1111503.61    | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION TRUST 26-1A                                   | CASTLELAKE AIRCRAFT SECURITIZA CLAST 2026 1A A 144A         | CUSIP: 148924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11000000 | PA      | $10819556.00   | 0.02%             | 2051-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2           | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       329033 | PA      | $286562.64     | 0.00%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900511 FN 10/36 FIXED 6                           | CUSIP: 31410XN44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2720 | PA      | $2773.62       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3147 FN 10/47 FIXED 3                           | CUSIP: 31418CP99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6089 | PA      | $5473.08       | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 615376 GN 07/33 FIXED 5                           | CUSIP: 36290RT94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3568 | PA      | $3565.98       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $130270.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0259 FN 11/28 FIXED 3.5                         | CUSIP: 3138XBJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112462 | PA      | $111222.48     | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9370 FN 07/43 FIXED 3                           | CUSIP: 3138WXMU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57511 | PA      | $52677.24      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-43212.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 10/30 VAR                       | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     25700000 | PA      | $25694015.24   | 0.05%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/31 6.388                      | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      8100000 | PA      | $8640806.46    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5584                                                          | FREDDIE MAC FHR 5584 DF                                     | CUSIP: 3137HNCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2353349 | PA      | $2364638.75    | 0.01%             | 2055-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 2A4                  | CUSIP: 46628BAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6373695 | PA      | $4945645.56    | 0.01%             | 2036-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-67                                                        | FANNIE MAE FNR 2016 67 AF                                   | CUSIP: 3136ATRP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2388366 | PA      | $2370961.05    | 0.01%             | 2046-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4               | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     15500000 | PA      | $16459762.33   | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008928 G2 07/26 FLOATING VAR                   | CUSIP: 36202K4M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1109 | PA      | $1107.27       | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $6823.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 04/30 5.24            | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     44100000 | PA      | $45076665.50   | 0.10%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2722 FN 08/46 FIXED 4                           | CUSIP: 31418CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133427 | PA      | $128163.24     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 819277 FN 07/35 FIXED 5.5                         | CUSIP: 31406TFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2918 | PA      | $2933.58       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | 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        |       159139 | PA      | $159827.31     | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8415 FN 11/46 FIXED 3                           | CUSIP: 3138WJK56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6128 | PA      | $5524.77       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880477 FN 05/36 FIXED 6                           | CUSIP: 31409WFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5488 | PA      | $5674.38       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821936 FN 06/35 FIXED 6                           | CUSIP: 31406WEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30614 | PA      | $31221.73      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 2022-27A LTD                                                            | AMERICAN MONEY MANAGEMENT CORP AMMC 2022 27A A1R 144A       | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10700000 | PA      | $10700664.36   | 0.02%             | 2037-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/44 1.375                                 | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     16047215 | PA      | $13272624.73   | 0.03%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754784 FN 04/34 FIXED 6                           | CUSIP: 31403QRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5975 | PA      | $6095.03       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 481417 FN 01/29 FIXED 6                           | CUSIP: 31382FYN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          363 | PA      | $370.61        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR0355 FN 08/43 FIXED 3                           | CUSIP: 3138NWMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26347 | PA      | $24181.92      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | 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        |        47356 | PA      | $43154.30      | 0.00%             | 2036-01-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | EXPEDIA GROUP INC COMPANY GUAR 08/27 4.625                  | CUSIP: 30212PBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1001025.79    | 0.00%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-6A                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 6A 1A1             | CUSIP: 007036PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6869 | PA      | $5974.97       | 0.00%             | 2035-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896519 FN 07/36 FIXED 6                           | CUSIP: 31410TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5293 | PA      | $5410.88       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A        | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23725179 | PA      | $19783496.37   | 0.04%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 954870 FN 11/37 FIXED 5.5                         | CUSIP: 31413TJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11014 | PA      | $11357.02      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2273                                                                 | FREDDIE MAC FHR 2273 PZ                                     | CUSIP: 3133TQPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       732133 | PA      | $737251.57     | 0.00%             | 2028-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                                              | FANNIE MAE FNR 2009 106 SL                                  | CUSIP: 31398GUQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36981 | PA      | $3505.50       | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 01/32 VAR                       | CUSIP: ACI3861C0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $11354194.12   | 0.02%             | 2032-01-23      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6175 GN 12/49 FIXED 4                           | CUSIP: 3617M42G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231619 | PA      | $218538.88     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8518 FR 02/29 FIXED 3.5                 | CUSIP: 3132A9PB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24092 | PA      | $23876.44      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6092 FN 01/46 FIXED 4                           | CUSIP: 3140EAXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49283 | PA      | $47292.74      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA              | CUSIP: 38382YN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14049926 | PA      | $14236382.89   | 0.03%             | 2073-01-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 791369 FN 09/34 FIXED 6                           | CUSIP: 31405KFJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16156 | PA      | $16627.36      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 622633 FN 06/31 FIXED 6                           | CUSIP: 31389DV20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6108 | PA      | $6227.64       | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7630 FR 08/53 FIXED 5.5                 | CUSIP: 3133C8PP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       782854 | PA      | $787509.92     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $179601.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0862 FH 08/35 FLOATING VAR              | CUSIP: 3128NC5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23992 | PA      | $24434.92      | 0.00%             | 2035-08-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0178 FN 05/53 FIXED 5                           | CUSIP: 3140NGFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2404277 | PA      | $2400050.42    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | 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        |        36752 | PA      | $38577.77      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/26 VAR                        | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     16800000 | PA      | $17048640.00   | 0.04%             | 2026-12-07      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| RENEW TREASURY IFSC PRIVATE LIMITED                                              | RENEW TREAS IFSC PVT LTD SR SECURED 144A 02/31 6.5          | CUSIP: 759963AA9<br>LEI: 335800IK4XWJ5637BW61 | Long             | DBT              | CORP              | IN        |     19000000 | PA      | $18467668.64   | 0.04%             | 2031-02-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                            | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3             | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       617498 | PA      | $473893.95     | 0.00%             | 2036-08-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 01/35 11.75                      | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 466622500000 | PA      | $115692505.19  | 0.25%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| AMAZONCOM INC                                                                    | AMAZON.COM INC SR UNSECURED 03/29 4                         | CUSIP: 023135DC7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      9600000 | PA      | $9553222.08    | 0.02%             | 2029-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008892 G2 06/26 FLOATING VAR                   | CUSIP: 36202K2Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          523 | PA      | $522.64        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 04/30 VAR                       | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       800000 | PA      | $823101.86     | 0.00%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3364                                                                 | FREDDIE MAC FHR 3364 FA                                     | CUSIP: 31397KKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       478661 | PA      | $478412.32     | 0.00%             | 2032-05-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX SA COMMON STOCK                            | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        19563 | NS      | $449949.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3698 FN 07/39 FIXED 3.5                         | CUSIP: 31418DDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       541460 | PA      | $519075.60     | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8172 FN 06/39 FIXED 5                           | CUSIP: 31416SCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5837 | PA      | $5897.92       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC 2000-26                                                         | FANNIE MAE FNR 2000 26 FP                                   | CUSIP: 31358SGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22475 | PA      | $22472.44      | 0.00%             | 2030-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9790 FN 11/40 FIXED 5                           | CUSIP: 31419L2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50002 | PA      | $50437.26      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5742 FN 07/29 FIXED VAR                         | CUSIP: 3138ENLY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57234 | PA      | $56759.75      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | 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        |         6179 | PA      | $6307.11       | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XI LTD 2018-11A                                                    | JAMESTOWN CLO LTD JTWN 2018 11A A1 144A                     | CUSIP: 47049QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       185025 | PA      | $185209.08     | 0.00%             | 2031-07-14      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754203 FN 12/33 FLOATING VAR                      | CUSIP: 31403N3L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38312 | PA      | $39145.64      | 0.00%             | 2033-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901006 FN 09/36 FLOATING VAR                      | CUSIP: 31410YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          112 | PA      | $115.37        | 0.00%             | 2036-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A1             | CUSIP: 939336Z30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       356258 | PA      | $347028.60     | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $57596.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725979 FN 03/34 FLOATING VAR                      | CUSIP: 31402DQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206991 | PA      | $211536.16     | 0.00%             | 2034-03-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -56600000 | NC      | $-295667.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0184 FN 09/29 FIXED 5                           | CUSIP: 31417YF28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23690 | PA      | $23878.66      | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5                 | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2573595 | PA      | $2592244.15    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | 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        |          870 | PA      | $870.69        | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1836 FR 04/53 FIXED 5.5                 | CUSIP: 3133C2BD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47480 | PA      | $47803.53      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735207 FN 04/34 FIXED VAR                         | CUSIP: 31402QYC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10737 | PA      | $11076.71      | 0.00%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                    | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      2200000 | PA      | $2306040.00    | 0.00%             | 2028-01-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-320927.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4062                                                          | FREDDIE MAC FHR 4062 AS                                     | CUSIP: 3137ARFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4072525 | PA      | $417659.83     | 0.00%             | 2042-06-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                                    | BGC GROUP INC SR UNSECURED 06/29 6.6                        | CUSIP: 05555LAB7<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |     12600000 | PA      | $13005369.59   | 0.03%             | 2029-06-10      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-12                                                               | FANNIE MAE FNR 2004 12 ZX                                   | CUSIP: 31393XBU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       504601 | PA      | $527096.76     | 0.00%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                             | GSAMP TRUST GSAMP 2007 FM2 A2B                              | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2346364 | PA      | $1444624.10    | 0.00%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843134 FN 11/35 FIXED 6                           | CUSIP: 31407WV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116367 | PA      | $121797.20     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923875 FN 04/37 FIXED 6                           | CUSIP: 31412FMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7679 | PA      | $7966.47       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652              | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     14200000 | PA      | $13657043.26   | 0.03%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5600 FN 08/45 FIXED 4                           | CUSIP: 3138WFGJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1712061 | PA      | $1647703.76    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915664 FN 04/37 FIXED 6                           | CUSIP: 31411VJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62554 | PA      | $64472.92      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                                    | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV4 A3 144A          | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73898353 | PA      | $61574827.49   | 0.13%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5838 FN 09/45 FIXED 4                           | CUSIP: 3138WFPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2584643 | PA      | $2487483.25    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 09/29 VAR                    | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     18900000 | PA      | $19645588.94   | 0.04%             | 2029-09-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6220 FN 05/53 FIXED 4.5                         | CUSIP: 3140QR4E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13394767 | PA      | $13016958.30   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 412543 FN 01/28 FIXED 6.5                         | CUSIP: 31378YHU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           12 | PA      | $12.55         | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 1A12         | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       582199 | PA      | $488843.23     | 0.00%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3021                                                                 | FREDDIE MAC FHR 3021 LP                                     | CUSIP: 31395XEJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7595 | PA      | $7826.91       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080142 G2 12/27 FLOATING VAR                   | CUSIP: 36225CEQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2531 | PA      | $2551.03       | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253974 FN 08/31 FIXED 7                           | CUSIP: 31371KCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1308 | PA      | $1327.17       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2090 FN 05/49 FIXED VAR                         | CUSIP: 3140X5KC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2829593 | PA      | $2951413.16    | 0.01%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FB              | CUSIP: 38382YN90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21698328 | PA      | $21874231.56   | 0.05%             | 2073-01-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $92429.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2024-A                                                | MMAF EQUIPMENT FINANCE LLC MMAF 2024 A A2 144A              | CUSIP: 55318CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       788369 | PA      | $789724.59     | 0.00%             | 2027-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A E 144A                  | CUSIP: ACI34G9N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       962000 | PA      | $1114369.48    | 0.00%             | 2059-08-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0620 G2 09/55 FIXED 4                        | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24856 | PA      | $23308.34      | 0.00%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-71316.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $22178630.10   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $12174.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/28 5.2                              | CUSIP: 404119CP2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     13020000 | PA      | $13217595.17   | 0.03%             | 2028-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | VENTAS REALTY LP COMPANY GUAR 01/30 3                       | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     23000000 | PA      | $21672199.42   | 0.05%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A            | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4275075 | PA      | $3717985.92    | 0.01%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                    | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6958 | PA      | $5119.62       | 0.00%             | 2035-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A1             | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1793170 | PA      | $612710.73     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KRATON CORP (AKA: KRATON PERFORMANCE POLYMERS INC)                               | KRATON CORP COMPANY GUAR 144A 07/27 5                       | CUSIP: 50077CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1209858.34    | 0.00%             | 2027-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 09/33 6.05                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     36100000 | PA      | $37866286.72   | 0.08%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -97627500 | NC      | $-80054.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5280254.07   | -0.01%            |  |  |  | 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        |         5966 | PA      | $6116.54       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754218 FN 12/33 FIXED 6                           | CUSIP: 31403N4B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1957 | PA      | $1996.12       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL MOTORS COMPANY SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $671933.24     | 0.00%             |  |  |  | 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        |        25690 | PA      | $26575.19      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002603 G2 06/28 FIXED 6.5                      | CUSIP: 36202C3L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2338 | PA      | $2429.40       | 0.00%             | 2028-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM5332 FR 01/48 FIXED 3                   | CUSIP: 3131XY4R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21800 | PA      | $19583.64      | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1231 FN 11/31 FIXED VAR                         | CUSIP: 3140J5LM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       765892 | PA      | $758453.22     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2879 FN 01/47 FIXED 4                           | CUSIP: 31418CFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22343 | PA      | $21429.52      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -30500000 | NC      | $-38112.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $13027.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5918 FN 09/43 FIXED 3                           | CUSIP: 3138X5SG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319094 | PA      | $291908.18     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-432317.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.4633 06/14/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2587583.93   | -0.01%            |  |  |  | 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        |          170 | PA      | $169.24        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                       | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15871000000 | PA      | $91916895.75   | 0.20%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 04/51 3.7               | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2200000 | PA      | $1362927.74    | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 557449 FN 10/30 FIXED 8.5                         | CUSIP: 31386AH25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12981 | PA      | $13331.94      | 0.00%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| XYLEM INC                                                                        | XYLEM INC SR UNSECURED 11/26 3.25                           | CUSIP: 98419MAJ9<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |      2400000 | PA      | $2388026.42    | 0.01%             | 2026-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR1                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR1 2A1            | CUSIP: 45669BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2727174 | PA      | $2469284.12    | 0.01%             | 2037-04-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                  | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    467740000 | PA      | $437927983.04  | 0.93%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5960 FR 07/53 FIXED 5.5                 | CUSIP: 3133C6TR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2839426 | PA      | $2862604.69    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                        | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2              | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1077281 | PA      | $910632.55     | 0.00%             | 2033-01-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A X 144A                  | CUSIP: ACI34G9P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       966338 | PA      | $1118383.76    | 0.00%             | 2059-08-22      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $28913.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2007 1 1A1                   | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1449668 | PA      | $1367778.30    | 0.00%             | 2047-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2025-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 25 1A PTT PASS THRU CE 11/39 4.9               | CUSIP: 02377NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18300000 | PA      | $17872129.53   | 0.04%             | 2039-11-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP BPS                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4084.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3               | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38901 | PA      | $38823.89      | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 PT 144A         | CUSIP: 12653HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11898363 | PA      | $9385266.58    | 0.02%             | 2057-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-18CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 18CB 2A25         | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4229422 | PA      | $2408700.71    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5986 FN 03/53 FIXED 5                           | CUSIP: 3140QRUL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       241346 | PA      | $239465.07     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -98669500 | NC      | $-78836.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA BONDS REGS 05/30 3.624                              | CUSIP: ACI1MJRS7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     25050000 | PA      | $27661539.32   | 0.06%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A E 144A          | CUSIP: 21056EAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2951247 | PA      | $2979303.53    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0109 FN 03/32 FIXED VAR                         | CUSIP: 3140XFDP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128789 | PA      | $127993.56     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH AMERICA FINANCE INC COMPANY GUAR 144A 05/27 3.4         | CUSIP: 12636YAA0<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1585188.22    | 0.00%             | 2027-05-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 2A1              | CUSIP: 2254585R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       396831 | PA      | $139669.76     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 07/29 VAR                       | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3461120.61    | 0.01%             | 2029-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 16 3 A PTT PASS THRU CE 04/30 3.25             | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5101125 | PA      | $4861434.46    | 0.01%             | 2030-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 3A1            | CUSIP: 93362FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       402342 | PA      | $367447.92     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | MOTOROLA SOLUTIONS INC SR UNSECURED 11/30 2.3               | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     11770000 | PA      | $10617265.15   | 0.02%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB0534 FN 11/38 FIXED 5.5                         | CUSIP: 31416VSY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3470 | PA      | $3582.73       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $70907.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV ING GROEP NV                                   | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      5700000 | PA      | $5821893.93    | 0.01%             | 2030-03-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6121 FN 11/45 FIXED 4                           | CUSIP: 3138WFYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71154 | PA      | $68479.38      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $299970.00     | 0.00%             | 2029-01-08      | Floating      | 12.66%                | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A              | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11226 | PA      | $11.85         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829708 FN 06/35 FLOATING VAR                      | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3172 | PA      | $3265.42       | 0.00%             | 2035-06-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL4894 GN 02/45 FIXED 3.5                         | CUSIP: 36184BNK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188166 | PA      | $176905.38     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 04/29 4.65            | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $6235550.50    | 0.01%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $70815.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3815 FN 04/40 FIXED 5.5                         | CUSIP: 31418RGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23575 | PA      | $24188.32      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 08/27 VAR             | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      1100000 | PA      | $1105309.72    | 0.00%             | 2027-08-07      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                  | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1091000 | PA      | $1100911.08    | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 SA 144A         | CUSIP: 06745JAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          764 | PA      | $761.75        | 0.00%             | 2064-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR7 1A1            | CUSIP: 45661ECW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       926379 | PA      | $760652.40     | 0.00%             | 2036-05-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4912 FN 03/46 FIXED 4                           | CUSIP: 3140F0N67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42158 | PA      | $40298.06      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                               | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13800000 | PA      | $13919838.23   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850761 FN 12/35 FIXED 6                           | CUSIP: 31408GFA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          947 | PA      | $994.24        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST COMPANY GUAR 09/30 2.7                 | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |       900000 | PA      | $821485.82     | 0.00%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A12          | CUSIP: 12668AJL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       197355 | PA      | $104297.32     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714     | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1680000 | PA      | $1332545.42    | 0.00%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3349 FN 06/45 FIXED 4                           | CUSIP: 3138YUWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31110 | PA      | $29934.20      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1031 FN 02/49 FIXED VAR                         | CUSIP: 3140X4ED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80441 | PA      | $83883.14      | 0.00%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                                         | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/31 3               | CUSIP: 63633DAF1<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |      6990000 | PA      | $6292856.40    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3438 FN 08/33 FIXED 3.5                         | CUSIP: 31418CZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81199 | PA      | $79812.28      | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910653 FN 02/37 FIXED 6                           | CUSIP: 31411KWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1076 | PA      | $1106.52       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-381561.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                                    | CITRUS RE LTD UNSECURED 144A 06/33 VAR                      | CUSIP: 177510AS3<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2033-06-07      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A11                 | CUSIP: 46628YBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2627836 | PA      | $800856.13     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2926 FN 02/27 FIXED 3.5                         | CUSIP: 31418CHC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4127 | PA      | $4109.84       | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC0484 FR 04/51 FIXED 3                   | CUSIP: 3133AJRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3077346 | PA      | $2711773.54    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A E 144A          | CUSIP: 21056DAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1615597 | PA      | $1630854.29    | 0.00%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-1291.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J1317 FH 04/36 FLOATING VAR              | CUSIP: 3128NHPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1781 | PA      | $1828.15       | 0.00%             | 2036-04-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5027 FR 01/40 FIXED 3                   | CUSIP: 3133KYSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3032076 | PA      | $2831008.29    | 0.01%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 549604 FN 08/30 FIXED 8                           | CUSIP: 31385QRZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           37 | PA      | $37.23         | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 688233 FN 02/33 FIXED 6                           | CUSIP: 31400HSW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          256 | PA      | $260.64        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A YR 144A                           | CUSIP: ACI1746Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       481000 | PA      | $0.83          | 0.00%             | 2054-10-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-109                                                       | FANNIE MAE FNR 2010 109 N                                   | CUSIP: 31398NRZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3495382 | PA      | $3354246.27    | 0.01%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-1                                                   | FREMONT HOME LOAN TRUST FHLT 2006 1 2A4                     | CUSIP: 35729PPB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2564635 | PA      | $2333653.97    | 0.00%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KDF8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     16400000 | PA      | $16371306.56   | 0.03%             | 2026-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $9503.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6772 FN 03/41 FIXED 5                           | CUSIP: 3138A8Q25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24376 | PA      | $24244.97      | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/41 4.375                                 | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     21676000 | PA      | $20884317.91   | 0.04%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1                  | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42329 | PA      | $41545.44      | 0.00%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A A 144A                  | CUSIP: ACI34G9Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     53488022 | PA      | $61892006.48   | 0.13%             | 2059-08-22      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/30 4                | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19400000 | PA      | $18631581.52   | 0.04%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 3R 1A11 144A         | CUSIP: 12640HAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5727690 | PA      | $5324397.41    | 0.01%             | 2037-07-27      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1312859.03    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH SECURED 09/30 4.352                     | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     18350000 | PA      | $18087426.18   | 0.04%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 771019 FN 04/34 FIXED 5                           | CUSIP: 31404KSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26450 | PA      | $26387.82      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF13                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2D            | CUSIP: 30247DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3083668 | PA      | $2025436.13    | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4144 FN 08/43 FIXED 3                           | CUSIP: 3138X3TA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68964 | PA      | $63156.94      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $178524.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5973 FN 04/46 FIXED 4                           | CUSIP: 3140F1T77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60214 | PA      | $57836.87      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1327 FN 01/37 FIXED 6                           | CUSIP: 31416JPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6762 | PA      | $6970.18       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNPAM-2018-1A                                                                    | BNPP IP EURO CLO BNPAM 2018 1A AR 144A                      | CUSIP: ACI1W1J88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2666692 | PA      | $3086128.69    | 0.01%             | 2031-04-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/50 0.25                                  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    145848735 | PA      | $82664164.98   | 0.18%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52            | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     19000000 | PA      | $19390059.93   | 0.04%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-177708.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-61512.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A            | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1815461 | PA      | $729689.56     | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9434 FN 03/53 FIXED 5.5                         | CUSIP: 3140NEPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18688033 | PA      | $18869378.48   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 514230 FN 09/29 FLOATING VAR                      | CUSIP: 31383VHF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          934 | PA      | $944.24        | 0.00%             | 2029-09-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3339                                                                 | FREDDIE MAC FHR 3339 FL                                     | CUSIP: 31397JYP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       306828 | PA      | $305991.72     | 0.00%             | 2037-07-15      | Floating      | 4.37%                 | 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        |      6014041 | PA      | $5891735.64    | 0.01%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8342 FN 10/47 FIXED 4                           | CUSIP: 3140FUHU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4110 | PA      | $3939.31       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0113 FH 03/35 FLOATING VAR              | CUSIP: 3128NCDS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115656 | PA      | $117401.52     | 0.00%             | 2035-03-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929413 FN 05/38 FIXED 5.5                         | CUSIP: 31412MSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          142 | PA      | $145.56        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                       | AMETEK INC DISC COML                                        | CUSIP: 03111CD91<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |     24000000 | PA      | $23976050.40   | 0.05%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                            | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR              | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |      2434000 | PA      | $2476473.30    | 0.01%             | 2029-04-09      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B3 144A         | CUSIP: 12653HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52427812 | PA      | $22457715.24   | 0.05%             | 2057-07-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 09/54 2.1                       | CUSIP: ACI2RLJN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1300250000 | PA      | $5942700.84    | 0.01%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A          | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3170683 | PA      | $3202527.92    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6127 FR 01/53 FIXED 5.5                 | CUSIP: 3133BTYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11262190 | PA      | $11354292.59   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                    | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/29 5.35       | CUSIP: 709599BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3662464.36    | 0.01%             | 2029-03-30      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0933 G2 02/56 FIXED 3.5                      | CUSIP: 3618N6BB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60199861 | PA      | $55258214.34   | 0.12%             | 2056-02-20      | Fixed         | 3.50%                 | 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        |        64355 | PA      | $65085.03      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                       | MARRIOTT INTERNATIONAL SR UNSECURED 09/26 5.45              | CUSIP: 571903BM4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      6500000 | PA      | $6526187.46    | 0.01%             | 2026-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD8695 FN 06/40 FIXED 5                           | CUSIP: 31418WUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20783 | PA      | $21000.45      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                      | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1368700000 | PA      | $75809216.28   | 0.16%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 01/30 VAR                       | CUSIP: 61748UAR3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2200000 | PA      | $2178260.41    | 0.00%             | 2030-01-09      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 01/30 7              | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      6800000 | PA      | $6946594.40    | 0.01%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A          | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3584289 | PA      | $1928258.23    | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 1A1              | CUSIP: 007036QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45665 | PA      | $44469.05      | 0.00%             | 2035-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $482715.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-5F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 5F 2A19                    | CUSIP: 36242D6P3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       592306 | PA      | $589571.94     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-6089.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $129084.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831469 FN 05/36 FIXED 6                           | CUSIP: 31407HW69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6238 | PA      | $6529.11       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                               | TENNESSEE GAS PIPELINE COMPANY GUAR 144A 03/30 2.9          | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4635000 | PA      | $4344326.36    | 0.01%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0866 FN 08/31 FIXED 5                           | CUSIP: 31417Y6C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4659 | PA      | $4696.19       | 0.00%             | 2031-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A2             | CUSIP: 05949AH94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128336 | PA      | $126161.28     | 0.00%             | 2035-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-44152.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 542100 FN 05/30 FIXED 8.5                         | CUSIP: 31385EGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           17 | PA      | $16.84         | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3511 FN 03/28 FIXED VAR                         | CUSIP: 3138EK3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3514 | PA      | $3490.73       | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5830 FR 07/53 FIXED 6                   | CUSIP: 3133C6PP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86634 | PA      | $89065.25      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR             | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $706440.00     | 0.00%             | 2031-06-05      | Floating      | 12.92%                | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                           | CHASEFLEX TRUST CFLX 2007 1 2A6                             | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1253131 | PA      | $380470.09     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY GLOBAL HOLDINGS INC                                                    | DISCOVERY HOLDINGS INC COMPANY GUAR 03/27 3.755             | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       222000 | PA      | $219400.38     | 0.00%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080756 G2 09/33 FLOATING VAR                   | CUSIP: 36225CZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1697 | PA      | $1709.69       | 0.00%             | 2033-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080364 G2 01/30 FLOATING VAR                   | CUSIP: 36225CMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3097 | PA      | $3094.36       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3191 FN 02/28 FIXED VAR                         | CUSIP: 3138EKRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47932 | PA      | $47673.96      | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 02/30 VAR                | CUSIP: 63901CAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1500000 | PA      | $1495800.00    | 0.00%             | 2030-02-26      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $178775.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A3              | CUSIP: 316599AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7360387 | PA      | $4843835.06    | 0.01%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-37937.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906874 FN 12/36 FIXED 6                           | CUSIP: 31411FQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3172 | PA      | $3234.32       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $33235.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887378 FN 07/36 FIXED 6                           | CUSIP: 31410E2K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1769 | PA      | $1812.77       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 947893 FN 11/37 FIXED 5.5                         | CUSIP: 31413KRN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1695 | PA      | $1750.10       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AI5193 GN 03/45 FIXED 3.5                         | CUSIP: 36198RXW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27276 | PA      | $25643.25      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6669 FN 02/46 FIXED 4                           | CUSIP: 3138YYMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20860 | PA      | $20002.14      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $24770.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK4146 FN 04/33 FIXED 3                           | CUSIP: 3140HHTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       539472 | PA      | $523922.52     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260423                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-33590.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260430                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $58709.38      | 0.00%             |  |  |  | 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        |         8363 | PA      | $8607.17       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 486467 GN 08/28 FIXED 7                           | CUSIP: 36210AMQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           65 | PA      | $65.82         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR                | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      5500000 | PA      | $5741450.00    | 0.01%             | 2032-03-13      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR3                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR3 2A1B           | CUSIP: 45660L5T2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1114545 | PA      | $753848.27     | 0.00%             | 2036-03-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008895 G2 06/26 FLOATING VAR                   | CUSIP: 36202K3C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           15 | PA      | $14.97         | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3831 FN 11/39 FIXED 3                           | CUSIP: 31418DHH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79464 | PA      | $74311.02      | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4006                                                          | FREDDIE MAC FHR 4006 CZ                                     | CUSIP: 3137ALRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1365084 | PA      | $1310272.60    | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/44 4.625                                 | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     24700000 | PA      | $23962376.98   | 0.05%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1312 FN 05/39 FIXED VAR                         | CUSIP: 3138EHN65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3773 | PA      | $3959.99       | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894843 FN 09/36 FIXED 6                           | CUSIP: 31410REQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28464 | PA      | $29129.00      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0368 FH 10/35 FLOATING VAR              | CUSIP: 3128NCMR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       288934 | PA      | $296376.81     | 0.00%             | 2035-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                                 | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 4A                | CUSIP: 61748HVQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79127 | PA      | $77250.33      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A          | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222914505 | PA      | $222246363.83  | 0.47%             | 2050-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 705357 GN 12/38 FIXED 6                           | CUSIP: 36296YTN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17551 | PA      | $18449.88      | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8028 FN 07/43 FIXED 3                           | CUSIP: 3138WV4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38108 | PA      | $34875.06      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-ZA                                         | STRUCTURED ASSET SECURITIES CO SASC 2006 ZA A2 144A         | CUSIP: 86362GAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2114669 | PA      | $1205816.61    | 0.00%             | 2037-01-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-RE1                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 RE1 A1            | CUSIP: 32051RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       941229 | PA      | $559355.74     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080023 G2 12/26 FLOATING VAR                   | CUSIP: 36225CAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3470 | PA      | $3482.39       | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323812 FN 07/29 FIXED VAR                         | CUSIP: 31374TVD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           42 | PA      | $43.06         | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5845879 | PA      | $-5844799.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 658732 FN 06/36 FIXED 6                           | CUSIP: 31390WY55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3782 | PA      | $3892.69       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 A1                      | CUSIP: 126694CD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       843613 | PA      | $438976.29     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882307 FN 07/36 FIXED 6                           | CUSIP: 31409YGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32973 | PA      | $33986.12      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3948 FR 06/53 FIXED 5                   | CUSIP: 3133C4L51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7035616 | PA      | $6974608.60    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CGMS-2021-9A                                                                     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2021 9A AR 144A         | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2500000 | PA      | $2500100.00    | 0.01%             | 2034-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2825                                                          | FREDDIE MAC FHR 2825 PZ                                     | CUSIP: 31395CQX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       678267 | PA      | $697216.53     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-140826.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7882 G2 02/52 FIXED 3                        | CUSIP: 36179WXK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2611911 | PA      | $2335109.94    | 0.00%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878210 FN 09/36 FIXED 6                           | CUSIP: 31409TVB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8054 | PA      | $8253.13       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885463 FN 06/36 FIXED 5                           | CUSIP: 31410CWY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5004 | PA      | $4967.20       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H14 FA              | CUSIP: 38382Y7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40139041 | PA      | $41095795.07   | 0.09%             | 2073-06-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/29 5.113           | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      7650000 | PA      | $7579859.37    | 0.02%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                   | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    131800000 | PA      | $7046728.82    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/28 VAR                         | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     20600000 | PA      | $20683812.13   | 0.04%             | 2028-09-10      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                                | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A               | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2790000 | PA      | $2762864.18    | 0.01%             | 2032-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3808 FN 08/53 FIXED 5.5                         | CUSIP: 3140NLGS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186380 | PA      | $188025.58     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1             | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192250 | PA      | $172805.74     | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/28 1.902           | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     22107000 | PA      | $20766864.60   | 0.04%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                               | ESSEX PORTFOLIO LP COMPANY GUAR 04/26 3.375                 | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |       880000 | PA      | $879603.39     | 0.00%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5451 FN 11/28 FIXED 3.5                         | CUSIP: 3138X5BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82626 | PA      | $81692.83      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                        | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |     38259327 | PA      | $43937373.23   | 0.09%             | 2026-04-15      | Floating      | 5.19%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0019 FR 06/34 FIXED 3.5                 | CUSIP: 3132CWAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       744205 | PA      | $730523.19     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893878 FN 10/36 FIXED 6                           | CUSIP: 31410QCP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57915 | PA      | $60610.04      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT0717 FR 10/33 FIXED 3.5                 | CUSIP: 3132ACYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       524711 | PA      | $515596.79     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3935 FN 09/46 FIXED 4                           | CUSIP: 3140FBLR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       460436 | PA      | $440762.02     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 1 2A1             | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       955790 | PA      | $833552.33     | 0.00%             | 2047-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | HESS CORPORATION SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $13209.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255771 FN 07/35 FIXED 6                           | CUSIP: 31371MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19753 | PA      | $20485.22      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     41900000 | PA      | $38084468.26   | 0.08%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                      | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |       250000 | PA      | $299394.10     | 0.00%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6668 FN 08/47 FIXED 4                           | CUSIP: 3140GVMS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107192 | PA      | $102718.93     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                            | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878      | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |      1700000 | PA      | $1587335.34    | 0.00%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 912590 FN 03/37 FIXED 6                           | CUSIP: 31411N2X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40337 | PA      | $41847.65      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G02554 FG 11/34 FIXED 6.5                 | CUSIP: 3128M4E33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          917 | PA      | $951.45        | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STIFEL FINANCIAL CORP                                                            | STIFEL FINANCIAL CORP SR UNSECURED 05/30 4                  | CUSIP: 860630AG7<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |     27600000 | PA      | $26831223.53   | 0.06%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                                    | VISTRA OPERATIONS CO LLC SR SECURED 144A 01/36 5.35         | CUSIP: 92840VAZ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      7000000 | PA      | $6852044.50    | 0.01%             | 2036-01-31      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-117                                                              | FANNIE MAE FNR 2006 117 DZ                                  | CUSIP: 31396LE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149795 | PA      | $156575.82     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                     | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6779134 | PA      | $2090512.80    | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 B                | CUSIP: 073914C27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          333 | PA      | $0.06          | 0.00%             | 2030-05-02      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $280372.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3292 FN 09/46 FIXED 4                           | CUSIP: 3140FAUS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150875 | PA      | $144579.46     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RS1                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS1 AI3            | CUSIP: 76112BT91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1997360 | PA      | $1877944.10    | 0.00%             | 2036-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-3X              | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3X A1 REGS        | CUSIP: U16711BJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80694 | PA      | $79217.44      | 0.00%             | 2035-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8043 G2 05/52 FIXED 3                        | CUSIP: 36179W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25124694 | PA      | $22462069.93   | 0.05%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA SR UNSECURED 144A 03/30 VAR        | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     10850000 | PA      | $11098435.71   | 0.02%             | 2030-03-05      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7926 FR 08/32 FIXED 3.5                 | CUSIP: 3132A8YX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52980 | PA      | $52234.41      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-72231.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/48 3.125                                 | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    154300000 | PA      | $116164995.71  | 0.25%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3223 FN 03/27 FIXED 3.5                         | CUSIP: 3138WQSM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11518 | PA      | $11477.74      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR9 A1             | CUSIP: 92922FWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60683 | PA      | $58198.59      | 0.00%             | 2034-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890296 FN 02/41 FIXED VAR                         | CUSIP: 31410LC91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89603 | PA      | $92135.11      | 0.00%             | 2041-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $27992.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A       | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       992338 | PA      | $990729.23     | 0.00%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9941 FN 06/53 FIXED 5.5                         | CUSIP: 3140NFBK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3041374 | PA      | $3066432.36    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/26 VAR                       | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |      8000000 | PA      | $8156000.00    | 0.02%             | 2026-06-08      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | GLENCORE FUNDING LLC COMPANY GUAR 144A 10/27 3.875          | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      1417000 | PA      | $1404067.74    | 0.00%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAP HLDGS INC                                | CUSIP: 65339NDM3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2793422.52    | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $50883.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8577 FN 10/45 FIXED 4                           | CUSIP: 3140E1Q71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42639 | PA      | $41036.44      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-89                                                        | FANNIE MAE FNR 2002 89 F                                    | CUSIP: 31392GNP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136010 | PA      | $135316.94     | 0.00%             | 2033-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2995 FN 05/47 FIXED 4                           | CUSIP: 31418CKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4922 | PA      | $4719.46       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3              | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       521915 | PA      | $455479.82     | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PROGRAM LOAN TRUST-1987-A                                              | COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5                 | CUSIP: 204012AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16891 | PA      | $16931.74      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT5976 FN 08/51 FIXED 3                           | CUSIP: 3140LUUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       440693 | PA      | $390923.56     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313449 FN 04/27 FLOATING VAR                      | CUSIP: 31374GEW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1446 | PA      | $1450.14       | 0.00%             | 2027-04-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC                                                   | CUSIP: 46652MDG7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      2900000 | PA      | $2894193.62    | 0.01%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A3              | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3747727 | PA      | $2582765.25    | 0.01%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260421                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $108066.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 04/26 4.55                        | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      5300000 | PA      | $5300003.60    | 0.01%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3247 FN 01/33 FIXED 3                           | CUSIP: 31418CTD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       238386 | PA      | $230241.32     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 684200 FN 01/33 FIXED 6                           | CUSIP: 31400DDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          391 | PA      | $399.15        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66                                                 | CUSIP: 71855BD17<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      6800000 | PA      | $6799248.60    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FG              | CUSIP: 38383KDF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15493842 | PA      | $15731576.29   | 0.03%             | 2073-08-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 12/34 FIXED 5.048     | CUSIP: 54627RAS9<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      3300000 | PA      | $3383156.70    | 0.01%             | 2034-12-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 2A2             | CUSIP: 93934FEN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       299660 | PA      | $279830.46     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LQD US TRS EQUITY SOFR-55 BPS                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |            1 | NC      | $5064128.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR               | CUSIP: 80282KBP0<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     20400000 | PA      | $20564638.81   | 0.04%             | 2029-03-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AX3359 G2 07/48 FIXED 4                        | CUSIP: 36196EWU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3423500 | PA      | $3232202.95    | 0.01%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97410 FG 09/27 FIXED 6                   | CUSIP: 3128E4GT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6323 | PA      | $6453.13       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | 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        |        23652 | PA      | $23259.07      | 0.00%             | 2032-08-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KDP6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      8798000 | PA      | $8774064.16    | 0.02%             | 2026-04-23      | None          | 0.00%                 | 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        |           30 | PA      | $29.87         | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A          | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       298417 | PA      | $281289.58     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | 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        |     21615000 | PA      | $21067870.31   | 0.04%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A            | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16900000 | PA      | $16347674.20   | 0.03%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7106 FR 02/30 FIXED 3.5                 | CUSIP: 3132A73P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1121 | PA      | $1111.08       | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A              | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3398323 | PA      | $3380503.53    | 0.01%             | 2045-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                     | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24440 | PA      | $11200.53      | 0.00%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 07/28 2.45                        | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     49373000 | PA      | $46010130.91   | 0.10%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817547 FN 10/35 FLOATING VAR                      | CUSIP: 31406RHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28515 | PA      | $29018.63      | 0.00%             | 2035-10-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813630 FN 07/35 FLOATING VAR                      | CUSIP: 31406L4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44615 | PA      | $45798.74      | 0.00%             | 2035-07-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                 | BRIXMOR OPERATING PART SR UNSECURED 06/26 4.125             | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      8500000 | PA      | $8495353.73    | 0.02%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6022 FN 02/53 FIXED 5.5                         | CUSIP: 3140NAVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       622080 | PA      | $627585.10     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780770 GN 04/28 FIXED 6                           | CUSIP: 36225A2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          273 | PA      | $277.78        | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 11AR A1             | CUSIP: 61748HTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5207688 | PA      | $2742280.11    | 0.01%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 4A1            | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6118354 | PA      | $5694870.13    | 0.01%             | 2037-03-25      | Floating      | 4.86%                 | 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        |         9937 | PA      | $10142.43      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283000000 | PA      | $283651245.26  | 0.60%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 986861 FN 08/38 FIXED 6                           | CUSIP: 31415RJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24695 | PA      | $25848.93      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A               | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11648000 | PA      | $15335447.70   | 0.03%             | 2049-12-21      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 394854 FN 05/27 FIXED 6.5                         | CUSIP: 31378CTK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          845 | PA      | $874.13        | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1500 FN 10/26 FIXED 4                           | CUSIP: 3138ASU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1108 | PA      | $1105.26       | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7726 FN 06/43 FIXED 3                           | CUSIP: 3138WVSQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312680 | PA      | $286104.66     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3004 FN 02/52 FIXED 3                           | CUSIP: 3140QNKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24738024 | PA      | $21771598.76   | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2734 FN 05/46 FIXED 4                           | CUSIP: 3140EXBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       498750 | PA      | $480207.42     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 06/29 6.1               | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000000 | PA      | $6216349.56    | 0.01%             | 2029-06-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                             | GSAMP TRUST GSAMP 2006 HE6 A4                               | CUSIP: 36245AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1232444 | PA      | $1068991.35    | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-505379.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-351212.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A             | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3431956 | PA      | $3505798.97    | 0.01%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                                   | URSA RE II LTD UNSECURED 144A 06/28 VAR                     | CUSIP: 91734PAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2000000 | PA      | $2019300.00    | 0.00%             | 2028-06-07      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-1236431.27   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 01/30 VAR                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     33000000 | PA      | $33480084.33   | 0.07%             | 2030-01-10      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 10/32 5.05              | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     26700000 | PA      | $26538562.99   | 0.06%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC HSBC HOLDINGS PLC                         | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      5600000 | PA      | $5663809.76    | 0.01%             | 2028-05-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FERGUSON FINANCE PLC                                                             | FERGUSON FINANCE PLC COMPANY GUAR 144A 06/30 3.25           | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |      4400000 | PA      | $4146719.85    | 0.01%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 03/27 2.55                 | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      1960000 | PA      | $1931917.86    | 0.00%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KE18<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     15700000 | PA      | $15641721.60   | 0.03%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR              | CUSIP: 3128NC6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          354 | PA      | $362.35        | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BE6839 G2 03/48 FIXED 4                        | CUSIP: 3617G1S41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4358028 | PA      | $4109145.96    | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/34 VAR                                      | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      5400000 | PA      | $5904090.43    | 0.01%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A           | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4800000 | PA      | $4264056.00    | 0.01%             | 2038-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT6764 FN 07/43 FIXED 3                           | CUSIP: 3138WUQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3930 | PA      | $3593.49       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2D            | CUSIP: 81376YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2693928 | PA      | $866303.74     | 0.00%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-24                                                               | FANNIE MAE FNR 2005 24 ZE                                   | CUSIP: 31394CF98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115444 | PA      | $117112.61     | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8889 FN 01/35 FIXED 3.5                         | CUSIP: 3140K42X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141989 | PA      | $139353.48     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1               | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2591147 | PA      | $2269459.59    | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0385 FN 12/38 FIXED VAR                         | CUSIP: 31418MNB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23910 | PA      | $24594.28      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A           | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1830781 | PA      | $1647138.58    | 0.00%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8442 FN 07/41 FIXED 5                           | CUSIP: 3138ANLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56656 | PA      | $57069.43      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357843 FN 07/35 FIXED 6                           | CUSIP: 31376KP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5628 | PA      | $5890.20       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2200000 | PA      | $2274690.00    | 0.00%             | 2032-06-07      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A16175 FG 08/29 FIXED 6.5                 | CUSIP: 31296Q2G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          985 | PA      | $1019.28       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3999 FR 06/53 FIXED 6                   | CUSIP: 3133C4NQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141809 | PA      | $144794.73     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-104                                                              | FANNIE MAE FNR 2006 104 FG                                  | CUSIP: 31396LLV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1356 | PA      | $1348.19       | 0.00%             | 2036-11-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 10 A5                      | CUSIP: 12545CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       535769 | PA      | $226869.25     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/27 4.25                        | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      6109000 | PA      | $6004412.09    | 0.01%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 PT1 144A        | CUSIP: 06745JAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29329241 | PA      | $29843978.08   | 0.06%             | 2064-03-25      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-4                                                    | GSAA HOME EQUITY TRUST GSAA 2006 4 3A1                      | CUSIP: 362334FG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3846251 | PA      | $1493825.48    | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR CAPITAL CORP SR UNSECURED 08/29 6.875                | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |       700000 | PA      | $688333.30     | 0.00%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889576 FN 04/38 FIXED VAR                         | CUSIP: 31410KJV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       703860 | PA      | $738730.79     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1 CLASS A PASS THROUGH TRUST                                     | AIR CANADA 2015 1A PTT PASS THRU CE 144A 09/28 3.6          | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      2609764 | PA      | $2574948.43    | 0.01%             | 2028-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756459 FN 10/33 FIXED 5                           | CUSIP: 31403SMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2240 | PA      | $2292.82       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894072 FN 10/36 FIXED 6                           | CUSIP: 31410QJR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          144 | PA      | $149.25        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE WAREHOUSE FINANCE 24-1A                                           | DUTCH MORTGAGE WAREHOUSE FINAN DMWF 2024 1A VFN 144A        | CUSIP: ACI2Q96P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      5712000 | PA      | $6602216.46    | 0.01%             | 2027-07-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $17282.62      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/53 1.5                   | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |            1 | PA      | $0.17          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260615                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-27602.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893318 FN 08/36 FIXED 6.5                         | CUSIP: 31410PPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          922 | PA      | $967.35        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002730 G2 03/29 FIXED 7                        | CUSIP: 36202DA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          734 | PA      | $756.40        | 0.00%             | 2029-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995112 FN 07/36 FIXED VAR                         | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          529 | PA      | $541.05        | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0795 FN 10/43 FIXED 4                           | CUSIP: 3138W93D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77758 | PA      | $75091.93      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B0349 FH 07/32 FLOATING VAR              | CUSIP: 31336R5J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1190 | PA      | $1217.50       | 0.00%             | 2032-07-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0556 FN 10/45 FIXED 4                           | CUSIP: 3138YRTN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       496774 | PA      | $477277.85     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC 2026-FL11                                         | FS RIALTO ISSUER LTD FSRIA 2026 FL11 A 144A                 | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14000000 | PA      | $14002672.88   | 0.03%             | 2044-01-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| KEURIG GREEN MOUNTAIN (MAPLE PARENT HOLDINGS CORP)                               | MAPLE PARENT HLDS CO COMPANY GUAR 144A 03/29 4.75           | CUSIP: 56530KAA4<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |      5900000 | PA      | $5900373.82    | 0.01%             | 2029-03-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    842000000 | PA      | $857057216.56  | 1.82%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 991525 FN 11/38 FIXED 6                           | CUSIP: 31415WPJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179854 | PA      | $185923.72     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-687.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                                  | VERAISON RE LTD UNSECURED 144A 03/34 VAR                    | CUSIP: 92335TAG4<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300195.00     | 0.00%             | 2034-03-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                  | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    369540000 | PA      | $375360813.01  | 0.80%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8705 FR 07/33 FIXED 3.5                 | CUSIP: 3132A9U62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       398431 | PA      | $391672.33     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940804 FN 07/37 FIXED 6                           | CUSIP: 31413BU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6460 | PA      | $6761.88       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                                | CI FINANCIAL CORP COMPANY GUAR 144A 12/31 4.625             | CUSIP: ACI379J02<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     19700000 | PA      | $22806731.38   | 0.05%             | 2031-12-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/27 5.594                | CUSIP: 65535HBR9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     11300000 | PA      | $11440745.91   | 0.02%             | 2027-07-02      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR2 2A1            | CUSIP: 92925CDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6724082 | PA      | $6065607.70    | 0.01%             | 2036-03-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                                | HUNTINGTON INGALLS INDUS COMPANY GUAR 08/28 2.043           | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9477649.50    | 0.02%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB              | CUSIP: 38376RCF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       378437 | PA      | $378159.23     | 0.00%             | 2065-05-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2            | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4587768 | PA      | $3727552.41    | 0.01%             | 2035-09-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 1A1            | CUSIP: 12667GR62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110874 | PA      | $82155.36      | 0.00%             | 2035-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 08/29 11                         | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 321297100000 | PA      | $81008867.45   | 0.17%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                       | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1747 | PA      | $1759.34       | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $268.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3580 FN 12/45 FIXED 4                           | CUSIP: 3140E76S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12071 | PA      | $11586.91      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXII DAC 22A                                                         | HARVEST CLO HARVT 22A AR 144A                               | CUSIP: ACI211PS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      7359211 | PA      | $8506453.81    | 0.02%             | 2032-01-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A4 144A                         | CUSIP: 32115BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2248921 | PA      | $1136569.93    | 0.00%             | 2037-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902067 FN 12/36 FIXED 6                           | CUSIP: 31411AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86261 | PA      | $88398.14      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                               | TENNESSEE GAS PIPELINE COMPANY GUAR 10/28 7                 | CUSIP: 880451AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3900000 | PA      | $4140446.15    | 0.01%             | 2028-10-15      | Fixed         | 7.00%                 | 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        |        18381 | PA      | $17801.57      | 0.00%             | 2034-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H12                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H12 FB              | CUSIP: 38376RBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       241756 | PA      | $241963.61     | 0.00%             | 2065-05-20      | Floating      | 4.38%                 | 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        |         2043 | PA      | $2144.41       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46777 FG 03/47 FIXED 3.5                 | CUSIP: 3132WLQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       699970 | PA      | $655861.72     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 73110JAF9<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250562.50     | 0.00%             | 2029-01-08      | Floating      | 14.16%                | 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        |      7552484 | PA      | $7360050.06    | 0.02%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A3               | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7532746 | PA      | $2903636.20    | 0.01%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR1                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR1 2A5           | CUSIP: 94983JAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19671 | PA      | $19437.19      | 0.00%             | 2036-03-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-62                                                               | FANNIE MAE FNR 2001 62 PZ                                   | CUSIP: 31392AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       619035 | PA      | $642125.74     | 0.00%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3713 FN 11/44 FIXED 4                           | CUSIP: 3138WDDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       275005 | PA      | $264979.38     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $223131.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-1                                                   | LUMINENT MORTGAGE TRUST LUM 2007 1 1A1                      | CUSIP: 55028CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99617 | PA      | $90186.71      | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 04/27 6.45            | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      8105000 | PA      | $8259468.90    | 0.02%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1753 FH 10/35 FLOATING VAR              | CUSIP: 3128QJ5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       399529 | PA      | $411001.33     | 0.00%             | 2035-10-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BZ2346 FN 11/29 FIXED 4.3                         | CUSIP: 3140NWTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11735000 | PA      | $11745410.71   | 0.02%             | 2029-11-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887612 FN 07/36 FIXED 6                           | CUSIP: 31410FDR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41587 | PA      | $43176.35      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    532000000 | PA      | $541305775.92  | 1.15%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                            | IVORY COAST SR UNSECURED 144A 10/31 5.875                   | CUSIP: ACI1G4C61<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     20800000 | PA      | $23528394.62   | 0.05%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253398 FN 08/30 FIXED 8                           | CUSIP: 31371JNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          479 | PA      | $494.80        | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-265953.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AE3798 GN 07/45 FIXED 3.5                         | CUSIP: 36180WGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31974 | PA      | $30060.86      | 0.00%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2016-4                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2016 4 A3 144A               | CUSIP: 46647JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       663297 | PA      | $608262.08     | 0.00%             | 2046-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9545 FN 01/42 FIXED 4                           | CUSIP: 3138E2TB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17753 | PA      | $17144.65      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                            | RESLOC UK PLC RLOC 2007 1X M1B REGS                         | CUSIP: B1XCHGII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1107772 | PA      | $1398352.79    | 0.00%             | 2043-12-15      | Floating      | 4.07%                 | 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        |      1014974 | PA      | $1027304.44    | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3               | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11989894 | PA      | $11630303.59   | 0.02%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1            | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210839 | PA      | $168505.64     | 0.00%             | 2035-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB3375 FR 09/50 FIXED 3.5                 | CUSIP: 3133A9XC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13756 | PA      | $12745.13      | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC53A3 PIMCO SWAPTION 3.06 CALL USD 2026072              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2100100000 | NC      | $-1470070.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 24 A1                      | CUSIP: 126694JR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246230 | PA      | $120067.10     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2           | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12018 | PA      | $5319.12       | 0.00%             | 2037-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0416 FN 09/43 FIXED 4                           | CUSIP: 3138W9PA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231790 | PA      | $223844.61     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1869 FN 12/48 FIXED 3.5                         | CUSIP: 3140JWCF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5459 | PA      | $5173.40       | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7           | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    639056000 | PA      | $201220276.54  | 0.43%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A                | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107099 | PA      | $110200.81     | 0.00%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                       | BUONI POLIENNALI DEL TES SR UNSECURED REGS 08/31 1.1        | CUSIP: ACI2Y7KB2<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     17111115 | PA      | $20017000.68   | 0.04%             | 2031-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                    | PURPLE RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      7800000 | PA      | $8046480.00    | 0.02%             | 2027-06-07      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260423                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-41523.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/47 0.875                                 | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110338956 | PA      | $78344251.40   | 0.17%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003215 G2 03/32 FIXED 6.5                      | CUSIP: 36202DSC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          534 | PA      | $554.92        | 0.00%             | 2032-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |            1 | NC      | $-10835.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885569 FN 08/36 FIXED 6                           | CUSIP: 31410C2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          974 | PA      | $1010.51       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783903 GN 06/44 FIXED 3.5                         | CUSIP: 3622A2KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       504280 | PA      | $474377.97     | 0.00%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780977 GN 12/28 FIXED 7.5                         | CUSIP: 36225BCN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          408 | PA      | $414.30        | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1                | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16589430 | PA      | $15983589.05   | 0.03%             | 2046-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253397 FN 08/30 FIXED 7.5                         | CUSIP: 31371JNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          211 | PA      | $215.78        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                         | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                     | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2659708 | PA      | $22562.30      | 0.00%             | 2039-10-02      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2835 FN 12/46 FIXED 4                           | CUSIP: 31418CEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41753 | PA      | $40054.14      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3                     | CUSIP: 12669GUP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37335 | PA      | $25000.14      | 0.00%             | 2035-04-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 03/28 5.152        | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19800000 | PA      | $19901545.09   | 0.04%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT BONDS 12/34 3.25                        | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     89632000 | PA      | $63768953.48   | 0.14%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                     | SABINE PASS LIQUEFACTION SR SECURED 05/30 4.5               | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     29100000 | PA      | $28898399.57   | 0.06%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2733                                                          | FREDDIE MAC FHR 2733 FB                                     | CUSIP: 31394NT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64318 | PA      | $64400.64      | 0.00%             | 2033-10-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5999 FN 03/54 FIXED 5.5                         | CUSIP: 3140A6UZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2208848 | PA      | $2221872.92    | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2264                                                                 | FREDDIE MAC FHR 2264 PL                                     | CUSIP: 3133TPWN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5214 | PA      | $5385.27       | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1                   | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216027 | PA      | $199626.08     | 0.00%             | 2047-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2026 FN 11/45 FIXED 4                           | CUSIP: 3140E6HC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       445613 | PA      | $427758.60     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                              | DOLP TRUST DOLP 2021 NYC A 144A                             | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56700000 | PA      | $50938021.26   | 0.11%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-23                                                               | FANNIE MAE FNR 2002 23 FA                                   | CUSIP: 31392CCD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156014 | PA      | $157278.22     | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4041 FN 05/49 FIXED 6                           | CUSIP: 3140QBP36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       779915 | PA      | $812307.37     | 0.00%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1           | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204706 | PA      | $188810.86     | 0.00%             | 2035-02-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 835817 FN 10/35 FIXED 6                           | CUSIP: 31407NSE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          997 | PA      | $1044.96       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9258 FN 10/30 FIXED VAR                         | CUSIP: 3138ERJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85732 | PA      | $84955.87      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A           | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7823080 | PA      | $7827274.38    | 0.02%             | 2033-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                            | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/31 4.85         | CUSIP: 873923AE6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     12900000 | PA      | $12743663.22   | 0.03%             | 2031-03-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2434                                                                 | FREDDIE MAC FHR 2434 ZN                                     | CUSIP: 3133TVUQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112244 | PA      | $115345.67     | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 778753 GN 01/42 FIXED 3.5                         | CUSIP: 36176W5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32901 | PA      | $31057.55      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323159 FN 04/28 FIXED VAR                         | CUSIP: 31374S5U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           20 | PA      | $20.62         | 0.00%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0001 FR 04/52 FIXED 3                   | CUSIP: 3133B9AA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110711 | PA      | $98193.24      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2068836.73   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 10/29 3.625           | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     14300000 | PA      | $13752515.49   | 0.03%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-804665.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-369909.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $55012.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545382 FN 11/28 FIXED VAR                         | CUSIP: 31385H2P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          164 | PA      | $165.74        | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 4A              | CUSIP: 07384MR20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21836 | PA      | $21302.96      | 0.00%             | 2034-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 11A1                  | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       456010 | PA      | $438343.36     | 0.00%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25                   | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    208700000 | PA      | $9913997.72    | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-116                                                              | FANNIE MAE FNR 2006 116 S                                   | CUSIP: 31396LZE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20225 | PA      | $1854.52       | 0.00%             | 2036-12-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3772 FN 09/39 FIXED 3.5                         | CUSIP: 31418DFN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       212401 | PA      | $203420.16     | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                               | FANNIE MAE FNR 2007 14 F                                    | CUSIP: 31396PZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2514 | PA      | $2487.17       | 0.00%             | 2037-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7327 FN 04/47 FIXED 3                           | CUSIP: 3140FTD99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23528 | PA      | $21205.87      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION                         | NATIONAL RURAL UTIL COOP COLLATERAL T 03/31 1.35            | CUSIP: 637432NW1<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |       290000 | PA      | $248216.57     | 0.00%             | 2031-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831215 FN 01/36 FIXED 6                           | CUSIP: 31407HN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18920 | PA      | $19803.14      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC5962 FR 08/51 FIXED 3                   | CUSIP: 3133AQTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94834 | PA      | $84123.48      | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.625          | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     17400000 | PA      | $17270141.02   | 0.04%             | 2026-07-12      | Variable      | 1.62%                 | 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        |        19144 | PA      | $19251.16      | 0.00%             | 2030-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8647 FR 02/32 FIXED 3.5                 | CUSIP: 3132A9TC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144364 | PA      | $142321.08     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                  | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    644491000 | PA      | $637057698.60  | 1.35%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM5342 GN 04/45 FIXED 3.5                         | CUSIP: 36184S5B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       381124 | PA      | $358088.83     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC3                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M3             | CUSIP: 84751PHA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8588025 | PA      | $8360700.41    | 0.02%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5209 FN 08/47 FIXED 4                           | CUSIP: 3140GTYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9993 | PA      | $9567.99       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/55 2.375                                 | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     29674930 | PA      | $27610137.31   | 0.06%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A8           | CUSIP: 32052DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15218 | PA      | $3827.26       | 0.00%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $91082.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                                 | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A             | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       970611 | PA      | $545982.79     | 0.00%             | 2037-01-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 487582 GN 03/29 FIXED 6.5                         | CUSIP: 36210BUF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          114 | PA      | $115.76        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893468 FN 07/36 FIXED 6                           | CUSIP: 31410PTZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2667 | PA      | $2745.16       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080086 G2 06/27 FLOATING VAR                   | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30902 | PA      | $30997.42      | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $353760.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR              | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4808 | PA      | $4949.43       | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4729 FN 10/46 FIXED 3                           | CUSIP: 3140F0HF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29478 | PA      | $26575.89      | 0.00%             | 2046-10-01      | 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        |       142426 | PA      | $135116.32     | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $49240.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A E 144A          | CUSIP: 210928AK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4373351 | PA      | $4414653.42    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 834381 FN 08/35 FIXED 6                           | CUSIP: 31407L6S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1578 | PA      | $1651.40       | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 941428 FN 07/37 FIXED 6                           | CUSIP: 31413CLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7732 | PA      | $8021.16       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | 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        |          605 | PA      | $616.62        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7551 FR 07/53 FIXED 4.5                 | CUSIP: 3133C8L86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3234502 | PA      | $3129862.26    | 0.01%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-6.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3156                                                                 | FREDDIE MAC FHR 3156 PF                                     | CUSIP: 31396RAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166708 | PA      | $164892.37     | 0.00%             | 2036-05-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 03/51 3.3                           | CUSIP: 695114CX4<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |       100000 | PA      | $62457.62      | 0.00%             | 2051-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP3                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP3 PT 144A          | CUSIP: 12654RAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283399783 | PA      | $242142640.99  | 0.51%             | 2048-06-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $353704.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3            | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4589562 | PA      | $4623869.10    | 0.01%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2304                                                                 | FREDDIE MAC FHR 2304 PZ                                     | CUSIP: 3133TSMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166271 | PA      | $171980.02     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8896 FN 06/52 FIXED 4.5                         | CUSIP: 3140MN3E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18070 | PA      | $17496.80      | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 639055 FN 05/32 FIXED 6.5                         | CUSIP: 31389X5Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5199 | PA      | $5377.52       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SIK3 PIMCO CDSOPT PUT USD 0.8 20260617                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -223800000 | NC      | $-304996.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3361 FR 07/26 FIXED 3.5                 | CUSIP: 3131X6WW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2398 | PA      | $2388.64       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846399 FN 05/29 FIXED 8                           | CUSIP: 31408BKL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72075 | PA      | $73291.04      | 0.00%             | 2029-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-308788.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                             | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A       | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7800000 | PA      | $7278260.34    | 0.02%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG           | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $700000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 3A1                      | CUSIP: 81744HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       802296 | PA      | $586164.74     | 0.00%             | 2047-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 981444 FN 09/38 FIXED 6                           | CUSIP: 31415AZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8348 | PA      | $8583.22       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1125711.79   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A          | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9766006 | PA      | $9776120.18    | 0.02%             | 2037-02-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                          | CENTERPOINT ENER HOUSTON GENL REF MOR 10/28 5.2             | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      6600000 | PA      | $6749858.15    | 0.01%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6528 FN 11/43 FIXED 4                           | CUSIP: 3138X6HE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13999 | PA      | $13518.78      | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                               | FANNIE MAE FNR 2005 79 NF                                   | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8977 | PA      | $8925.81       | 0.00%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 827582 FN 06/35 FLOATING VAR                      | CUSIP: 31407DM77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42887 | PA      | $43757.64      | 0.00%             | 2035-06-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888205 FN 02/37 FIXED VAR                         | CUSIP: 31410FYA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4227 | PA      | $4456.59       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       568100 | PA      | $513366.85     | 0.00%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $242931.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3744 FN 01/53 FIXED 5.5                         | CUSIP: 3140N8ES3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       734343 | PA      | $741066.58     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2004-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2004 S9 1A23            | CUSIP: 76111XRB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111325 | PA      | $108294.41     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7133 FN 09/35 FIXED VAR                         | CUSIP: 3140XA4T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80474 | PA      | $78841.92      | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 12 10A1                    | CUSIP: 12669FN41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237321 | PA      | $225890.92     | 0.00%             | 2034-08-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6502 FN 05/46 FIXED 4                           | CUSIP: 3140F2GL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144504 | PA      | $138715.94     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0462 FN 11/28 FIXED 3.5                         | CUSIP: 3138XBQQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114428 | PA      | $113129.30     | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                      | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126114 | PA      | $131991.85     | 0.00%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8431 FR 05/54 FIXED 5.5                 | CUSIP: 3132DWLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94849554 | PA      | $95423344.93   | 0.20%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821433 FN 06/35 FIXED 6                           | CUSIP: 31406VSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3086 | PA      | $3147.53       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-8634.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-573530.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A12             | CUSIP: 05951KAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49819 | PA      | $43421.03      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 2A3               | CUSIP: 12668KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7190026 | PA      | $7486972.60    | 0.02%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-14284927.20  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0367 FN 06/53 FIXED 6                           | CUSIP: 3140NGMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4937564 | PA      | $5057236.73    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0598 FR 04/53 FIXED 5.5                 | CUSIP: 3133C0UX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       978253 | PA      | $995380.96     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 04/33 4.4               | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1850000 | PA      | $1730570.49    | 0.00%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER 2002-NC4                                              | MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 NC4 M1            | CUSIP: 61746WVS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       139351 | PA      | $139170.63     | 0.00%             | 2032-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 7A1              | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62182 | PA      | $55131.98      | 0.00%             | 2036-03-20      | Floating      | 4.17%                 | 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        |        38402 | PA      | $38200.79      | 0.00%             | 2035-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256750 FN 06/27 FIXED 5                           | CUSIP: 31371NEX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3454 | PA      | $3453.42       | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST2022-B35                                                 | BENCHMARK MORTGAGE TRUST BMARK 2022 B35 A5                  | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36500000 | PA      | $35342234.60   | 0.08%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2018-1                                              | RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2             | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       955900 | PA      | $985867.47     | 0.00%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                                     | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25         | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      6790113 | PA      | $6886607.48    | 0.01%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-3904.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 911402 FN 03/37 FIXED 6                           | CUSIP: 31411LRX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12911 | PA      | $13302.01      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8753 FN 06/39 FIXED 5                           | CUSIP: 31416SWP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52352 | PA      | $52900.02      | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVEST INC 2005-A1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A1 2A1             | CUSIP: 59020UQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3318 | PA      | $3364.89       | 0.00%             | 2034-12-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2048855.84   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/28 VAR                         | CUSIP: 06738ECQ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     46500000 | PA      | $46829256.27   | 0.10%             | 2028-03-12      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 830492 FN 06/35 FIXED 7                           | CUSIP: 31407GUR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41570 | PA      | $41931.35      | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A          | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23738117 | PA      | $23023811.14   | 0.05%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2688 FN 10/40 FIXED VAR                         | CUSIP: 3138EJ7A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       578356 | PA      | $607017.91     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9325 FN 02/48 FIXED 3                           | CUSIP: 3140HBLF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41573 | PA      | $37924.13      | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                | STORE CAPITAL LLC SR UNSECURED 11/30 2.75                   | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |      4160000 | PA      | $3747343.72    | 0.01%             | 2030-11-18      | Fixed         | 2.75%                 | 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        |        42077 | PA      | $42153.09      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                                 | CALIFORNIA ST HLTH FACS FING A CASMED 06/29 FIXED 2.584     | CUSIP: 13032UVG0<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |      3600000 | PA      | $3434486.04    | 0.01%             | 2029-06-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 09/29 0.65                   | CUSIP: ACI1FB9Q6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1200000 | PA      | $1259123.24    | 0.00%             | 2029-09-10      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                             | FIRST AMERICAN FINANCIAL SR UNSECURED 05/30 4               | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |      8290000 | PA      | $7912113.95    | 0.02%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-7                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1             | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5413 | PA      | $4177.84       | 0.00%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888743 FN 01/36 FIXED VAR                         | CUSIP: 31410GLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42576 | PA      | $44647.40      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2662 FN 01/52 FIXED 3                           | CUSIP: 3140QM5Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22617 | PA      | $20062.27      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                  | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4889081 | PA      | $2645593.46    | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 4                                     | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     82038900 | PA      | $74259625.30   | 0.16%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q05597 FG 01/42 FIXED 4.5                 | CUSIP: 3132GL3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132949 | PA      | $130707.91     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080327 G2 10/29 FLOATING VAR                   | CUSIP: 36225CLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38575 | PA      | $38544.94      | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                             | LXP INDUSTRIAL TRUST COMPANY GUAR 10/31 2.375               | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |      6200000 | PA      | $5390791.69    | 0.01%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 520775 GN 07/30 FIXED 9                           | CUSIP: 36211RQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2217 | PA      | $2286.22       | 0.00%             | 2030-07-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3503 FR 09/26 FIXED 3.5                 | CUSIP: 3131X63L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3198 | PA      | $3184.70       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1           | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1697898 | PA      | $1581296.32    | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1744 FH 08/35 FLOATING VAR              | CUSIP: 3128QJ5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1910 | PA      | $1955.72       | 0.00%             | 2035-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP SR UNSECURED 03/28 4                                | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       256000 | PA      | $254052.83     | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $405981.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6672 FN 07/53 FIXED 5                           | CUSIP: 3140QSMW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44832159 | PA      | $44622942.15   | 0.09%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0294 FN 08/45 FIXED 4                           | CUSIP: 3138YRKG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5179 | PA      | $4997.11       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A           | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16718 | PA      | $15721.96      | 0.00%             | 2034-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                             | GSAMP TRUST GSAMP 2006 FM1 A2D                              | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2844061 | PA      | $1864513.77    | 0.00%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 527128 GN 02/30 FIXED 8                           | CUSIP: 36211YSR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5043 | PA      | $5098.77       | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAP HLDGS INC                                | CUSIP: 65339NDQ4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1595689.28    | 0.00%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A2             | CUSIP: 43709XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       803376 | PA      | $567373.25     | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $213890.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 06/26 0.00000                                 | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       597000 | PA      | $591639.69     | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 46CB A12          | CUSIP: 12667G7F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       511012 | PA      | $329534.21     | 0.00%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |            1 | NC      | $205877.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3             | CUSIP: 61748HWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       493098 | PA      | $315768.80     | 0.00%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | EVERSOURCE ENERGY SR UNSECURED 12/30 4.45                   | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      9100000 | PA      | $8979866.35    | 0.02%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                                    | GSAA HOME EQUITY TRUST GSAA 2007 4 A3A                      | CUSIP: 3622EBAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1666717 | PA      | $660256.82     | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 684199 FN 01/33 FIXED 6                           | CUSIP: 31400DDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           35 | PA      | $35.21         | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-185191.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9             | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     14209000 | PA      | $13630445.33   | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3797                                                                 | FREDDIE MAC FHR 3797 FB                                     | CUSIP: 3137A5AL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       357532 | PA      | $356090.22     | 0.00%             | 2041-01-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                                      | PEACEHEALTH OBLIGATED GR SR UNSECURED 11/28 4.335           | CUSIP: 70462GAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3385177.16    | 0.01%             | 2028-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 PT 144A        | CUSIP: 173112AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330867286 | PA      | $270049511.30  | 0.57%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -58100000 | NC      | $-161715.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A       | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12406787 | PA      | $12507847.34   | 0.03%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D78440 FG 02/27 FIXED 7.5                 | CUSIP: 3128FLLV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          745 | PA      | $747.71        | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 3A3                  | CUSIP: 466247SL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13721 | PA      | $13755.60      | 0.00%             | 2035-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918622 FN 06/37 FIXED 6                           | CUSIP: 31411YSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35831 | PA      | $37503.25      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA BONDS 02/29 5.94                         | CUSIP: ACI16QTC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      3000000 | PA      | $898853.42     | 0.00%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR              | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       216634 | PA      | $223028.65     | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| ROCHESTER GAS AND ELECTRIC CORPORATION                                           | ROCHESTER GAS + ELECTRIC 1ST MORTGAGE 144A 12/30 1.85       | CUSIP: 771367CE7<br>LEI: 549300DD8M80WFTQO509 | Long             | DBT              | CORP              | US        |       600000 | PA      | $527564.89     | 0.00%             | 2030-12-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $372764.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 6.07                 | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     12000000 | PA      | $12379615.68   | 0.03%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-5                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 5 A1                      | CUSIP: 43739ECB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183532 | PA      | $180236.59     | 0.00%             | 2036-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 743877 FN 11/33 FIXED 6                           | CUSIP: 31403BM26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101157 | PA      | $103605.24     | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5451 FR 05/48 FIXED 3.5                 | CUSIP: 31329PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       501685 | PA      | $465957.79     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T19                                                 | FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A1                    | CUSIP: 31392GVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16694 | PA      | $17441.01      | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890653 FN 01/32 FIXED VAR                         | CUSIP: 31410LQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4726 | PA      | $4725.51       | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A4 A1              | CUSIP: 59020ULQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122634 | PA      | $117331.26     | 0.00%             | 2034-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3402 FR 07/26 FIXED 3.5                 | CUSIP: 3131X6X70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3013 | PA      | $3001.68       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901565 FN 10/36 FIXED 6                           | CUSIP: 31410YTW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          862 | PA      | $892.62        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6396 FN 03/53 FIXED 5.5                         | CUSIP: 3140QSDA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4630212 | PA      | $4669775.46    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 944126 FN 07/37 FIXED 6                           | CUSIP: 31413FLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128482 | PA      | $133806.66     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 736069 FN 09/33 FLOATING VAR                      | CUSIP: 31402RW62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1994 | PA      | $2040.27       | 0.00%             | 2033-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6788 FR 07/53 FIXED 5                   | CUSIP: 3133C7RH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77445 | PA      | $76663.66      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-11984.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905865 FN 11/36 FIXED 6                           | CUSIP: 31411EMN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15401 | PA      | $15856.27      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 17 A6                      | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83463 | PA      | $36233.44      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0371 FH 11/35 FLOATING VAR              | CUSIP: 3128NCMU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225754 | PA      | $231405.36     | 0.00%             | 2035-11-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS8 A4             | CUSIP: 74924RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       817243 | PA      | $804645.45     | 0.00%             | 2036-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $421157.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                       | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M3               | CUSIP: 00764MFD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       885806 | PA      | $860031.34     | 0.00%             | 2035-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 04/30 5.125        | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3419203.68    | 0.01%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $41584.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2022-L8                                             | MORGAN STANLEY CAPITAL I TRUST MSC 2022 L8 A5               | CUSIP: 61774LBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45800000 | PA      | $42645415.08   | 0.09%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA SR UNSECURED 144A 03/30 VAR                    | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      3000000 | PA      | $3082989.12    | 0.01%             | 2030-03-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1              | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1482932 | PA      | $1476023.44    | 0.00%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559803 FN 09/40 FLOATING VAR                      | CUSIP: 31386C3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       142811 | PA      | $143050.70     | 0.00%             | 2040-09-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1067 FN 12/31 FIXED VAR                         | CUSIP: 3140J5FH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217604 | PA      | $215215.27     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC SR UNSECURED 08/28 1.65                           | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      2850000 | PA      | $2688416.34    | 0.01%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-FS1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A       | CUSIP: 17313EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1231614 | PA      | $1191982.39    | 0.00%             | 2037-10-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H23 F               | CUSIP: 38376RB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       482975 | PA      | $484398.59     | 0.00%             | 2066-10-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 688772 FN 03/33 FIXED 6.5                         | CUSIP: 31400JFM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3422 | PA      | $3538.98       | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS7252 FN 11/53 FIXED VAR                         | CUSIP: 3140XPBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6025436 | PA      | $5965084.99    | 0.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826289 FN 09/32 FIXED 6                           | CUSIP: 31407B7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5323 | PA      | $5428.07       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-11632.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $106953.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-7                                                    | GSAA HOME EQUITY TRUST GSAA 2007 7 1A2                      | CUSIP: 36249BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128031 | PA      | $126719.57     | 0.00%             | 2037-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC 2025-2A                                                    | SWITCH ABS ISSUER, LLC SWTCH 2025 2A A21 144A               | CUSIP: 871044AS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13100000 | PA      | $12816825.16   | 0.03%             | 2055-10-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1               | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4673 | PA      | $1520.94       | 0.00%             | 2036-11-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-3                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 3 1A1             | CUSIP: 07387AAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13770 | PA      | $13611.45      | 0.00%             | 2035-06-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2127 FN 12/44 FIXED 4                           | CUSIP: 31418BLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119536 | PA      | $115202.99     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 09/31 VAR               | CUSIP: 60687YBL2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     12300000 | PA      | $10921764.21   | 0.02%             | 2031-09-08      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1              | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36693 | PA      | $36697.63      | 0.00%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 2A1                   | CUSIP: 07386HDL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177941 | PA      | $174703.01     | 0.00%             | 2033-12-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 917061 FN 05/37 FIXED 6                           | CUSIP: 31411WZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172384 | PA      | $178826.55     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1935 FN 03/33 FIXED 3                           | CUSIP: 3140HFEH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242996 | PA      | $234777.77     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N1582 FH 05/37 FLOATING VAR              | CUSIP: 3128QHXK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21833 | PA      | $22195.08      | 0.00%             | 2037-05-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 01/31 2.45                        | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     10600000 | PA      | $9382206.49    | 0.02%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                                        | FANNIE MAE FNR 2015 38 DS                                   | CUSIP: 3136APAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3111498 | PA      | $215207.38     | 0.00%             | 2055-06-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 3A4              | CUSIP: 05950NBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       365633 | PA      | $343193.22     | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9821 FN 12/26 FIXED 3.5                         | CUSIP: 3138E24F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1281 | PA      | $1275.29       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A2 144A         | CUSIP: 21055PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44490000 | PA      | $45722159.45   | 0.10%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                           | SAMMONS FINANCIAL GLOBAL SECURED 144A 12/29 5.1             | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |      5100000 | PA      | $5155319.85    | 0.01%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5015 FR 09/39 FIXED 3                   | CUSIP: 3133KYSC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1734557 | PA      | $1622358.41    | 0.00%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625              | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     12208000 | PA      | $12470472.00   | 0.03%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 2A1              | CUSIP: 25151YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2347 | PA      | $2343.59       | 0.00%             | 2037-08-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                              | CONSTELLATION ENERGY                                        | CUSIP: 21038QD19<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     21200000 | PA      | $21197436.92   | 0.05%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PROJ ALFA 3 TERM LOAN                                       | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |     11540528 | PA      | $11540528.12   | 0.02%             | 2026-10-21      | Floating      | 5.74%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-341132.32    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-4401.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1982                                                                 | FREDDIE MAC FHR 1982 Z                                      | CUSIP: 3133TAZT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2069 | PA      | $2068.07       | 0.00%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                            | PROJECT HUDSON II FIXED TERM LOAN                           | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |     26500000 | PA      | $26593562.49   | 0.06%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2524 FR 10/52 FIXED 4                   | CUSIP: 3132DPYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15934999 | PA      | $15051973.91   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL5331 GN 02/45 FIXED 3.5                         | CUSIP: 36184B4Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160546 | PA      | $150936.81     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2007-20D                                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20D 1               | CUSIP: 83162CQY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         3499 | PA      | $3508.87       | 0.00%             | 2027-04-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 816594 FN 02/35 FLOATING VAR                      | CUSIP: 31406QGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47811 | PA      | $48887.68      | 0.00%             | 2035-02-01      | Floating      | 5.62%                 | 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        |         7245 | PA      | $7275.32       | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-5605.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928210 FN 03/37 FIXED 6                           | CUSIP: 31412LGT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          778 | PA      | $807.53        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A2                  | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       392467 | PA      | $273908.08     | 0.00%             | 2036-02-25      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB2217 FN 05/54 FIXED 5.5                         | CUSIP: 3140ABPB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       422853 | PA      | $425324.81     | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP2004 GN 09/49 FIXED 4                           | CUSIP: 3617L8GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1520941 | PA      | $1435056.41    | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 2A4             | CUSIP: 05949CEG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       755301 | PA      | $732250.96     | 0.00%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 01/29 6.301        | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     16000000 | PA      | $16438817.60   | 0.03%             | 2029-01-09      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A1 3A              | CUSIP: 589929F37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40003 | PA      | $39510.23      | 0.00%             | 2032-12-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844552 FN 12/35 FIXED 6                           | CUSIP: 31407YH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          861 | PA      | $893.16        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4842 FN 12/52 FIXED 5.5                         | CUSIP: 31418ELY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8999220 | PA      | $9093527.00    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-43599.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2002-HE2                     | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE2 B             | CUSIP: 045413CW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2584950 | PA      | $2500703.31    | 0.01%             | 2032-08-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-66                                    | FHLMC STRUCTURED PASS THROUGH FSPC T 66 2A1                 | CUSIP: 31396FQ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       978419 | PA      | $957119.25     | 0.00%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-81                                                               | FANNIE MAE FNR 2007 81 AF                                   | CUSIP: 31396XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       152048 | PA      | $151478.82     | 0.00%             | 2037-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6222 FR 06/53 FIXED 5                   | CUSIP: 3133C64F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1217422 | PA      | $1215413.13    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS2                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS2 M3             | CUSIP: 75406BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200000 | PA      | $1187493.24    | 0.00%             | 2036-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4               | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     26200000 | PA      | $25273484.95   | 0.05%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4920 FN 02/53 FIXED 6                           | CUSIP: 31418EPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190325 | PA      | $195254.04     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5609                                                          | FREDDIE MAC FHR 5609 FC                                     | CUSIP: 3137HNXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11693898 | PA      | $11692934.66   | 0.02%             | 2055-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895272 FN 09/36 FIXED 6                           | CUSIP: 31410RT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8263 | PA      | $8571.53       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/46 1                                     | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     87018402 | PA      | $64611809.16   | 0.14%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8042 FR 04/35 FIXED 3.5                 | CUSIP: 3132D55B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3706662 | PA      | $3589744.67    | 0.01%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889533 FN 06/38 FIXED VAR                         | CUSIP: 31410KHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          612 | PA      | $630.26        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $355030.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | SOUTHERN CO SR UNSECURED 03/28 1.75                         | CUSIP: 842587DH7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      7190000 | PA      | $6845869.20    | 0.01%             | 2028-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY COMPANY                                 | ICON INVESTMENTS SIX DAC SR SECURED 05/27 5.809             | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |      1400000 | PA      | $1407476.42    | 0.00%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                              | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5                 | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8176770 | PA      | $8206661.18    | 0.02%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6043 FN 02/46 FIXED 4                           | CUSIP: 3140EAWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       548414 | PA      | $526324.68     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829398 FN 11/35 FIXED 5.5                         | CUSIP: 31407FNP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18576 | PA      | $19180.20      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $56380.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | BOSTON PROPERTIES LP SR UNSECURED 06/29 3.4                 | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     24141000 | PA      | $23147841.67   | 0.05%             | 2029-06-21      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.06280 11/14/24-5Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1793129.45    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 753994 FN 12/33 FIXED 6                           | CUSIP: 31403NUT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1632 | PA      | $1664.91       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A            | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3333347 | PA      | $3034931.26    | 0.01%             | 2037-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2B                   | CUSIP: 66988RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3364080 | PA      | $1104662.71    | 0.00%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260408                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $309281.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ3310 FN 11/42 FIXED 4                           | CUSIP: 3138MJVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28646 | PA      | $27836.03      | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $401920.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FT              | CUSIP: 38375BU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77057 | PA      | $77077.75      | 0.00%             | 2063-04-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 575690 FN 11/30 FIXED 8.5                         | CUSIP: 31386WRK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11735 | PA      | $12017.25      | 0.00%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.74800 03/03/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $585115.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-B                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 B M1              | CUSIP: 64352VNK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341868 | PA      | $340975.08     | 0.00%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $522948.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 805594 FN 10/34 FIXED 6                           | CUSIP: 31406B7F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58630 | PA      | $60777.62      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BA2666 GN 06/47 FIXED 5                           | CUSIP: 3617AE6B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67400 | PA      | $67444.82      | 0.00%             | 2047-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                              | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR                | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       500000 | PA      | $500000.00     | 0.00%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     18800000 | PA      | $19124691.23   | 0.04%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9E9 SMB 2026 B A1B SOFR30A+120BP                      | CUSIP: 990ACZVB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24112000 | PA      | $24112000.00   | 0.05%             | 2054-03-11      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| KIMCO REALTY OP LLC                                                              | KIMCO REALTY OP LLC COMPANY GUAR 03/28 1.9                  | CUSIP: 49446RAX7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |      3524000 | PA      | $3373534.40    | 0.01%             | 2028-03-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 2F4                            | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472556 | PA      | $402120.23     | 0.00%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8841 FN 02/31 FIXED VAR                         | CUSIP: 3138ETZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26664 | PA      | $26553.71      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 695403 FN 06/33 FIXED 5                           | CUSIP: 31400RRY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179640 | PA      | $181676.00     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 4A1                        | CUSIP: 52520MEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       571842 | PA      | $548665.24     | 0.00%             | 2036-01-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW4796 FN 04/44 FIXED 4                           | CUSIP: 3138XUKJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6053 | PA      | $5834.70       | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1            | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       623079 | PA      | $597366.31     | 0.00%             | 2035-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                                        | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A                | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     14354728 | PA      | $16570651.73   | 0.04%             | 2032-07-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A          | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27963000 | PA      | $28366198.50   | 0.06%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      7703000 | PA      | $7444416.84    | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-2                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2006 2 A6A                  | CUSIP: 12627HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1544645 | PA      | $411714.52     | 0.00%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                     | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1996 | PA      | $2053.18       | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 639127 FN 09/32 FIXED 6                           | CUSIP: 31389YA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          157 | PA      | $159.68        | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 730553 FN 08/33 FIXED 5                           | CUSIP: 31402JTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38552 | PA      | $39093.05      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896824 FN 07/36 FIXED 6                           | CUSIP: 31410TLD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1380 | PA      | $1432.09       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | 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        |         5269 | PA      | $5221.43       | 0.00%             | 2034-09-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995011 FN 10/38 FIXED VAR                         | CUSIP: 31416BKY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75059 | PA      | $77635.47      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1             | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1089804 | PA      | $1026203.02    | 0.00%             | 2035-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/42 2.75                                  | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    420200000 | PA      | $319762350.51  | 0.68%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A5             | CUSIP: 93935BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1859109 | PA      | $378512.65     | 0.00%             | 2036-07-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840123 FN 10/35 FIXED 6                           | CUSIP: 31407TLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10726 | PA      | $11038.62      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5993 FN 05/43 FIXED 3                           | CUSIP: 3138WTUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391996 | PA      | $356631.25     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $271835.56     | 0.00%             |  |  |  | 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        |         6438 | PA      | $6599.84       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $27861.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30315 FG 01/27 FIXED 6                   | CUSIP: 3128CUK47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          165 | PA      | $168.10        | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 2A1A            | CUSIP: 41161QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3345835 | PA      | $1506809.48    | 0.00%             | 2036-06-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8652 FR 04/32 FIXED 3.5                 | CUSIP: 3132A9TH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87194 | PA      | $85918.18      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | 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        |     25558904 | PA      | $25171046.69   | 0.05%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SENIOR LOAN ACTIVE EXCHA PIMCO SENIOR LOAN ACTIVE ETF | CUSIP: 72201R627<br>LEI: 549300YFT046RNVJXR73 | Long             | EC               | RF                | US        |       586600 | NS      | $28965956.04   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                     | ALIMENTATION COUCHETARD INC                                 | CUSIP: 01626VD18<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      1600000 | PA      | $1599821.44    | 0.00%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3235 FR 04/53 FIXED 4.5                 | CUSIP: 3133C3SY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3567564 | PA      | $3471196.30    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | 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        |       136520 | PA      | $98585.05      | 0.00%             | 2037-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923105 FN 03/37 FIXED 6                           | CUSIP: 31412ER24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          263 | PA      | $270.82        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 809492 FN 02/35 FIXED 6                           | CUSIP: 31406GKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46753 | PA      | $47678.62      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7342 FN 07/53 FIXED 4.5                         | CUSIP: 3140NCEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       813577 | PA      | $788975.36     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931802 FN 08/39 FIXED 5                           | CUSIP: 31412QGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16107 | PA      | $16286.86      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2479 FR 01/47 FIXED 4                   | CUSIP: 3131XVXG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5138028 | PA      | $4925750.67    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2006-1                                                          | MORTGAGEIT TRUST MHL 2006 1 1A1                             | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2085381 | PA      | $2018532.64    | 0.00%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-2                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 2 1A3             | CUSIP: 9393363K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2894593 | PA      | $2442449.68    | 0.01%             | 2035-04-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 673491 GN 04/38 FIXED 5                           | CUSIP: 36295LF89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4318 | PA      | $4361.16       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 09/28 VAR                                  | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     39900000 | PA      | $38365663.85   | 0.08%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1799 FR 03/34 FIXED 3.5                 | CUSIP: 3132AD7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70496 | PA      | $69221.44      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6714 G2 06/50 FIXED 5                        | CUSIP: 36179VN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53906 | PA      | $54447.64      | 0.00%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A10                     | CUSIP: 12669G3C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13821 | PA      | $7810.59       | 0.00%             | 2035-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30307 FG 01/27 FIXED 6                   | CUSIP: 3128CUKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           78 | PA      | $79.68         | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888757 FN 09/37 FLOATING VAR                      | CUSIP: 31410GME0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          526 | PA      | $543.68        | 0.00%             | 2037-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3984                                                          | FREDDIE MAC FHR 3984 DF                                     | CUSIP: 3137AKEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29862 | PA      | $29716.28      | 0.00%             | 2042-01-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                   | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6280000 | PA      | $5019918.63    | 0.01%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20600000 | PA      | $21457666.99   | 0.05%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/45 3                                     | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    477650000 | PA      | $363648376.52  | 0.77%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 01/28 VAR             | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     17700000 | PA      | $17832574.06   | 0.04%             | 2028-01-05      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2816 FN 05/27 FIXED 4                           | CUSIP: 3138LTDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          447 | PA      | $445.47        | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080137 G2 11/27 FLOATING VAR                   | CUSIP: 36225CEK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          152 | PA      | $152.93        | 0.00%             | 2027-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 984992 FN 08/38 FIXED 5.5                         | CUSIP: 31415PF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46083 | PA      | $47208.64      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE              | CUSIP: 38375UWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1132467 | PA      | $1137372.40    | 0.00%             | 2066-04-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      3300000 | PA      | $3027425.78    | 0.01%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-57192.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10400000 | PA      | $8687344.74    | 0.02%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-187864.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC 11/62 0                                  | CUSIP: ACI2P8113<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       247000 | PA      | $1356.76       | 0.00%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908197 FN 12/36 FIXED 6                           | CUSIP: 31411G7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          632 | PA      | $647.70        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985160 FN 09/38 FIXED 6                           | CUSIP: 31415PMH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          282 | PA      | $293.61        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/29 VAR                   | CUSIP: 45870GAJ5<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BD1041 GN 09/47 FIXED 3.5                         | CUSIP: 3617BGEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396089 | PA      | $371236.12     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D990 SMB 2026 B D 144A                                 | CUSIP: 990ACZUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17010000 | PA      | $16868835.71   | 0.04%             | 2054-03-11      | Fixed         | 6.27%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 SA 144A        | CUSIP: 17332EAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84465 | PA      | $83443.66      | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS                               | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A         | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6594405 | PA      | $5121949.13    | 0.01%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1870 FN 05/46 FIXED 4                           | CUSIP: 3140EWCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145800 | PA      | $139573.43     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895740 FN 08/36 FIXED 6                           | CUSIP: 31410SEM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          397 | PA      | $404.66        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2100                                                                 | FREDDIE MAC FHR 2100 Z                                      | CUSIP: 3133TH3Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46937 | PA      | $47572.50      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2B            | CUSIP: 84751PLM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22652082 | PA      | $7199293.91    | 0.02%             | 2037-02-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| ADANI TRANSMISSION STEP ONE LIMITED                                              | ADANI TRANS STEP ONE LTD SR SECURED REGS 08/26 4            | CUSIP: ACI0NYD68<br>LEI: 335800Z8CGS7O7D72N41 | Long             | DBT              | CORP              | IN        |      3704000 | PA      | $3702179.67    | 0.01%             | 2026-08-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2464 FN 12/52 FIXED 5.5                         | CUSIP: 3140N6W24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1017488 | PA      | $1027632.28    | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | 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        |        33068 | PA      | $32990.71      | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM8819 FR 09/48 FIXED 6                   | CUSIP: 3131Y3YQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       444381 | PA      | $461330.07     | 0.00%             | 2048-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2638 FR 06/26 FIXED 3.5                 | CUSIP: 31329K4X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          375 | PA      | $374.05        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C36445 FG 02/30 FIXED 7                   | CUSIP: 31294DES6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          348 | PA      | $365.97        | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/28 VAR                  | CUSIP: 46647PEN2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     11100000 | PA      | $11124515.13   | 0.02%             | 2028-10-22      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2064                                                          | FREDDIE MAC FHR 2064 ZA                                     | CUSIP: 3133TEMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31983 | PA      | $32257.32      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H33                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H33 FA              | CUSIP: 38376RNF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4142947 | PA      | $4149635.67    | 0.01%             | 2065-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2653 FR 08/26 FIXED 3.5                 | CUSIP: 31329K5N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           35 | PA      | $35.20         | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530223 GN 12/30 FIXED 8                           | CUSIP: 36212DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16076 | PA      | $16481.83      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A             | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1419 | PA      | $1312.63       | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS A1 144A                              | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    740900000 | PA      | $511184092.51  | 1.09%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 2107                                                                 | FREDDIE MAC FHR 2107 G                                      | CUSIP: 3133TGZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32210 | PA      | $32247.08      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5                 | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5765679 | PA      | $5814322.56    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDIA GREEN POWER HOLDINGS                                                       | INDIA GREEN POWER HOLD SECURED 144A 02/27 4                 | CUSIP: 45410LAA0<br>LEI: 254900I7N0GT4VVL6V29 | Long             | DBT              | CORP              | MU        |      4400000 | PA      | $4302051.29    | 0.01%             | 2027-02-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-21.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A          | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       236759 | PA      | $230624.25     | 0.00%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008913 G2 07/26 FLOATING VAR                   | CUSIP: 36202K3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          497 | PA      | $497.26        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/31 2.5                  | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      7760000 | PA      | $6934179.64    | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-37851.30     | -0.00%            |  |  |  | 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        |        14588 | PA      | $12705.96      | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1               | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12877 | PA      | $12456.75      | 0.00%             | 2035-10-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2017-FARM                                           | GS MORTGAGE SECURITIES TRUST GSMS 2017 FARM A 144A          | CUSIP: 36254XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1550000 | PA      | $1455616.94    | 0.00%             | 2043-01-10      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $390387.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 677522 GN 10/37 FIXED 5                           | CUSIP: 36295QVP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2126 | PA      | $2145.39       | 0.00%             | 2037-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8043 FN 07/43 FIXED 3                           | CUSIP: 3138WV5D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105002 | PA      | $98022.55      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6047 FN 05/29 FIXED VAR                         | CUSIP: 3140X9WH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39978 | PA      | $39614.07      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1348 FN 10/44 FIXED 4                           | CUSIP: 3138Y2QA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15597 | PA      | $14953.74      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                     | ALIMENTATION COUCHETARD INC                                 | CUSIP: 01626VDA8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      1600000 | PA      | $1598194.40    | 0.00%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 10 A3             | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3936485 | PA      | $3940882.60    | 0.01%             | 2035-10-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735060 FN 11/34 FIXED VAR                         | CUSIP: 31402QTR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          224 | PA      | $231.58        | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A R                       | CUSIP: ACI2Q4L01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       170000 | PA      | $5817719.48    | 0.01%             | 2067-08-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 952215 FN 11/37 FIXED 6                           | CUSIP: 31413QK49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          740 | PA      | $768.04        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/27 2.7                            | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      8125000 | PA      | $8013103.23    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                                                 | FREDDIE MAC FHR 3284 BI                                     | CUSIP: 31397FL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81313 | PA      | $7398.07       | 0.00%             | 2037-03-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 810426 FN 03/35 FIXED 6                           | CUSIP: 31406HLF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          381 | PA      | $388.10        | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257713 FN 05/37 FIXED 6                           | CUSIP: 31371PGW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6974 | PA      | $7136.64       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/28 VAR                 | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      6035000 | PA      | $6005831.09    | 0.01%             | 2028-01-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3540 FN 12/33 FIXED 3.5                         | CUSIP: 31418C5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80776 | PA      | $79360.28      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU7552 FN 10/28 FIXED 3.5                         | CUSIP: 3138X7MA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2560 | PA      | $2530.20       | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4169 FN 12/44 FIXED 4                           | CUSIP: 3138WDT35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6658 | PA      | $6414.85       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                          | DIGITAL REALTY TRUST LP COMPANY GUAR 07/28 4.45             | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |     43490000 | PA      | $43389802.95   | 0.09%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A1            | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       805036 | PA      | $701542.40     | 0.00%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO9769 FN 08/42 FIXED 4                           | CUSIP: 3138M12B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12501 | PA      | $12083.24      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                   | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                     | CUSIP: 36779CAU0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $400000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-21604.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9435 FN 05/43 FIXED 3                           | CUSIP: 31417GPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4649 | PA      | $4258.69       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290502                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $315370.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1920 FN 11/46 FIXED 4                           | CUSIP: 3140FMD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349229 | PA      | $334515.21     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908103 FN 08/36 FIXED 6                           | CUSIP: 31411G3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70802 | PA      | $72201.34      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A F                       | CUSIP: ACI2Q4L35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1844000 | PA      | $2083273.85    | 0.00%             | 2067-08-22      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 580928 GN 01/32 FIXED 7                           | CUSIP: 36201ELH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2694 | PA      | $2760.08       | 0.00%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 09/29 3.5                | CUSIP: ACI30CGM7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      6100000 | PA      | $6935266.61    | 0.01%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA BANCO SANTANDER SA                       | CUSIP: 05964HBC8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     24800000 | PA      | $24956145.51   | 0.05%             | 2028-03-14      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 01/30 6.25         | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     13000000 | PA      | $13303706.00   | 0.03%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC0769 FN 09/39 FIXED 5                           | CUSIP: 31417J2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2880 | PA      | $2905.13       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2940 FN 03/27 FIXED 3.5                         | CUSIP: 31418CHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93155 | PA      | $92784.55      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2491 FN 10/44 FIXED 4                           | CUSIP: 3138Y3XV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25628 | PA      | $24708.69      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4ZA1 PIMCO SWAPTION 2.92 PUT EUR 20260416              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -23100000 | NC      | $-85683.42     | -0.00%            |  |  |  | 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        |         2384 | PA      | $2466.68       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A10                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A10 A5             | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1072720 | PA      | $304069.48     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0632 FN 03/48 FIXED 4                           | CUSIP: 3140H1V23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71587 | PA      | $68546.69      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2463                                                                 | FREDDIE MAC FHR 2463 ZB                                     | CUSIP: 31392MU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131280 | PA      | $136709.90     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6304 FN 12/45 FIXED 4                           | CUSIP: 3138WGAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4913 | PA      | $4728.77       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 09/30 4.45                         | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3855743.40    | 0.01%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-E                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 E A1                  | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4681 | PA      | $4413.93       | 0.00%             | 2028-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3682 FN 06/34 FIXED 3.5                         | CUSIP: 31418DCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93753 | PA      | $91877.87      | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $637823.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A8            | CUSIP: 16163EAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       496788 | PA      | $252243.69     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9A7 SMB 2026 B A1A 144A                               | CUSIP: 990ACZVA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176820000 | PA      | $175751890.50  | 0.37%             | 2054-03-11      | Fixed         | 4.85%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1928502 | PA      | $997355.62     | 0.00%             | 2035-11-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I SR SECURED 144A 04/32 7.75           | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     10600000 | PA      | $10173836.75   | 0.02%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CL6201 GN 03/52 FIXED 4                           | CUSIP: 3617YD3J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193077 | PA      | $181638.83     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C76398 FG 02/33 FIXED 6.5                 | CUSIP: 31288FDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12520 | PA      | $12964.66      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                             | FIRSTENERGY PENN ELECTRI SR UNSECURED 144A 03/28 3.25       | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       600000 | PA      | $586919.86     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4749 FN 07/35 FIXED VAR                         | CUSIP: 3140X8H34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2227050 | PA      | $2183583.77    | 0.00%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FINANCING DAC                                                   | SMURFIT WESTROCK FIN COMPANY GUAR 01/36 5.185               | CUSIP: 83272YAC6<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |      4900000 | PA      | $4823754.04    | 0.01%             | 2036-01-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/31 VAR              | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     33200000 | PA      | $33742166.96   | 0.07%             | 2031-01-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A RC 144A                          | CUSIP: ACI2M18T3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |        14000 | PA      | $0.03          | 0.00%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 654952 FN 07/42 FLOATING VAR                      | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       334992 | PA      | $333273.95     | 0.00%             | 2042-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 08/28 4.8                          | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       300000 | PA      | $300175.43     | 0.00%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A3 144A              | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55966210 | PA      | $46560696.82   | 0.10%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1             | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46871 | PA      | $44385.51      | 0.00%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A            | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        11000 | PA      | $146287.69     | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1              | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162972 | PA      | $163371.70     | 0.00%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 960569 FN 01/38 FIXED 5.5                         | CUSIP: 31414AT28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19979 | PA      | $20564.83      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0850 FN 06/46 FIXED 4                           | CUSIP: 3140F75L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1761557 | PA      | $1694246.67    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                                  | LAVENDER TRUST LTS 2010 RR2A A4 144A                        | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3545375 | PA      | $1495917.98    | 0.00%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1504269.20    | 0.00%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 1A3             | CUSIP: 761120AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189689 | PA      | $90871.51      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA COMPANIES GLOBAL FUNDING                                         | MUTUAL OF OMAHA GLOBAL SECURED 144A 07/26 5.8               | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |      5800000 | PA      | $5827658.75    | 0.01%             | 2026-07-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A R 144A                        | CUSIP: ACI2V5FG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10500000 | PA      | $11137839.75   | 0.02%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9Y5 SMB 2026 B C 144A                                 | CUSIP: 990ACZVD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2126000 | PA      | $2107018.03    | 0.00%             | 2054-03-11      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                             | GCAT GCAT 2022 INV2 A5 144A                                 | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72186740 | PA      | $62780013.72   | 0.13%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BR6084 GN 12/49 FIXED 4                           | CUSIP: 3617M4XM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113667 | PA      | $107235.38     | 0.00%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA5816 FN 05/39 FIXED 5.5                         | CUSIP: 31416PPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2301 | PA      | $2355.30       | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-163988.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/42 0.00000                                        | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     96900000 | PA      | $42747990.24   | 0.09%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A5                  | CUSIP: 46629CAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194698 | PA      | $151986.69     | 0.00%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | ALLY FINANCIAL INC SR UNSECURED 01/30 VAR                   | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      8400000 | PA      | $8767747.97    | 0.02%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A       | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2407493 | PA      | $2416052.77    | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED P/T CERT T-11                                             | FHLMC STRUCTURED PASS THROUGH FSPC T 11 A8                  | CUSIP: 3133TDPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27676 | PA      | $27672.58      | 0.00%             | 2028-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 A2 144A          | CUSIP: 52473LAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208682637 | PA      | $193344817.89  | 0.41%             | 2056-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 06/26 3.7                     | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       600000 | PA      | $599082.22     | 0.00%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                    | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3222 | PA      | $3106.23       | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2343                                                                 | FREDDIE MAC FHR 2343 CZ                                     | CUSIP: 313399K48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60688 | PA      | $63223.96      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908251 FN 01/37 FIXED 6                           | CUSIP: 31411HBU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4224 | PA      | $4381.74       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852684 FN 03/36 FIXED 6                           | CUSIP: 31408JJ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5578 | PA      | $5749.71       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 684026 FN 02/33 FIXED 6                           | CUSIP: 31400C4K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24937 | PA      | $25425.19      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0562 FN 04/26 FIXED VAR                         | CUSIP: 3138EGTU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            1 | PA      | $1.07          | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6412 G2 07/48 FIXED 4                        | CUSIP: 3617H4DR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       678263 | PA      | $640360.91     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | 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        |         1085 | PA      | $1116.21       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                            | REGAL TRUST IV REGAL 1999 1 A 144A                          | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4456 | PA      | $4285.14       | 0.00%             | 2031-09-29      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 676460 GN 11/37 FIXED 5                           | CUSIP: 36295PQM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2607 | PA      | $2655.65       | 0.00%             | 2037-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/28 VAR                | CUSIP: 62954WAR6<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      1900000 | PA      | $1915222.17    | 0.00%             | 2028-07-16      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0268 FN 12/29 FIXED 5                           | CUSIP: 31417YJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20674 | PA      | $20893.31      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 11/31 5.322              | CUSIP: 04685A4D0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |      8000000 | PA      | $7913980.40    | 0.02%             | 2031-11-13      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898602 FN 10/36 FIXED 6                           | CUSIP: 31410VKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47811 | PA      | $49283.30      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BK5519 GN 04/49 FIXED 4                           | CUSIP: 3617J6DY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       422135 | PA      | $398249.00     | 0.00%             | 2049-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1362261.40    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323908 FN 09/29 FIXED VAR                         | CUSIP: 31374TYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          124 | PA      | $126.57        | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 12/28 VAR                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     32648000 | PA      | $32083912.10   | 0.07%             | 2028-12-20      | Floating      | 3.42%                 | 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        |        12739 | PA      | $12769.74      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL P51350 FG 03/36 FIXED 5                   | CUSIP: 3128C6QB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121961 | PA      | $123781.50     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886002 FN 07/36 FIXED 6                           | CUSIP: 31410DKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11544 | PA      | $11771.75      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6356 FN 02/46 FIXED 4                           | CUSIP: 3140F2B25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       380484 | PA      | $365945.49     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0618 G2 09/55 FIXED 3                        | CUSIP: 3618N5VL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9121940 | PA      | $8162048.08    | 0.02%             | 2055-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 09/16/26-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $9578075.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 01/32 VAR               | CUSIP: 606822DS0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      7100000 | PA      | $6999607.70    | 0.01%             | 2032-01-14      | Floating      | 4.50%                 | 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        |        12285 | PA      | $12287.23      | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080747 G2 10/33 FLOATING VAR                   | CUSIP: 36225CZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19629 | PA      | $19886.70      | 0.00%             | 2033-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A B 144A          | CUSIP: 210927AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8110635 | PA      | $8359724.45    | 0.02%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7            | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67597 | PA      | $70136.93      | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 2A             | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8521 | PA      | $8380.97       | 0.00%             | 2033-09-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902773 FN 11/36 FIXED 6                           | CUSIP: 31411A6J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1092 | PA      | $1117.46       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5482 FR 06/53 FIXED 6                   | CUSIP: 3133C6CT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4280132 | PA      | $4385598.84    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 531247 GN 07/30 FIXED 9                           | CUSIP: 36212EEU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1305 | PA      | $1368.63       | 0.00%             | 2030-07-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                                               | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A                | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1701436 | PA      | $1968651.49    | 0.00%             | 2032-05-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT9221 FN 07/43 FIXED 3                           | CUSIP: 3138WXG76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61953 | PA      | $56654.61      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1           | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16814 | PA      | $16531.55      | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A             | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5476098 | PA      | $4739209.14    | 0.01%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G02461 FG 11/36 FIXED 6.5                 | CUSIP: 3128M4B69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          288 | PA      | $305.73        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1              | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23120 | PA      | $23361.48      | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813629 FN 07/35 FLOATING VAR                      | CUSIP: 31406L4N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89880 | PA      | $92319.59      | 0.00%             | 2035-07-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0914 FN 02/41 FIXED VAR                         | CUSIP: 3138EHAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2722 | PA      | $2856.89       | 0.00%             | 2041-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1             | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       443748 | PA      | $426090.70     | 0.00%             | 2034-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A            | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       720487 | PA      | $715528.22     | 0.00%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962491 FN 04/38 FIXED 5.5                         | CUSIP: 31414CXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          208 | PA      | $214.63        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886364 FN 06/36 FIXED 6                           | CUSIP: 31410DWZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1584 | PA      | $1614.51       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1            | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       296789 | PA      | $280144.85     | 0.00%             | 2035-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-90                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 90 F                | CUSIP: 38381XFA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1258287 | PA      | $1234427.04    | 0.00%             | 2049-07-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190361 FN 10/35 FIXED VAR                         | CUSIP: 31368HMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184057 | PA      | $193180.31     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECURED FIN SR SECURED 144A 08/30 4.5          | CUSIP: 92769XAR6<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |       920000 | PA      | $816618.31     | 0.00%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CR8973 G2 10/46 FIXED 3                        | CUSIP: 3618AP6J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       863546 | PA      | $782265.57     | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-7965.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR18 A             | CUSIP: 929227ZC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33514 | PA      | $33470.25      | 0.00%             | 2033-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-72                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 72 A1             | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       196533 | PA      | $183268.16     | 0.00%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-36                                                               | FANNIE MAE FNR 2007 36 FL                                   | CUSIP: 31396VRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155693 | PA      | $154378.26     | 0.00%             | 2037-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-3                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 3 SA 144A          | CUSIP: 36276CAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12000 | PA      | $11475.91      | 0.00%             | 2055-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 2A1            | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3068 | PA      | $2972.59       | 0.00%             | 2037-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4              | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3789573 | PA      | $1318323.87    | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | 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        |       207160 | PA      | $197152.31     | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3532                                                                 | FREDDIE MAC FHR 3532 SN                                     | CUSIP: 31398CSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96216 | PA      | $9009.78       | 0.00%             | 2039-05-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION                                                      | ONEMAIN FINANCE CORP COMPANY GUAR 01/28 6.625               | CUSIP: 85172FAQ2<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1007554.00    | 0.00%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928481 FN 07/37 FIXED 6                           | CUSIP: 31412LRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39129 | PA      | $41072.04      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901720 FN 10/36 FIXED 6                           | CUSIP: 31410YYR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96305 | PA      | $100196.68     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91177 FG 03/28 FIXED 4.5                 | CUSIP: 3128P7JW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8760 | PA      | $8752.77       | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | ENBRIDGE INC ENBRIDGE INC                                   | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      1100000 | PA      | $1109498.50    | 0.00%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A2                  | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68307 | PA      | $65967.14      | 0.00%             | 2029-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-61396.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $207063.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                    | SIXTH STREET LENDING PAR SR UNSECURED 03/29 6.5             | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1521182.04    | 0.00%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544444 FN 09/30 FIXED 8                           | CUSIP: 31385GZH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          194 | PA      | $198.20        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 914868 FN 04/37 FIXED 6                           | CUSIP: 31411UMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          491 | PA      | $509.16        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q29279 FG 10/44 FIXED 4.5                 | CUSIP: 3132M96Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23555 | PA      | $22958.10      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q30092 FG 06/40 FIXED 4.5                 | CUSIP: 3132QLC68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157953 | PA      | $156601.45     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7963 FN 12/30 FIXED VAR                         | CUSIP: 3138EQZ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93918 | PA      | $92922.01      | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                                    | SIXTH STREET LENDING PAR SR UNSECURED 07/30 6.125           | CUSIP: 829932AF9<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |      4100000 | PA      | $4078648.76    | 0.01%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1              | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       527701 | PA      | $512462.54     | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $408820.00     | 0.00%             | 2032-03-13      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $12433.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                              | GSAMP TRUST GSAMP 2006 S1 A2A                               | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       348370 | PA      | $24454.74      | 0.00%             | 2035-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13          | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1122047 | PA      | $530592.07     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | ELEVANCE HEALTH INC                                         | CUSIP: 28621BDD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1597674.08    | 0.00%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $163898.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | PHILLIPS 66                                                 | CUSIP: 71855BD25<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     12550000 | PA      | $12547222.69   | 0.03%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 4 11A1                  | CUSIP: 073871AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4058954 | PA      | $3702620.82    | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 SA 144A         | CUSIP: 12594YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56716 | PA      | $55551.51      | 0.00%             | 2056-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW2882 FN 04/44 FIXED 4                           | CUSIP: 3138XSFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12984 | PA      | $12534.72      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 3A1            | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87958 | PA      | $87591.88      | 0.00%             | 2037-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $200808.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0088 FR 04/53 FIXED 5.5                 | CUSIP: 3133C0CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4314387 | PA      | $4353227.70    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3374 FN 08/43 FIXED 3                           | CUSIP: 3138X2XC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356250 | PA      | $326308.17     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | 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        |        98021 | PA      | $93156.47      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-38                                                               | FANNIE MAE FNR 1997 38 PH                                   | CUSIP: 31359PXL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          377 | PA      | $378.77        | 0.00%             | 2027-05-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3               | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      9400000 | PA      | $9290472.23    | 0.02%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $238403.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-15638.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $327436.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781703 GN 02/34 FIXED 5                           | CUSIP: 36225B3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2659 | PA      | $2690.73       | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1            | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       751626 | PA      | $721539.89     | 0.00%             | 2034-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 09/26 4.4                  | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3599597.30    | 0.01%             | 2026-09-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5396 FN 10/39 FIXED 6                           | CUSIP: 31417Q7J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48566 | PA      | $49734.32      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | 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        |        60972 | PA      | $55272.56      | 0.00%             | 2046-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893805 FN 09/36 FIXED 6                           | CUSIP: 31410QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13443 | PA      | $13856.78      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                 | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2400000 | PA      | $2392992.31    | 0.01%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 833084 FN 09/35 FLOATING VAR                      | CUSIP: 31407KRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       268629 | PA      | $273088.07     | 0.00%             | 2035-09-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-0.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A F 144A                        | CUSIP: ACI2V59C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5460000 | PA      | $7196119.06    | 0.02%             | 2056-08-28      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                                   | DRYDEN EURO CLO DRYD 2017 52A AR 144A                       | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      9385343 | PA      | $10859456.67   | 0.02%             | 2034-05-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-78688.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-77                                                        | FANNIE MAE FNR 2002 77 F                                    | CUSIP: 31392F6D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       202705 | PA      | $203025.22     | 0.00%             | 2032-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904749 FN 11/36 FIXED 6                           | CUSIP: 31411DEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19332 | PA      | $19783.62      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-21                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 21 WI               | CUSIP: 38378Y3A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7545508 | PA      | $800131.68     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WHLN - 1330 BROADWAY                                                             | KRE 1330 BROADWAY OWNER 2018 TERM LOAN                      | CUSIP: 933UGCII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    111395420 | PA      | $52626348.79   | 0.11%             | 2026-06-10      | Floating      | 5.48%                 | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/28 VAR                  | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     15500000 | PA      | $15533797.75   | 0.03%             | 2028-07-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A3                  | CUSIP: 466247WK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13245 | PA      | $12816.42      | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ8004 G2 09/47 FIXED 3                        | CUSIP: 3618AA3M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1342964 | PA      | $1195420.61    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260630                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-3616.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2530                                                                 | FREDDIE MAC FHR 2530 FD                                     | CUSIP: 31393F7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2143 | PA      | $2141.70       | 0.00%             | 2032-02-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 1A1            | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       690709 | PA      | $662517.41     | 0.00%             | 2036-02-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797873 FN 02/35 FIXED 6                           | CUSIP: 31405SMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2731 | PA      | $2785.80       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080149 G2 01/28 FLOATING VAR                   | CUSIP: 36225CEX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22544 | PA      | $22449.04      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95       | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15064174.35   | 0.03%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/40 1.375                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1573055000 | PA      | $1013790940.18 | 2.16%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 2A4             | CUSIP: 05949CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       396130 | PA      | $358921.00     | 0.00%             | 2036-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A2              | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       661954 | PA      | $624321.82     | 0.00%             | 2034-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8593 FN 08/53 FIXED 5                           | CUSIP: 3140NRRP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       256730 | PA      | $254841.21     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5332 FN 11/29 FIXED 4.5                         | CUSIP: 31417Q4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23261 | PA      | $23219.10      | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3626000 | PA      | $3422066.58    | 0.01%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $51827.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6218 FR 07/53 FIXED 5                   | CUSIP: 3133C64B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       653505 | PA      | $647404.36     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2084                                                                 | FREDDIE MAC FHR 2084 ZC                                     | CUSIP: 3133TG5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54015 | PA      | $54838.83      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6                   | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11482286 | PA      | $11741718.26   | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | 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        |       444307 | PA      | $97147.65      | 0.00%             | 2037-01-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A2                  | CUSIP: 466247K28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472018 | PA      | $426731.37     | 0.00%             | 2036-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A5             | CUSIP: 761119AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67429 | PA      | $47034.40      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I 2003-SD1                                                | MORGAN STANLEY CAPITAL INC MSAC 2003 SD1 A1                 | CUSIP: 61746RCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       313526 | PA      | $317075.60     | 0.00%             | 2033-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A        | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52195607 | PA      | $43523870.50   | 0.09%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2037 FN 04/43 FIXED 3                           | CUSIP: 3138WPHP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73149 | PA      | $67023.92      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP DISC COML PAPER                                    | CUSIP: 00809KDD7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1597625.44    | 0.00%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3           | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4303451 | PA      | $4101307.65    | 0.01%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 581625 FN 06/31 FIXED 8.5                         | CUSIP: 31387ED61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5739 | PA      | $5885.04       | 0.00%             | 2031-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002379 G2 02/27 FIXED 8                        | CUSIP: 36202CUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           24 | PA      | $23.77         | 0.00%             | 2027-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                  | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  16415931000 | PA      | $11304010.94   | 0.02%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843863 FN 11/35 FIXED 6                           | CUSIP: 31407XQQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6909 | PA      | $7065.67       | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | 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        |         8411 | PA      | $8623.52       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 836133 FN 09/35 FLOATING VAR                      | CUSIP: 31407N4S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          391 | PA      | $399.52        | 0.00%             | 2035-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875      | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     12100000 | PA      | $11968655.35   | 0.03%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                                                   | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/42 6.51         | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |       800000 | PA      | $829384.89     | 0.00%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                        | BANQUE FED CRED MUTUEL 144A 07/26 5.896                     | CUSIP: 06675FBA4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     11100000 | PA      | $11151457.16   | 0.02%             | 2026-07-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901193 FN 08/36 FIXED 6                           | CUSIP: 31410YGA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17733 | PA      | $18278.65      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817767 FN 06/36 FIXED 6                           | CUSIP: 31406RQU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10180 | PA      | $10516.32      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 770846 FN 04/34 FLOATING VAR                      | CUSIP: 31404KL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           83 | PA      | $84.86         | 0.00%             | 2034-04-01      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-142112.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004239 G2 09/38 FIXED 6                        | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           77 | PA      | $77.77         | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTIFICATES 2007-20H                | SMALL BUSINESS ADMINISTRATION SBAP 2007 20H 1               | CUSIP: 83162CRE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |          559 | PA      | $563.60        | 0.00%             | 2027-08-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4979 FN 04/53 FIXED 5.5                         | CUSIP: 31418EQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1574210 | PA      | $1588302.33    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844773 FN 12/35 FLOATING VAR                      | CUSIP: 31407YQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5980 | PA      | $6123.19       | 0.00%             | 2035-12-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8267 FR 11/52 FIXED 5                   | CUSIP: 3132DWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184148 | PA      | $183042.97     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $289.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                                 | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21                 | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2967890 | PA      | $1959173.75    | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5                   | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1109455 | PA      | $1100122.93    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-328670.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/50 1.375                                 | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    268198500 | PA      | $131202497.01  | 0.28%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D B 144A            | CUSIP: 78450PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12507047 | PA      | $13143423.15   | 0.03%             | 2053-09-15      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4840 FN 05/53 FIXED VAR                         | CUSIP: 3140XLLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19927163 | PA      | $20094395.11   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                                    | CITRUS RE LTD UNSECURED 144A 06/33 VAR                      | CUSIP: 177510AT1<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2033-06-07      | Floating      | 9.93%                 | 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        |         1591 | PA      | $1636.79       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5519 FN 06/43 FIXED 3                           | CUSIP: 3138WTDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       334670 | PA      | $306280.27     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                                          | FREDDIE MAC FHR 3376 FD                                     | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       397402 | PA      | $398180.69     | 0.00%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A           | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3284345 | PA      | $3303043.09    | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 802648 FN 10/34 FLOATING VAR                      | CUSIP: 31405XWH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56665 | PA      | $57952.20      | 0.00%             | 2034-10-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN EUR CLO 5A                                                          | BLUEMOUNTAIN EUR CLO BLUME 5A A 144A                        | CUSIP: ACI1GHFQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5852901 | PA      | $6772097.81    | 0.01%             | 2033-01-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0369 FH 02/37 FLOATING VAR              | CUSIP: 3128S4MS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1070 | PA      | $1101.18       | 0.00%             | 2037-02-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 898493 FN 10/36 FIXED 6                           | CUSIP: 31410VGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13094 | PA      | $13515.95      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A3                  | CUSIP: 466247YP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       392230 | PA      | $317788.42     | 0.00%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S3 1A10                 | CUSIP: 46629AAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       373680 | PA      | $121439.09     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6692 G2 06/48 FIXED 4                        | CUSIP: 3617H4NH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3975948 | PA      | $3753797.27    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-38682.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782371 GN 08/38 FIXED 5                           | CUSIP: 36241KT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37701 | PA      | $38507.98      | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-12947.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.681 03/18/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $38422.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2469                                                                 | FREDDIE MAC FHR 2469 FV                                     | CUSIP: 31392RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1426 | PA      | $1425.71       | 0.00%             | 2030-06-15      | Floating      | 4.29%                 | 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        |         5667 | PA      | $5784.53       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A4                  | CUSIP: 46629CAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       157164 | PA      | $121346.15     | 0.00%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942869 FN 08/37 FIXED 6                           | CUSIP: 31413D6E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4385 | PA      | $4549.56       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-4                                                         | FANNIE MAE FNR 2025 4 FB                                    | CUSIP: 3136BUU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15209940 | PA      | $15339681.06   | 0.03%             | 2053-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256675 FN 04/27 FIXED 5                           | CUSIP: 31371NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7584 | PA      | $7581.77       | 0.00%             | 2027-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3888 FN 04/48 FIXED 4                           | CUSIP: 3140HHKA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193542 | PA      | $184925.61     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-12                                          | COUNTRYWIDE HOME LOANS CWHL 2006 12 A1                      | CUSIP: 125432AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2560472 | PA      | $1180614.05    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL                                        | CUSIP: 28103BDH2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     18300000 | PA      | $18263998.41   | 0.04%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW2                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW2 AF5           | CUSIP: 46629BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1446407 | PA      | $841572.06     | 0.00%             | 2036-08-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                      | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8894 | PA      | $7660.91       | 0.00%             | 2036-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)                                     | SYNCHRONY BANK SR UNSECURED 08/27 5.625                     | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |     12500000 | PA      | $12641724.88   | 0.03%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN44 5Y ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $1366443.46    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/35 2.75          | CUSIP: ACI0C4L00<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    179200000 | PA      | $103657762.63  | 0.22%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3271                                                                 | FREDDIE MAC FHR 3271 FA                                     | CUSIP: 31397FFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5831 | PA      | $5773.07       | 0.00%             | 2037-02-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A5                      | CUSIP: 12669G2X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9982 | PA      | $5948.52       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KD76<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |       440000 | PA      | $439645.80     | 0.00%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                  | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1065557 | PA      | $952965.54     | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1                     | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1816 | PA      | $1829.29       | 0.00%             | 2034-02-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4847 FN 11/52 FIXED 6                           | CUSIP: 31418EL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       304510 | PA      | $312749.05     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -38020578 | NC      | $-30378.44     | -0.00%            |  |  |  | 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        |        44679 | PA      | $45696.28      | 0.00%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                              | CONSTELLATION ENERGY 04/26 ZCP                              | CUSIP: 21038QD68<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     18700000 | PA      | $18686388.27   | 0.04%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A2              | CUSIP: 05950PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       597301 | PA      | $545038.83     | 0.00%             | 2046-09-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT BONDS 06/34 3                           | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      9200000 | PA      | $6447620.24    | 0.01%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE HOLDINGS LLC / PANTHER CO-ISSUER INC                            | PANTHER ESCROW ISSUER SR SECURED 144A 06/31 7.125           | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19900000 | PA      | $19976893.60   | 0.04%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-15612.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                                | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    457450000 | PA      | $393371264.01  | 0.84%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2878 FN 10/45 FIXED 4                           | CUSIP: 3140E7FU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3196 | PA      | $3086.16       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3              | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       508556 | PA      | $508820.00     | 0.00%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 779209 GN 05/42 FIXED 3.5                         | CUSIP: 36176XN21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7039 | PA      | $6613.39       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A2 144A         | CUSIP: 210928AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44480000 | PA      | $45713888.54   | 0.10%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6015 FN 05/46 FIXED 4                           | CUSIP: 3140F1VH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       485620 | PA      | $466472.42     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-1 CLASS AA PASS THROUGH TRUST                               | DELTA AIR LINES 2020 AA PASS THRU CE 12/29 2                | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1543607 | PA      | $1493014.66    | 0.00%             | 2029-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 04/32 VAR                    | CUSIP: ACI24F5W8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2200000 | PA      | $2446747.31    | 0.01%             | 2032-04-02      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR              | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1392065 | PA      | $1442603.01    | 0.00%             | 2035-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-49                                                               | FANNIE MAE FNR 2004 49 FM                                   | CUSIP: 31393Y5X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158226 | PA      | $157735.09     | 0.00%             | 2034-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1628 FN 09/33 FIXED VAR                         | CUSIP: 3140X4Y26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       563754 | PA      | $554047.84     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3800 FN 10/39 FIXED 3                           | CUSIP: 31418DGJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1368650 | PA      | $1279774.88    | 0.00%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255884 FN 08/35 FLOATING VAR                      | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30780 | PA      | $31797.88      | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1                  | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2855629 | PA      | $2363536.23    | 0.01%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/18/24-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $983452.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 615542 FN 11/31 FIXED 6.5                         | CUSIP: 31388UZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          151 | PA      | $156.14        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8716 FR 09/33 FIXED 3.5                 | CUSIP: 3132A9VH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113012 | PA      | $111069.13     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23713.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 03/24/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-599647.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 447858 FN 12/28 FIXED 6                           | CUSIP: 31380RQK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           33 | PA      | $34.54         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4283 FN 11/45 FIXED 4                           | CUSIP: 3138YVXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       457657 | PA      | $440785.75     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-58                                                               | FANNIE MAE FNR 1997 58 JZ                                   | CUSIP: 31359QMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2822 | PA      | $2853.14       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889380 FN 04/38 FLOATING VAR                      | CUSIP: 31410KCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          618 | PA      | $634.18        | 0.00%             | 2038-04-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962129 FN 03/38 FIXED 5.5                         | CUSIP: 31414CLJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       229678 | PA      | $236166.76     | 0.00%             | 2038-03-01      | 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        |       684575 | PA      | $249341.35     | 0.00%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0517 FN 09/43 FIXED 3                           | CUSIP: 3138W9SF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1175413 | PA      | $1076072.44    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    358035000 | PA      | $345212101.79  | 0.73%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A5B            | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       368793 | PA      | $321359.97     | 0.00%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1E            | CUSIP: 59020U2H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       132186 | PA      | $127480.67     | 0.00%             | 2035-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-97183.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91093 FG 09/27 FIXED 6                   | CUSIP: 3128P7GA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2951 | PA      | $3011.82       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260727                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-51303.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1           | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1120288 | PA      | $355455.33     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902784 FN 12/36 FIXED 6                           | CUSIP: 31411A6V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16914 | PA      | $17702.88      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 SA 144A       | CUSIP: 36273CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25208 | PA      | $24802.99      | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 21 1A1                     | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       793067 | PA      | $338202.53     | 0.00%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $589604.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1641 FN 01/39 FIXED 6                           | CUSIP: 31416JZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35932 | PA      | $37015.97      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 884089 FN 06/36 FIXED 6                           | CUSIP: 31410BF66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6062 | PA      | $6320.20       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7028 FN 04/46 FIXED 4                           | CUSIP: 3138WGY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107405 | PA      | $103234.74     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC.                                                           | QUEST DIAGNOSTICS INC SR UNSECURED 12/27 4.6                | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1708242.82    | 0.00%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08064 FG 04/35 FIXED 6.5                 | CUSIP: 3128MJCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          461 | PA      | $487.85        | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A              | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4450351 | PA      | $4458360.95    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962062 FN 03/38 FIXED 5                           | CUSIP: 31414CJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          625 | PA      | $631.70        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE2771 FN 08/26 FIXED 3.5                         | CUSIP: 31419DCH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          937 | PA      | $933.27        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $6685804.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257101 FN 02/28 FIXED 5                           | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6897 | PA      | $6928.61       | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ1374 FN 11/42 FIXED 4                           | CUSIP: 3138MGQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3266 | PA      | $3151.68       | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    187000000 | PA      | $176095599.90  | 0.37%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AM3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 AM3 A4              | CUSIP: 57645EAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3709727 | PA      | $3385560.23    | 0.01%             | 2036-10-25      | Floating      | 4.27%                 | 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        |         3314 | PA      | $3314.96       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 10/26 0.00000                  | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1846800000 | PA      | $334013274.47  | 0.71%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                          | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                       | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1184657 | PA      | $785632.95     | 0.00%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY1942 FN 01/45 FIXED 4                           | CUSIP: 3138YFEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       666291 | PA      | $641383.60     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEOPLES CHOICE HOME LOAN SECURITIES TRUST 2005-1                                 | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 1 M4              | CUSIP: 71085PBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       203449 | PA      | $201265.67     | 0.00%             | 2035-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1           | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       898992 | PA      | $343575.84     | 0.00%             | 2037-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8267 FR 03/53 FIXED 5.5                 | CUSIP: 3133BWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4440224 | PA      | $4483593.86    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B C                 | CUSIP: 78450CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1100000 | PA      | $1156718.86    | 0.00%             | 2052-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3462 FN 09/33 FIXED 3.5                         | CUSIP: 31418CZ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68305 | PA      | $67150.11      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H02 FN              | CUSIP: 38382YNR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52724920 | PA      | $52435634.55   | 0.11%             | 2072-01-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 03/04/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-599833.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/34 FIXED 3.401     | CUSIP: 88880LAR4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10930000 | PA      | $9559055.57    | 0.02%             | 2034-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| KOOKMIN BANK                                                                     | KOOKMIN BANK SUBORDINATED REGS 02/29 4.5                    | CUSIP: ACI17XR04<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |      2500000 | PA      | $2486753.28    | 0.01%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-20.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4990 FN 11/53 FIXED 5.5                         | CUSIP: 3140A5RL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       472191 | PA      | $475552.94     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-714912.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 754031 FN 12/33 FLOATING VAR                      | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100149 | PA      | $102494.21     | 0.00%             | 2033-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CN6295 G2 03/47 FIXED 3                        | CUSIP: 3617F57G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1666432 | PA      | $1483379.19    | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3793 FN 08/49 FIXED 6                           | CUSIP: 31418DGB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39666 | PA      | $40882.34      | 0.00%             | 2049-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B9                                                 | BENCHMARK MORTGAGE TRUST BMARK 2019 B9 A5                   | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32609000 | PA      | $31912863.07   | 0.07%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL1 PT 144A       | CUSIP: 61781WAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50495872 | PA      | $43555734.18   | 0.09%             | 2065-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0855 FR 09/53 FIXED 5.5                 | CUSIP: 3133CC5Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       827121 | PA      | $832924.73     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $202287.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1352 FN 03/46 FIXED 4                           | CUSIP: 3140EVQE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       545169 | PA      | $523097.77     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 07/30 VAR                       | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3136473.33    | 0.01%             | 2030-07-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6024 FR 09/28 FIXED 3.5                 | CUSIP: 3131X9VR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75008 | PA      | $74330.85      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                               | FANNIE MAE FNR 2009 87 FX                                   | CUSIP: 31398FM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48609 | PA      | $48774.11      | 0.00%             | 2039-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC              | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11077601 | PA      | $11091876.50   | 0.02%             | 2074-02-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3363 FN 05/33 FIXED 3                           | CUSIP: 31418CWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102961 | PA      | $100014.01     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C10                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C10 A4             | CUSIP: 90276FAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $9920219.00    | 0.02%             | 2051-05-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ6597 G2 05/47 FIXED 3                        | CUSIP: 3618A9KJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1394237 | PA      | $1243832.95    | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/30 5.15                           | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     30741000 | PA      | $31266658.19   | 0.07%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5923 FN 04/33 FIXED 3                           | CUSIP: 3140H7SM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98801 | PA      | $95848.87      | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED 10/53 1.5                      | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |            2 | PA      | $0.21          | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-130261.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2002-OPT1                                             | ASSET BACKED FUNDING CERTIFICA ABFC 2002 OPT1 M1            | CUSIP: 04542BBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65002 | PA      | $73704.26      | 0.00%             | 2032-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 18R 4A4 144A         | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90523 | PA      | $88986.45      | 0.00%             | 2038-04-26      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2            | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339657 | PA      | $329777.29     | 0.00%             | 2034-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 803338 FN 09/44 FLOATING VAR                      | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       765518 | PA      | $774714.91     | 0.00%             | 2044-09-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3529 FN 06/40 FIXED VAR                         | CUSIP: 3140X64P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299553 | PA      | $278882.41     | 0.00%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5775 FN 09/45 FIXED 4                           | CUSIP: 3138WFMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       745139 | PA      | $717281.88     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A        | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22964483 | PA      | $23020171.73   | 0.05%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A        | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12000000 | PA      | $10754260.32   | 0.02%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837016 FN 08/35 FLOATING VAR                      | CUSIP: 31407P3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283818 | PA      | $291024.77     | 0.00%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $6550.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8301 FR 03/53 FIXED 5.5                 | CUSIP: 3133BWGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       450190 | PA      | $454318.19     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD2470 FN 08/40 FIXED 5                           | CUSIP: 31418PW84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18623 | PA      | $18598.49      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2680 FN 04/33 FIXED 3                           | CUSIP: 3140Q96S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29676 | PA      | $28726.69      | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 526008 GN 08/30 FIXED 9                           | CUSIP: 36211XKV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8756 | PA      | $9026.60       | 0.00%             | 2030-08-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                  | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26506 | PA      | $14469.53      | 0.00%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-26                                                               | FANNIE MAE FNR 2002 26 A1                                   | CUSIP: 31392CR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2904 | PA      | $2994.45       | 0.00%             | 2048-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 01/30 3.25            | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     24000000 | PA      | $19423876.80   | 0.04%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP1508 GN 09/49 FIXED 4                           | CUSIP: 3617L7U98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4418294 | PA      | $4176166.04    | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888292 FN 03/37 FIXED VAR                         | CUSIP: 31410F2Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5326 | PA      | $5590.15       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/28 6.375      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      1900000 | PA      | $1956309.92    | 0.00%             | 2028-05-04      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3084 FN 06/31 FIXED 5                           | CUSIP: 31416YNA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116136 | PA      | $116927.77     | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910589 FN 01/37 FIXED 6                           | CUSIP: 31411KUN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2029 | PA      | $2091.12       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.8994 03/20/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $71109.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-CES2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2024 CES2 PT 144A            | CUSIP: 46658QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33757111 | PA      | $36476745.46   | 0.08%             | 2055-02-25      | Fixed         | 9.60%                 | 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        |          134 | PA      | $137.11        | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR5993 FN 03/43 FIXED 3                           | CUSIP: 3138W3UT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7665 | PA      | $7021.91       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                      | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A          | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1622044 | PA      | $1614702.73    | 0.00%             | 2032-11-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903313 FN 10/36 FIXED 6                           | CUSIP: 31411BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26601 | PA      | $27377.94      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 762043 FN 12/33 FIXED 5.5                         | CUSIP: 31403YS87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          535 | PA      | $538.35        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895652 FN 08/36 FIXED 6                           | CUSIP: 31410SBV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158870 | PA      | $166259.71     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7831 FN 05/46 FIXED 4                           | CUSIP: 3140F3VZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9316 | PA      | $8983.06       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                       | NETAPP INC SR UNSECURED 06/30 2.7                           | CUSIP: 64110DAK0<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |     31100000 | PA      | $28578681.95   | 0.06%             | 2030-06-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3            | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       303468 | PA      | $251345.81     | 0.00%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776486 FN 03/34 FLOATING VAR                      | CUSIP: 31404RUK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1143 | PA      | $1173.55       | 0.00%             | 2034-03-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $354353.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                  | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4391150 | PA      | $2999256.18    | 0.01%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9008 FN 08/47 FIXED 4                           | CUSIP: 3140GYAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       584569 | PA      | $560355.72     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904128 FN 11/36 FIXED 6                           | CUSIP: 31411CPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6977 | PA      | $7179.47       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A1 144A       | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15401786 | PA      | $8876019.93    | 0.02%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0305 FN 08/43 FIXED 3                           | CUSIP: 3138W9KT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37377 | PA      | $34212.15      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3AF              | CUSIP: 86361BAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1908032 | PA      | $1519848.51    | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KDT8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     26462000 | PA      | $26376900.85   | 0.06%             | 2026-04-27      | None          | 0.00%                 | 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        |        12296 | PA      | $12197.27      | 0.00%             | 2031-06-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TRUST 2006-AR5                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2           | CUSIP: 39538AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229779 | PA      | $216564.53     | 0.00%             | 2046-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX6923 FN 11/44 FIXED 4                           | CUSIP: 3138Y8VR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58485 | PA      | $56098.51      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                          | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                       | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000741 | PA      | $925895.28     | 0.00%             | 2037-03-26      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 04/31 5.1                           | CUSIP: 695114DN5<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2005701.64    | 0.00%             | 2031-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UBS AG/LONDON BRANCH                                                             | UBS AG LONDON SR UNSECURED 09/28 5.65                       | CUSIP: 902674ZW3<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |       600000 | PA      | $619259.54     | 0.00%             | 2028-09-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE4704 FN 09/30 FIXED 4.5                         | CUSIP: 31419FGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1895 | PA      | $1891.54       | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 01/29 4.15               | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      2450000 | PA      | $2436787.05    | 0.01%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A R 144A          | CUSIP: 21056DAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4485060 | PA      | $1961804.67    | 0.00%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 7 2A1A            | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       473039 | PA      | $449478.50     | 0.00%             | 2037-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $1232023.85    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $1259947.79    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-58.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $41965.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A           | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96390 | PA      | $93227.25      | 0.00%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2717 FN 04/46 FIXED 4                           | CUSIP: 3140EXAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       388317 | PA      | $372454.15     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002266 G2 08/26 FIXED 7                        | CUSIP: 36202CQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           19 | PA      | $19.83         | 0.00%             | 2026-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9560 FN 05/43 FIXED 3                           | CUSIP: 31417GTS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78892 | PA      | $72187.85      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A            | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       828949 | PA      | $229882.26     | 0.00%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A3             | CUSIP: 86359LMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       668065 | PA      | $569858.44     | 0.00%             | 2035-12-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 02/28 VAR                 | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     38300000 | PA      | $37721334.49   | 0.08%             | 2028-02-04      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                        | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15              | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |     11900000 | PA      | $12126221.74   | 0.03%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/50 3.5               | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     51900000 | PA      | $34344206.87   | 0.07%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                                    | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A1                    | CUSIP: 31393XFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76224 | PA      | $78751.55      | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5            | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      7800000 | PA      | $8298039.28    | 0.02%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FK              | CUSIP: 38376RQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4687142 | PA      | $4713089.10    | 0.01%             | 2066-02-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 02/41 0.00000                                        | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     26600000 | PA      | $12839055.78   | 0.03%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-4402073.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2074                                                                 | FREDDIE MAC FHR 2074 Z                                      | CUSIP: 3133TENQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52165 | PA      | $53056.92      | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 2A3            | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11173159 | PA      | $5050166.25    | 0.01%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6246 FR 07/53 FIXED 5                   | CUSIP: 3133C65F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90546 | PA      | $89733.22      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                   | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000         | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     45794000 | PA      | $35858533.76   | 0.08%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                      | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36985 | PA      | $11743.34      | 0.00%             | 2036-03-25      | Floating      | 3.93%                 | 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        |         5269 | PA      | $5265.38       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 04/29 4.97            | CUSIP: 345397J20<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     21600000 | PA      | $21340575.36   | 0.05%             | 2029-04-06      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2371 FN 08/45 FIXED 4                           | CUSIP: 31418BT55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5503 | PA      | $5297.44       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST                                       | JETBLUE 2019 1 CLASS AA PASS THRU CE 11/33 2.75             | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7170458 | PA      | $6370293.92    | 0.01%             | 2033-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1294451.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                                              | FANNIE MAE FNR 2009 106 SN                                  | CUSIP: 31398GUS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35490 | PA      | $2385.94       | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                                 | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 2A21              | CUSIP: 02660VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1855268 | PA      | $1257183.14    | 0.00%             | 2035-11-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                                    | GSAA HOME EQUITY TRUST GSAA 2007 5 2A1A                     | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       786609 | PA      | $736360.52     | 0.00%             | 2047-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWER & LIGHT COMPANY                                             | JERSEY CENTRAL PWR + LT SR UNSECURED 144A 01/31 4.4         | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |      8600000 | PA      | $8478578.75    | 0.02%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP SR UNSECURED 04/28 4.75                  | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      8500000 | PA      | $8510250.66    | 0.02%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A            | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2976297 | PA      | $2766606.84    | 0.01%             | 2046-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-22307.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75            | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4673897 | PA      | $4779480.53    | 0.01%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6406 FN 12/45 FIXED 4                           | CUSIP: 3138WGDL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21098 | PA      | $20274.33      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0546 FH 05/35 FLOATING VAR              | CUSIP: 3128NCTB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       368315 | PA      | $376172.06     | 0.00%             | 2035-05-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2008749.54   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4                 | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5207000 | PA      | $5129311.04    | 0.01%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                         | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26840000 | PA      | $22650074.70   | 0.05%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                    | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR           | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |       300000 | PA      | $364370.22     | 0.00%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6825 FN 04/40 FIXED 3.5                         | CUSIP: 3140QESP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163554 | PA      | $156227.98     | 0.00%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7551 FN 04/46 FIXED 4                           | CUSIP: 3140F3L97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42104 | PA      | $40388.36      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3218 FN 12/32 FIXED 3                           | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       987230 | PA      | $953878.12     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3                   | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          933 | PA      | $916.77        | 0.00%             | 2035-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/35 3.137                  | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     73238000 | PA      | $62253757.44   | 0.13%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870702 FN 08/36 FIXED 6                           | CUSIP: 31409GKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126688 | PA      | $132251.91     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                                  | S+P GLOBAL INC                                              | CUSIP: 78513LD14<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      9900000 | PA      | $9898915.95    | 0.02%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5341 FN 06/43 FIXED 3                           | CUSIP: 3138X45B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3794 | PA      | $3471.34       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A1 144A         | CUSIP: 210927AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       938038 | PA      | $939008.62     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK4390 FN 04/33 FIXED 3                           | CUSIP: 3140HH2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       228998 | PA      | $221842.26     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 08/30 4.7                             | CUSIP: 00206RMX7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     14200000 | PA      | $14325134.52   | 0.03%             | 2030-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/30 VAR                | CUSIP: 62954WAT2<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      7100000 | PA      | $7208839.81    | 0.02%             | 2030-07-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-39                                                        | FANNIE MAE FNR 2017 39 FT                                   | CUSIP: 3136AWHE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4222556 | PA      | $4146334.78    | 0.01%             | 2047-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7122 FR 08/27 FIXED 3.5                 | CUSIP: 3132A74F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          378 | PA      | $376.70        | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $67526.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A              | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       542830 | PA      | $531498.91     | 0.00%             | 2033-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2026-HYB1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2026 HYB1 PT 144A            | CUSIP: 46660UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62161146 | PA      | $63062333.43   | 0.13%             | 2056-08-25      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A48133 FG 12/35 FIXED 7.5                 | CUSIP: 3128K9BA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13059 | PA      | $13109.59      | 0.00%             | 2035-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 03/28 VAR                         | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      3600000 | PA      | $3583900.37    | 0.01%             | 2028-03-28      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A A 144A                        | CUSIP: ACI2NG9C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    300073311 | PA      | $347088972.67  | 0.74%             | 2058-06-28      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4017 FN 08/43 FIXED VAR                         | CUSIP: 3138ELPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137682 | PA      | $132941.30     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5598 FN 08/45 FIXED 4                           | CUSIP: 3138WFGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6086542 | PA      | $5860257.87    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1746 FN 03/27 FIXED VAR                         | CUSIP: 3138EH5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3646 | PA      | $3626.01       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2083                                                                 | FREDDIE MAC FHR 2083 ZA                                     | CUSIP: 3133TEWF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45616 | PA      | $46060.51      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900507 FN 09/36 FIXED 6                           | CUSIP: 31410XNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3605 | PA      | $3715.89       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 7 LLC/ABILENE DC 8 LLC                                                | PROJECT FLASH TERM LOAN 1                                   | CUSIP: BA000KZ61<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     29217185 | PA      | $29217185.28   | 0.06%             | 2030-04-30      | Floating      | 3.54%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 11/29 VAR                       | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     33800000 | PA      | $35282070.85   | 0.08%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1            | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4772 | PA      | $4345.27       | 0.00%             | 2035-11-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 06/41 3.5               | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7900000 | PA      | $5545394.97    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725690 FN 08/34 FIXED VAR                         | CUSIP: 31402DF70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3057 | PA      | $3165.40       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6972 FN 03/27 FIXED 3.5                         | CUSIP: 3138EBXA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          326 | PA      | $324.24        | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2264 FN 01/35 FIXED VAR                         | CUSIP: 3140X5QS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       244407 | PA      | $239243.65     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                        | REALTY INCOME CORP SR UNSECURED 08/27 3.95                  | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1094906.03    | 0.00%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1531 FN 06/48 FIXED 4                           | CUSIP: 3140HEVZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       902129 | PA      | $864250.41     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A                  | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       780538 | PA      | $763184.37     | 0.00%             | 2035-11-25      | Floating      | 5.28%                 | 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        |      1166556 | PA      | $787476.71     | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 07/29 5.375        | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1118004.69    | 0.00%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1          | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4289330 | PA      | $3860952.68    | 0.01%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781265 GN 12/29 FIXED 6.5                         | CUSIP: 36225BMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2315 | PA      | $2365.12       | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0527 FN 06/39 FIXED VAR                         | CUSIP: 31418MSR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58347 | PA      | $60078.43      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A4             | CUSIP: 55274QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164146 | PA      | $86863.84      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A B 144A          | CUSIP: 21056EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5448840 | PA      | $5616210.74    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK9992 GN 02/45 FIXED 3.5                         | CUSIP: 36183UC53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28854 | PA      | $27127.12      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 694531 GN 11/38 FIXED 5                           | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2547 | PA      | $2601.72       | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                         | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375           | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     28500000 | PA      | $25704358.05   | 0.05%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-6957.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2005-2                                                           | CHASEFLEX TRUST CFLX 2005 2 3A2                             | CUSIP: 16165TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1296814 | PA      | $543944.02     | 0.00%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                     | ALIMENTATION COUCHETARD INC                                 | CUSIP: 01626VDM2<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      2300000 | PA      | $2294536.58    | 0.00%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4899 FN 05/45 FIXED 4                           | CUSIP: 3138WENR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       754483 | PA      | $726744.93     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/43 3.125                                 | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     79700000 | PA      | $63840944.91   | 0.14%             | 2043-02-15      | Fixed         | 3.12%                 | 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        |         3286 | PA      | $3398.15       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1629 GN 07/49 FIXED 4                           | CUSIP: 3617KGY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2233079 | PA      | $2111513.32    | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2147 FN 10/29 FIXED 3.5                         | CUSIP: 3138Y3L58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36403 | PA      | $35984.34      | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                  | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  21973741000 | PA      | $15265562.14   | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    568475000 | PA      | $394035336.69  | 0.84%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                                    | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A              | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33182711 | PA      | $30162878.97   | 0.06%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                      | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53766630 | PA      | $49739848.37   | 0.11%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                                 | LAZARD GROUP LLC SR UNSECURED 09/28 4.5                     | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |      7000000 | PA      | $6970497.59    | 0.01%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL4719 GN 01/45 FIXED 3.5                         | CUSIP: 36184BG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7399 | PA      | $6951.48       | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG REGS 11/30 VAR                             | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     32800000 | PA      | $35223612.17   | 0.07%             | 2030-11-19      | Floating      | 1.75%                 | 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        |           10 | PA      | $10.54         | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 05/34 5.55                  | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      5250000 | PA      | $5347731.17    | 0.01%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7078 FR 06/39 FIXED 3.5                 | CUSIP: 31329Q2K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       181366 | PA      | $174042.88     | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A         | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       276588 | PA      | $231965.86     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 AIO1 144A      | CUSIP: 17326UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2236362 | PA      | $134.18        | 0.00%             | 2058-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-736766.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9887 FN 07/46 FIXED 4                           | CUSIP: 3140F56Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       183145 | PA      | $176109.43     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-911.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1863901.42   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.42000 03/07/25-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-571779.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-254242.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2                  | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15574 | PA      | $6750.68       | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2106                                                                 | FREDDIE MAC FHR 2106 ZB                                     | CUSIP: 3133THDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17503 | PA      | $17719.48      | 0.00%             | 2028-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1629 FN 07/43 FIXED 3                           | CUSIP: 3138X0Y36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       238656 | PA      | $218560.76     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004772 G2 08/40 FIXED 5                        | CUSIP: 36202FJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65799 | PA      | $66885.59      | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 993926 FN 01/39 FIXED 4                           | CUSIP: 31416AD72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44418 | PA      | $42979.21      | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3764 FN 05/28 FIXED VAR                         | CUSIP: 3138ELFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47220 | PA      | $46821.87      | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0336 FN 01/59 FIXED 4                           | CUSIP: 3140FXLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13203072 | PA      | $12549463.07   | 0.03%             | 2059-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-505285.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FIRSTENERGY CORP SR UNSECURED 07/27 3.9                     | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1984206.30    | 0.00%             | 2027-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-29936.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ORACLE CORPORATION SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-477955.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A3            | CUSIP: 16162WPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2893912 | PA      | $2772271.66    | 0.01%             | 2035-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5               | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3540726 | PA      | $3272824.61    | 0.01%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC5445 FN 11/39 FIXED 5                           | CUSIP: 31417SBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2053 | PA      | $2075.67       | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0392 FN 12/39 FIXED VAR                         | CUSIP: 31419ANJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68076 | PA      | $70120.33      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254016 FN 09/31 FIXED 8.5                         | CUSIP: 31371KDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          281 | PA      | $285.20        | 0.00%             | 2031-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS CADILLAC FAIRVIEW PROPERTIES TRUST                              | CADILLAC FAIRVIEW PRP TR SR UNSECURED 144A 02/29 4.125      | CUSIP: 68327LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      4700000 | PA      | $4653076.42    | 0.01%             | 2029-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC3165 FN 10/39 FIXED 5                           | CUSIP: 31417MQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3615 | PA      | $3641.17       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7559 FN 01/45 FIXED 4                           | CUSIP: 3138Y9MH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1341607 | PA      | $1292912.02    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A        | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $471872.95     | 0.00%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                                    | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                       | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       155872 | PA      | $155164.81     | 0.00%             | 2049-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                        | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11300000 | PA      | $11311919.81   | 0.02%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | WILLIAMS COS INC SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $46004.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A                | CUSIP: 1266714M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       292631 | PA      | $286239.97     | 0.00%             | 2034-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 02/29 4.55                         | CUSIP: 68389XDW2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      9100000 | PA      | $8986789.08    | 0.02%             | 2029-02-04      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4043 FN 04/46 FIXED 4                           | CUSIP: 3140EYP54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22896 | PA      | $22055.65      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1     | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     80900000 | PA      | $44594968.19   | 0.09%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 A1 144A          | CUSIP: 52474AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9156939 | PA      | $9136274.76    | 0.02%             | 2058-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER                                     | CUSIP: 40412DEC9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1591827.68    | 0.00%             | 2026-05-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-1                                                         | FANNIE MAE FNR 2025 1 FD                                    | CUSIP: 3136BUZM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15321968 | PA      | $15457135.59   | 0.03%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2764                                                                 | FREDDIE MAC FHR 2764 LZ                                     | CUSIP: 31394TUG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128953 | PA      | $128599.78     | 0.00%             | 2034-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 569357 GN 04/32 FIXED 7                           | CUSIP: 36200QQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1464 | PA      | $1512.09       | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1            | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111016 | PA      | $107244.22     | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5715 FN 04/33 FIXED 3                           | CUSIP: 3140H7K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195479 | PA      | $190021.14     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $49068.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                                        | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A                    | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27450000 | PA      | $27522132.84   | 0.06%             | 2037-07-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB7229 GN 09/47 FIXED 5                           | CUSIP: 3617AYA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13746 | PA      | $13708.49      | 0.00%             | 2047-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 02/30 3.375                       | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      9100000 | PA      | $8226016.89    | 0.02%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6704 FR 04/28 FIXED 3.5                 | CUSIP: 3132A7NV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27330 | PA      | $27148.06      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI7629 FR 06/54 FIXED 5.5                 | CUSIP: 3133WEPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       442244 | PA      | $450234.61     | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C47                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 C47 A4             | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3994007.20    | 0.01%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                    | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     42600000 | PA      | $43170258.94   | 0.09%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/28 VAR                   | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       700000 | PA      | $727230.00     | 0.00%             | 2028-06-06      | Floating      | 15.76%                | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                                 | GOLDEN BEAR RE LTD UNSECURED 144A 03/32 VAR                 | CUSIP: 38090EAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1800000 | PA      | $1800000.00    | 0.00%             | 2032-03-08      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897160 FN 09/36 FIXED 6                           | CUSIP: 31410TWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4978 | PA      | $5164.14       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2             | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       464515 | PA      | $171923.25     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6728 FN 07/53 FIXED 5                           | CUSIP: 3140QSPN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56372835 | PA      | $56172986.31   | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-93597.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 M1 144A        | CUSIP: 17326UAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1730000 | PA      | $1672522.83    | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-26                                                        | FANNIE MAE FNR 2013 26 FE                                   | CUSIP: 3136ADWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71817 | PA      | $70669.77      | 0.00%             | 2043-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB2745 FN 04/54 FIXED 5.5                         | CUSIP: 3140ACBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36896 | PA      | $37131.35      | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985558 FN 06/38 FIXED 5.5                         | CUSIP: 31415PZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25218 | PA      | $25930.55      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3             | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1389900 | PA      | $1376009.93    | 0.00%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INCORPORATED                                        | REINSURANCE GRP OF AMER SR UNSECURED 06/30 3.15             | CUSIP: 759351AP4<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1871258.94    | 0.00%             | 2030-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953898 FN 11/37 FIXED 6                           | CUSIP: 31413SGF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34077 | PA      | $35111.97      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0130 FN 07/29 FIXED 5                           | CUSIP: 31417YEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40400 | PA      | $40707.63      | 0.00%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0474 FN 05/40 FIXED VAR                         | CUSIP: 3138EGQ49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40521 | PA      | $41694.28      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5018 FN 05/45 FIXED 4                           | CUSIP: 3138WESG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190909 | PA      | $183870.66     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV2                                                | HUNDRED ACRE WOOD TRUST HAWT 2021 INV2 A11 144A             | CUSIP: 44555PAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4411080 | PA      | $4129352.16    | 0.01%             | 2051-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                               | FANNIE MAE FNR 2007 65 KF                                   | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127690 | PA      | $126520.69     | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6356 FN 12/45 FIXED 4                           | CUSIP: 3138WGB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12623 | PA      | $11976.48      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                         | SAUDI ARABIAN OIL CO SR UNSECURED 144A 02/31 4.375          | CUSIP: 80415RAA9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     38000000 | PA      | $36966495.00   | 0.08%             | 2031-02-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555570 FN 06/33 FIXED VAR                         | CUSIP: 31385XFK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5423 | PA      | $5576.68       | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPERATING PARTNERSHIP LP                                              | BRANDYWINE OPER PARTNERS COMPANY GUAR 11/27 3.95            | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     13116000 | PA      | $12591291.80   | 0.03%             | 2027-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK8746 FR 05/32 FIXED 3.5                 | CUSIP: 3131XCWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       342845 | PA      | $337792.27     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 A2 144A         | CUSIP: 12653HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193216228 | PA      | $175442074.17  | 0.37%             | 2057-07-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-103                                                       | FANNIE MAE FNR 2012 103 LF                                  | CUSIP: 3136A8YX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2460386 | PA      | $2435110.82    | 0.01%             | 2042-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0816 FN 04/54 FIXED 5.5                         | CUSIP: 3140A94A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7949370 | PA      | $8002726.76    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2279 FN 05/45 FIXED 4                           | CUSIP: 31418BQ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40286 | PA      | $38806.92      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3544 FR 09/26 FIXED 3.5                 | CUSIP: 3131X65D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7623 | PA      | $7592.50       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL4                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL4 PT 144A          | CUSIP: 52472GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20427913 | PA      | $18467084.59   | 0.04%             | 2058-01-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-HY1                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 HY1 A2A           | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5687202 | PA      | $4521287.74    | 0.01%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2              | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1082924 | PA      | $1042425.08    | 0.00%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2461                                                                 | FREDDIE MAC FHR 2461 Z                                      | CUSIP: 31392MK43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31504 | PA      | $32759.77      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2654 FR 04/53 FIXED 5                   | CUSIP: 3132DP5P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2362332 | PA      | $2341140.60    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $2836.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897736 FN 08/36 FIXED 6                           | CUSIP: 31410ULR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257207 | PA      | $269973.90     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-312                                                             | FREDDIEMAC STRIP FHS 312 V1                                 | CUSIP: 3132HTRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3163410 | PA      | $3118778.60    | 0.01%             | 2043-09-15      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                              | BFLD TRUST BFLD 2020 EYP A 144A                             | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14300000 | PA      | $11411776.09   | 0.02%             | 2035-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE9188 FN 11/40 FIXED 4                           | CUSIP: 31419LF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2710 | PA      | $2626.69       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LN TR INC 2007-AMC4                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC4 A2D           | CUSIP: 17313BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1552885 | PA      | $1548489.94    | 0.00%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7374 FR 05/52 FIXED 3                   | CUSIP: 3133KPFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2142128 | PA      | $1885028.28    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 11/28 4.5                  | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $4556505.57    | 0.01%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV JR SUBORDINA 12/99 VAR                         | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |       200000 | PA      | $173927.06     | 0.00%             | 2031-05-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 05/26 0.00000                                 | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       700000 | PA      | $697609.93     | 0.00%             | 2026-05-05      | None          | 0.00%                 | 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        |        29667 | PA      | $30576.82      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5124 FN 02/53 FIXED 5.5                         | CUSIP: 3140MWVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26229 | PA      | $26471.36      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4567 FN 01/48 FIXED 4                           | CUSIP: 3140H6CD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32398 | PA      | $31129.10      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-217573.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6           | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     93230000 | PA      | $27355754.02   | 0.06%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A X 144A                        | CUSIP: ACI2V5FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       310890 | PA      | $410355.45     | 0.00%             | 2056-08-28      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05936 FG 07/40 FIXED 4                   | CUSIP: 3128M74V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2463 | PA      | $2388.80       | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255934 FN 11/35 FIXED 6                           | CUSIP: 31371MHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4491 | PA      | $4713.81       | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT JUN26 XCBT 20260618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1765 | NC      | $7415938.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-150                                                       | FANNIE MAE FNR 2010 150 KF                                  | CUSIP: 31397QCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32799 | PA      | $32737.15      | 0.00%             | 2040-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 54CB 2A5          | CUSIP: 12668APJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       729755 | PA      | $370696.54     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-3535.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257238 FN 06/28 FIXED 5                           | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7988 | PA      | $8030.68       | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-124105.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 5                 | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     37700000 | PA      | $38033573.37   | 0.08%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2                                    | NOVASTAR HOME EQUITY LOAN NHEL 2006 2 A2C                   | CUSIP: 66988VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1467425 | PA      | $1098993.18    | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 919372 FN 05/37 FIXED 6                           | CUSIP: 31412AMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38910 | PA      | $39678.90      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080011 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7386 | PA      | $7392.22       | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CE4252 GN 10/51 FIXED 4                           | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68104 | PA      | $64075.68      | 0.00%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                                | MNSN HOLDINGS INC COMMON STOCK                              | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         7633 | NS      | $473246.00     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| LONG BEACH MTGE LOAN TR 2005-1                                                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 1 M4              | CUSIP: 542514KC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1796247 | PA      | $1780541.97    | 0.00%             | 2035-02-25      | Floating      | 5.07%                 | 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        |      1124583 | PA      | $1026201.79    | 0.00%             | 2037-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX8452 FN 11/44 FIXED 4                           | CUSIP: 3138YAMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       659517 | PA      | $635439.73     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC                                      | ACRES PLC ACRES 2026 FL4 A 144A                             | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2800000 | PA      | $2798196.10    | 0.01%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS GBP SONIO/0.90000 03/11/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $14974203.33   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 07/30 VAR              | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     22400000 | PA      | $22673426.50   | 0.05%             | 2030-07-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2662                                                                 | FREDDIE MAC FHR 2662 MT                                     | CUSIP: 31394H4A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41353 | PA      | $41294.03      | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852234 FN 12/35 FIXED 5.5                         | CUSIP: 31408HY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34985 | PA      | $35980.01      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | 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        |        49829 | PA      | $51284.65      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $680638.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $12553542.14   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO6757 FN 06/42 FIXED 4                           | CUSIP: 3138LXQK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43449 | PA      | $42242.94      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE                                                                 | CALIFORNIA ST CAS 04/34 FIXED 7.5                           | CUSIP: 13063A5E0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |         2000 | PA      | $2299.20       | 0.00%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                               | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     17400000 | PA      | $11310000.00   | 0.02%             | 2029-04-09      | Floating      | 15.86%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS3951 FR 04/35 FIXED 6                   | CUSIP: 3132A4L89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20752 | PA      | $21190.81      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $163640.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6963 FN 10/28 FIXED 3.5                         | CUSIP: 3138X6WZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44547 | PA      | $44221.01      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | SYNCHRONY FINANCIAL SR UNSECURED 03/29 5.15                 | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      5450000 | PA      | $5465166.48    | 0.01%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5791076.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929940 FN 09/38 FIXED 6                           | CUSIP: 31412NEM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214211 | PA      | $224853.05     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2B                   | CUSIP: 669971AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3427608 | PA      | $1069034.89    | 0.00%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BN9288 GN 07/49 FIXED 4                           | CUSIP: 3617KDJ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24125 | PA      | $22802.75      | 0.00%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $38147.67      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-36501.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A7             | CUSIP: 16163FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       547013 | PA      | $208261.02     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A4           | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       186444 | PA      | $171851.83     | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC6 A2            | CUSIP: 073879LP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       535830 | PA      | $456443.53     | 0.00%             | 2034-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8148 G2 07/52 FIXED 3                        | CUSIP: 36179XBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8809059 | PA      | $7884407.62    | 0.02%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 2A3                   | CUSIP: 07386HFU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       372763 | PA      | $357113.24     | 0.00%             | 2034-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFORMATION SVCS                              | CUSIP: 31622GDL8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      1155000 | PA      | $1152432.55    | 0.00%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2296 FN 02/48 FIXED 4                           | CUSIP: 3140H3RS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       748178 | PA      | $714966.38     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1                  | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1060 | PA      | $1036.35       | 0.00%             | 2033-11-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR             | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     25600000 | PA      | $26421542.66   | 0.06%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 942786 FN 08/37 FIXED 6                           | CUSIP: 31413D2T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28024 | PA      | $29415.03      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP3                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A           | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2484926 | PA      | $2139482.17    | 0.00%             | 2035-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 846704 FN 01/36 FIXED 6                           | CUSIP: 31408BU55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15015 | PA      | $15576.81      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A                | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8810774 | PA      | $7932555.76    | 0.02%             | 2037-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR                  | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     20464000 | PA      | $20660905.63   | 0.04%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1            | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7046697 | PA      | $6385077.75    | 0.01%             | 2047-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CN6795 G2 09/46 FIXED 3                        | CUSIP: 3617F6RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       866316 | PA      | $772851.89     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH5604 FN 02/41 FIXED 4                           | CUSIP: 3138A7GN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27688 | PA      | $26793.61      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A5             | CUSIP: 95002EBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9400000 | PA      | $8781551.44    | 0.02%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $31696.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261130                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $80274.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -17872259 | PA      | $-17863015.11  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4700 FN 08/52 FIXED 4                           | CUSIP: 31418EGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1099376 | PA      | $1038566.40    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A4           | CUSIP: 02147QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       739529 | PA      | $403255.75     | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5348 FN 06/29 FIXED 3.5                         | CUSIP: 3138XU5J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7257 | PA      | $7185.91       | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2019-COR6                            | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2019 COR6 A4           | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7900000 | PA      | $7202535.07    | 0.02%             | 2052-11-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781078 GN 08/29 FIXED 8.5                         | CUSIP: 36225BFT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          557 | PA      | $567.24        | 0.00%             | 2029-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821213 FN 05/35 FIXED 6                           | CUSIP: 31406VK21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30469 | PA      | $31406.15      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901486 FN 11/36 FIXED 6                           | CUSIP: 31410YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22624 | PA      | $23194.60      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 01/30 5.565                              | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     37900000 | PA      | $38850548.30   | 0.08%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 02/29 5.2                  | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      5300000 | PA      | $5391810.26    | 0.01%             | 2029-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                                | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A1F 144A         | CUSIP: 57643QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1768040 | PA      | $802752.72     | 0.00%             | 2035-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                           | HARLEY DAVIDSON FND CP                                      | CUSIP: 41282KDG0<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3094312.43    | 0.01%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6045 FN 07/53 FIXED 5.5                         | CUSIP: 3140NNWF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       238222 | PA      | $240378.47     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1             | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       601429 | PA      | $555432.45     | 0.00%             | 2035-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $563.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5         | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |      8500000 | PA      | $8475732.59    | 0.02%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-1                                                   | HOME EQUITY ASSET TRUST HEAT 2005 1 M5                      | CUSIP: 437084HU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107996 | PA      | $107872.18     | 0.00%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                  | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $247287.50     | 0.00%             | 2029-01-08      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C64710 FG 03/32 FIXED 6.5                 | CUSIP: 31287QGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          500 | PA      | $517.77        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-13583.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG REGS 01/27 1.625                           | CUSIP: ACI1J0CL3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |       400000 | PA      | $458086.66     | 0.00%             | 2027-01-20      | Fixed         | 1.62%                 | 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        |        38910 | PA      | $39532.51      | 0.00%             | 2030-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3904 FN 03/53 FIXED VAR                         | CUSIP: 3140XKKS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195788 | PA      | $194121.45     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $66749.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45        | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       500000 | PA      | $457337.33     | 0.00%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1           | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       346124 | PA      | $227685.83     | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3414 FN 07/43 FIXED 3                           | CUSIP: 3138X2YL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4566 | PA      | $4184.05       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008878 G2 05/26 FLOATING VAR                   | CUSIP: 36202K2K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           79 | PA      | $78.82         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9752 FN 06/43 FIXED 3                           | CUSIP: 31417GZS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13913 | PA      | $12743.52      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PERU LA SP BOA                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $115117.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.61740 09/30/22-25Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $23930907.85   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824324 FN 06/35 FIXED 6                           | CUSIP: 31406YYV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1294 | PA      | $1342.23       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260414                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-114788.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA0893 FN 12/38 FIXED 5                           | CUSIP: 31416H7F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33684 | PA      | $33806.30      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ9940 GN 12/44 FIXED 3.5                         | CUSIP: 36183GBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58352 | PA      | $54858.79      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 822816 FN 04/35 FIXED 5                           | CUSIP: 31406XDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3737 | PA      | $3769.13       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |            1 | NC      | $90742.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                               | PUBLIC SERVICE COLORADO 1ST MORTGAGE 01/31 1.9              | CUSIP: 744448CT6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1678912.14    | 0.00%             | 2031-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A B 144A                           | CUSIP: ACI2M1B10<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     16082713 | PA      | $21289172.48   | 0.05%             | 2035-06-21      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1404816.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 822494 FN 06/35 FIXED 6                           | CUSIP: 31406WXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1204 | PA      | $1248.70       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260430                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-103050.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6516 FN 01/46 FIXED 4                           | CUSIP: 3138WGG24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34585 | PA      | $33284.62      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                    | SUN COMMUNITIES OPER LP COMPANY GUAR 04/32 4.2              | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      6300000 | PA      | $6001231.32    | 0.01%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 09/26 5.375                            | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     26700000 | PA      | $26721311.41   | 0.06%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1              | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201839 | PA      | $188721.89     | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7            | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10100000 | PA      | $9942552.21    | 0.02%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3771 FN 09/39 FIXED 3                           | CUSIP: 31418DFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115502 | PA      | $108499.80     | 0.00%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2005-10                                           | BANC OF AMERICA ALTERNATIVE LO BOAA 2005 10 2CB1            | CUSIP: 05948KR84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       187303 | PA      | $164856.65     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $5594.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-57626.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257025 FN 12/27 FIXED 6.5                         | CUSIP: 31371NPJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          226 | PA      | $233.30        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W7                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W7 A5                         | CUSIP: 31392DD74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6376 | PA      | $6755.96       | 0.00%             | 2029-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9301 FN 02/45 FIXED 4                           | CUSIP: 3138YBKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6500 | PA      | $6248.27       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $357101.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M4               | CUSIP: 86358ESN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2291740 | PA      | $2269700.06    | 0.00%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4305                                                          | FREDDIE MAC FHR 4305 SB                                     | CUSIP: 3137B8A64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1935439 | PA      | $169431.46     | 0.00%             | 2039-06-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3627 FN 04/32 FIXED VAR                         | CUSIP: 3138ELA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37915 | PA      | $37899.45      | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | 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        |       600148 | PA      | $567007.78     | 0.00%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 723258 FN 07/32 FIXED 6.5                         | CUSIP: 31402AQK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          660 | PA      | $683.05        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV2859 FN 03/52 FIXED 3                           | CUSIP: 3140MGE98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112622 | PA      | $99789.26      | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928205 FN 04/37 FIXED 6                           | CUSIP: 31412LGN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4766 | PA      | $5001.98       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $137614.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 31A1                  | CUSIP: 07386HP54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3264106 | PA      | $1295151.75    | 0.00%             | 2036-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED BANK/NEW YORK BRANCH                                          | STANDARD CHARTERED BK/NY SR UNSECURED 12/27 4.853           | CUSIP: 85325X2B1<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |     19800000 | PA      | $20021378.65   | 0.04%             | 2027-12-03      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR0693 FN 12/27 FIXED 3                           | CUSIP: 3138NWXX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7312 | PA      | $7256.22       | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8592 FN 04/48 FIXED 4                           | CUSIP: 3140HARN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93471 | PA      | $89565.59      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3179 FN 05/43 FIXED 3                           | CUSIP: 3138WQQ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156987 | PA      | $143940.48     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 988459 FN 10/38 FIXED 6                           | CUSIP: 31415TB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17142 | PA      | $17574.24      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3294 FN 09/44 FIXED 4                           | CUSIP: 3138WCUU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51204 | PA      | $49353.30      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7497 FN 12/29 FIXED 3.5                         | CUSIP: 3138Y9KK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50091 | PA      | $49367.46      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H25                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H25 FA              | CUSIP: 38382YB85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76887571 | PA      | $78579313.18   | 0.17%             | 2072-11-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0361 FH 10/35 FLOATING VAR              | CUSIP: 3128NCMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128514 | PA      | $131830.44     | 0.00%             | 2035-10-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-560758.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $79.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7029 FN 06/29 FIXED 3.5                         | CUSIP: 3138XWY36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299900 | PA      | $296622.35     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2960 FN 04/47 FIXED 4                           | CUSIP: 31418CJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2370123 | PA      | $2272695.60    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8289 FR 01/53 FIXED 5.5                 | CUSIP: 3132DWF65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85948701 | PA      | $86744370.73   | 0.18%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 17 1A1                     | CUSIP: 12669G5M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97675 | PA      | $96000.08      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826486 FN 07/35 FIXED 6                           | CUSIP: 31407CF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16077 | PA      | $16740.65      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C90986 FG 06/26 FIXED 7                   | CUSIP: 3128P7CX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           11 | PA      | $11.85         | 0.00%             | 2026-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91349 FG 12/30 FIXED 4.5                 | CUSIP: 3128P7QA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5339 | PA      | $5352.69       | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 930112 FN 11/38 FIXED 5.5                         | CUSIP: 31412NKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7537 | PA      | $7745.08       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AI9896 GN 08/44 FIXED 3.5                         | CUSIP: 36198W7H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3548411 | PA      | $3336032.74    | 0.01%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                                | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR                  | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $722575.00     | 0.00%             | 2031-09-14      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A97301 FG 03/41 FIXED 4.5                 | CUSIP: 312946DE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37880 | PA      | $37555.53      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H09                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H09 FB              | CUSIP: 38375UYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1519275 | PA      | $1539440.34    | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190445 FN 03/55 FIXED VAR                         | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23397296 | PA      | $24205442.47   | 0.05%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                                  | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |        26809 | NS      | $1030269.87    | 0.00%             |  |  |  | No            |                  1 | 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        |         1337 | PA      | $1364.31       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO9381 G2 07/46 FIXED 3                        | CUSIP: 3617FMM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1073376 | PA      | $957572.70     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1             | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112979 | PA      | $97330.01      | 0.00%             | 2037-02-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 704454 FN 05/33 FLOATING VAR                      | CUSIP: 31401CTK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1892 | PA      | $1925.56       | 0.00%             | 2033-05-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $121358.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 11/27 3.5          | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $982244.00     | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG REGS 09/30 VAR                             | CUSIP: ACI27THY8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     22200000 | PA      | $26593708.30   | 0.06%             | 2030-09-05      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MF1               | CUSIP: 126673ZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15234188 | PA      | $14839890.72   | 0.03%             | 2035-08-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5341 FN 11/26 FIXED 3.5                         | CUSIP: 3138AW5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3728 | PA      | $3711.79       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938805 FN 06/37 FIXED 6                           | CUSIP: 31412YNW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20175 | PA      | $20967.08      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 462818 GN 06/28 FIXED 6.5                         | CUSIP: 36208WDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          112 | PA      | $114.22        | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8033 FR 02/35 FIXED 3.5                 | CUSIP: 3132D54S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       529981 | PA      | $518483.45     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A Z 144A                        | CUSIP: ACI2V5FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11760000 | PA      | $12474380.52   | 0.03%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $56362.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0649 FN 08/38 FIXED VAR                         | CUSIP: 31418MWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155459 | PA      | $160506.11     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65                 | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       275000 | PA      | $273088.55     | 0.00%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008877 G2 05/26 FLOATING VAR                   | CUSIP: 36202K2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            5 | PA      | $5.02          | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE7891 FR 08/52 FIXED 4.5                 | CUSIP: 3133BHXU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       920044 | PA      | $893397.53     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4200 FN 02/28 FIXED VAR                         | CUSIP: 3140J8U27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20243 | PA      | $20161.97      | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323424 FN 12/28 FIXED VAR                         | CUSIP: 31374TG94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           38 | PA      | $38.32         | 0.00%             | 2028-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 953591 FN 01/38 FIXED 5.5                         | CUSIP: 31413R2Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31866 | PA      | $32773.02      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | 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        |          375 | PA      | $373.41        | 0.00%             | 2027-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8138 FN 09/35 FIXED VAR                         | CUSIP: 3140XCBG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19848 | PA      | $19506.87      | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A          | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9852693 | PA      | $9951457.81    | 0.02%             | 2055-02-16      | Floating      | 5.12%                 | 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        |       252259 | PA      | $245524.45     | 0.00%             | 2036-05-25      | Floating      | 3.97%                 | 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        |         9751 | PA      | $10116.02      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A             | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1769365 | PA      | $1811461.44    | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED REGS 01/28 VAR                    | CUSIP: ACI1HYKW8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      2000000 | PA      | $2271480.67    | 0.00%             | 2028-01-14      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U91254 FG 04/43 FIXED 4                   | CUSIP: 3132HBH73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68861 | PA      | $67014.47      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PARK                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2018 PARK A 144A        | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5681000 | PA      | $5559203.90    | 0.01%             | 2038-08-10      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 M2 144A        | CUSIP: 17326UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2450000 | PA      | $2296041.51    | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8098 G2 06/52 FIXED 3                        | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6358832 | PA      | $5685047.54    | 0.01%             | 2052-06-20      | Fixed         | 3.00%                 | 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        |         4851 | PA      | $4867.73       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080204 G2 06/28 FLOATING VAR                   | CUSIP: 36225CGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22084 | PA      | $22088.18      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A           | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28122 | PA      | $27019.91      | 0.00%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A3               | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11572 | PA      | $11561.27      | 0.00%             | 2047-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745849 FN 04/34 FLOATING VAR                      | CUSIP: 31403DTE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8764 | PA      | $9065.29       | 0.00%             | 2034-04-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 PT 144A         | CUSIP: 12594YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3486237 | PA      | $2723446.60    | 0.01%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A3                  | CUSIP: 46628YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345600 | PA      | $131208.63     | 0.00%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                                     | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A                 | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22737013 | PA      | $26313185.66   | 0.06%             | 2034-04-24      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15               | CUSIP: P78024AF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     36400000 | PA      | $10938932.73   | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7132772 | PA      | $4014105.17    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8243 FR 08/53 FIXED 5.5                 | CUSIP: 3133C9EQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3759146 | PA      | $3781847.55    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5452                                                          | FREDDIE MAC FHR 5452 JF                                     | CUSIP: 3137HFGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       901226 | PA      | $907176.35     | 0.00%             | 2054-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $575090.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866066 FN 03/36 FLOATING VAR                      | CUSIP: 31409BFF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58955 | PA      | $60270.47      | 0.00%             | 2036-03-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                                | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A                 | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3484861 | PA      | $4032988.59    | 0.01%             | 2031-10-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 09/27 VAR                 | CUSIP: 06051GLX5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $15056854.50   | 0.03%             | 2027-09-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 04/27 2.8                          | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       300000 | PA      | $294911.22     | 0.00%             | 2027-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $3546212.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0135 FN 07/28 FIXED VAR                         | CUSIP: 3140XFEH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7659 | PA      | $7624.57       | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                                  | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95               | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |      6830000 | PA      | $6741439.97    | 0.01%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 2A3           | CUSIP: 83612KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       228634 | PA      | $226290.88     | 0.00%             | 2037-08-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0200 FN 10/28 FIXED 3.5                         | CUSIP: 3138XBGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193251 | PA      | $191342.42     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0199 FN 04/51 FIXED 3                           | CUSIP: 3140QKGH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          766 | PA      | $676.67        | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A                  | CUSIP: 3137HHH38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4586333 | PA      | $4584268.36    | 0.01%             | 2027-08-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A9           | CUSIP: 02147LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       726869 | PA      | $382173.68     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887577 FN 07/36 FIXED 6                           | CUSIP: 31410FCN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13078 | PA      | $13497.72      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A            | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3956657 | PA      | $3852957.25    | 0.01%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2963 FN 05/45 FIXED 4                           | CUSIP: 3138YGJH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30615 | PA      | $29500.27      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M1              | CUSIP: 86358EPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7739845 | PA      | $7654853.96    | 0.02%             | 2035-01-25      | Floating      | 4.72%                 | 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        |      2884984 | PA      | $2868721.80    | 0.01%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/41 2                                     | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63700000 | PA      | $44074925.62   | 0.09%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7198 FN 07/53 FIXED 6                           | CUSIP: 3140QS7L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540386 | PA      | $554572.59     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | HUMANA INC.                                                 | CUSIP: 44486JDD8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6091213.56    | 0.01%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5303 FN 06/53 FIXED 6                           | CUSIP: 3140MW3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       406643 | PA      | $415876.56     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $450914.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1                                     | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 F1 1A2             | CUSIP: 59023YAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1040481 | PA      | $86646.67      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2482 FR 10/53 FIXED 5.5                 | CUSIP: 3133CEXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       238327 | PA      | $240479.15     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM0247 GN 03/45 FIXED 3.5                         | CUSIP: 36184KHY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10191 | PA      | $9581.35       | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922989 FN 12/36 FIXED 6                           | CUSIP: 31412ENE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4177 | PA      | $4305.39       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4                 | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1236539 | PA      | $1134806.06    | 0.00%             | 2037-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4                   | CUSIP: 3132A5G33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6073649 | PA      | $5823983.82    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 4A1                        | CUSIP: 52520MCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3322663 | PA      | $489561.77     | 0.00%             | 2035-12-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30357 FG 09/27 FIXED 6                   | CUSIP: 3128CUME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       109686 | PA      | $111944.83     | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3704 FR 11/26 FIXED 3                   | CUSIP: 3131X7DH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41074 | PA      | $40871.49      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903546 FN 10/36 FIXED 6                           | CUSIP: 31411BZK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22101 | PA      | $22770.03      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | 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        |        30401 | PA      | $31283.22      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8216 FN 01/27 FIXED 4                           | CUSIP: 3138E1DW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1695 | PA      | $1691.14       | 0.00%             | 2027-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2684                                                                 | FREDDIE MAC FHR 2684 ZN                                     | CUSIP: 31394L5S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42255 | PA      | $41147.26      | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AI9978 GN 09/44 FIXED 3.5                         | CUSIP: 36198XCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3428 | PA      | $3221.17       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260821                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $33599.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1338 FN 06/45 FIXED 4                           | CUSIP: 3138YSPY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4312 | PA      | $4142.55       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4508 FN 11/45 FIXED 4                           | CUSIP: 3140E9AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1448539 | PA      | $1394088.62    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-647.36       | -0.00%            |  |  |  | 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        |          205 | PA      | $203.87        | 0.00%             | 2028-02-01      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5 1A11               | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4540112 | PA      | $2063128.21    | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781287 GN 05/31 FIXED 7                           | CUSIP: 36225BNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          619 | PA      | $641.58        | 0.00%             | 2031-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $4771608.99    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3355 FN 08/41 FIXED 5                           | CUSIP: 31416YWR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9451 | PA      | $9556.60       | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR9856 FN 04/43 FIXED 3                           | CUSIP: 3138W75S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45428 | PA      | $41638.44      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV2 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV2 A3 144A         | CUSIP: 12659TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25549341 | PA      | $22221255.62   | 0.05%             | 2056-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4595 FN 06/42 FIXED 4                           | CUSIP: 3138LVC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       640124 | PA      | $618484.88     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D            | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4835451 | PA      | $1535683.97    | 0.00%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/27 4.625           | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     10700000 | PA      | $10716035.56   | 0.02%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A          | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1598373 | PA      | $1447072.14    | 0.00%             | 2047-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0384 FN 04/30 FIXED 5                           | CUSIP: 31417YNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26380 | PA      | $26627.35      | 0.00%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8373 FR 11/53 FIXED 6                   | CUSIP: 3132DWJS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96422 | PA      | $98389.85      | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-48095.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 2A1            | CUSIP: 761118TR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       537621 | PA      | $466156.48     | 0.00%             | 2036-02-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/29 2.9             | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1871011.32    | 0.00%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1729 FN 11/28 FIXED 4                           | CUSIP: 31418A4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2068 | PA      | $2057.13       | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4302 FN 11/45 FIXED 4                           | CUSIP: 3140E8X86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20539 | PA      | $19772.70      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 01/33 6.5                 | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      5900000 | PA      | $5784950.00    | 0.01%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0907 FN 07/46 FIXED 4                           | CUSIP: 3140F8AH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62230 | PA      | $59732.90      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU5387 FN 07/43 FIXED 3                           | CUSIP: 3138X46Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       749005 | PA      | $685465.70     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                                    | OCP EURO CLO OCPE 2020 4A ARR 144A                          | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     25690000 | PA      | $29681109.94   | 0.06%             | 2039-10-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9502.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903877 FN 10/36 FIXED 6                           | CUSIP: 31411CFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37114 | PA      | $37980.10      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 836117 FN 09/35 FIXED 6                           | CUSIP: 31407N4A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21455 | PA      | $21878.63      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/26 3.2        | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3677730.70    | 0.01%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5819 G2 03/49 FIXED 5                        | CUSIP: 36179UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44718 | PA      | $45104.05      | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3320 FR 06/26 FIXED 3.5                 | CUSIP: 3131X6VM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          726 | PA      | $723.58        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893451 FN 09/36 FIXED 6                           | CUSIP: 31410PTG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19038 | PA      | $19927.08      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5348 FN 05/50 FIXED 3                           | CUSIP: 3140KC5J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       504208 | PA      | $448218.32     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | 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        |      6395071 | PA      | $6287931.48    | 0.01%             | 2040-08-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 08/41 0.00000                                        | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     26300000 | PA      | $12332237.53   | 0.03%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2228 FN 08/46 FIXED 4                           | CUSIP: 3140F9PN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       873905 | PA      | $834101.81     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/32 VAR                  | CUSIP: 46647PFG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1380538.35    | 0.00%             | 2032-01-22      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 09/16/26-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-37192259.10  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W15                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W15 1A                        | CUSIP: 31393TB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35741 | PA      | $37107.97      | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BS5008 GN 02/50 FIXED 3                           | CUSIP: 3617MFR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       530402 | PA      | $476755.45     | 0.00%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-747.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                        | COREBRIDGE GLOB FUNDING SECURED 144A 08/27 4.65             | CUSIP: 00138CBB3<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |      3300000 | PA      | $3303640.66    | 0.01%             | 2027-08-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORPORATION                                                  | RENESAS ELECTRONICS CORP SR UNSECURED 144A 11/26 2.17       | CUSIP: 75972BAB7<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |      3801000 | PA      | $3742709.57    | 0.01%             | 2026-11-25      | Fixed         | 2.17%                 | 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        |          297 | PA      | $310.67        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6859 FR 05/39 FIXED 3.5                 | CUSIP: 31329QTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48756 | PA      | $46798.49      | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5640 FN 06/46 FIXED 4                           | CUSIP: 3140F1HS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1063348 | PA      | $1023815.05    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1290442.83   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901601 FN 11/36 FIXED 6                           | CUSIP: 31410YU28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48698 | PA      | $50518.10      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A         | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2335655 | PA      | $879094.93     | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3897 FN 10/41 FIXED 4                           | CUSIP: 3138AVKK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84412 | PA      | $81495.65      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375      | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     57500000 | PA      | $58792345.85   | 0.13%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 10/26 3                  | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      4263000 | PA      | $4234247.56    | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 567843 FN 09/30 FIXED 8.5                         | CUSIP: 31386MZG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37152 | PA      | $37987.18      | 0.00%             | 2030-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2          | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1094168 | PA      | $605149.53     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                          | BCAP LLC TRUST BCAP 2007 AA2 12A1                           | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23946 | PA      | $23416.39      | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-87.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S2                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S2 A1 144A         | CUSIP: 31739XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74087784 | PA      | $72367161.84   | 0.15%             | 2075-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9433 FN 09/53 FIXED 5                           | CUSIP: 3140NSPT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1895205 | PA      | $1893039.32    | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-375344.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3834 FN 05/52 FIXED 3                           | CUSIP: 3140QPHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2229641 | PA      | $1967949.70    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6075 FN 10/45 FIXED 4                           | CUSIP: 3138WFXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       187492 | PA      | $180482.24     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR2420 FN 01/43 FIXED 4                           | CUSIP: 3138NYVN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135398 | PA      | $130651.59     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260714                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-2701988.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $29924.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/29 FIXED 1.827     | CUSIP: 650036AX4<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |       800000 | PA      | $753847.84     | 0.00%             | 2029-03-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 679708 FN 09/41 FLOATING VAR                      | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1033993 | PA      | $1040514.50    | 0.00%             | 2041-09-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2            | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127723 | PA      | $6896.59       | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR6                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4             | CUSIP: 39538BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       677460 | PA      | $549916.77     | 0.00%             | 2046-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255189 FN 05/34 FIXED 5                           | CUSIP: 31371LNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4275 | PA      | $4326.76       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894849 FN 09/36 FIXED 6                           | CUSIP: 31410REW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9794 | PA      | $10022.31      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A FR 144A                           | CUSIP: ACI1747D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     33620000 | PA      | $27116287.78   | 0.06%             | 2054-10-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR13 1A1           | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27033 | PA      | $24880.58      | 0.00%             | 2035-01-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3121 FR 02/34 FIXED 3.5                 | CUSIP: 3131Y9PE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34015 | PA      | $33377.74      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 PT 144A        | CUSIP: 17332EAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139417708 | PA      | $117666245.40  | 0.25%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NAUGATUCK CONN                                                                   | NAUGATUCK CT NAU 06/33 FIXED 5.91                           | CUSIP: 639064TC8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       165000 | PA      | $176603.39     | 0.00%             | 2033-06-01      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/29 VAR                 | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8000000 | PA      | $8064837.12    | 0.02%             | 2029-01-24      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 02/32 VAR                 | CUSIP: 060505GQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     15100000 | PA      | $14914228.63   | 0.03%             | 2032-02-06      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3602 FN 02/39 FIXED 3.5                         | CUSIP: 31418DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       500382 | PA      | $482418.25     | 0.00%             | 2039-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARVARD UNIVERSITY                                                               | PRES + FELLOWS OF HARVAR UNSECURED 10/50 2.517              | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |       550000 | PA      | $331550.14     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 959879 FN 11/37 FIXED 5.5                         | CUSIP: 31413Y2L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243137 | PA      | $248708.80     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4LA6 PIMCO SWAPTION 3.5 CALL USD 20260720              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1767700000 | NC      | $2697510.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 07/29 VAR                 | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       850000 | PA      | $846677.19     | 0.00%             | 2029-07-23      | Floating      | 4.27%                 | 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        |         7811 | PA      | $8005.59       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A1                  | CUSIP: 46630GAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20976 | PA      | $21122.98      | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                  | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       161322 | PA      | $156701.39     | 0.00%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                 | VIRGIN MEDIA SECURED FIN SR SECURED 144A 01/30 4.25         | CUSIP: ACI1FYMM0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      8900000 | PA      | $10439465.28   | 0.02%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2186 FR 04/55 FIXED 6.5                 | CUSIP: 31426LNC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50015 | PA      | $51752.97      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                    | INTERCONTINENTALEXCHANGE SR UNSECURED 03/31 4.2             | CUSIP: 45865VAC4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2564979.30    | 0.01%             | 2031-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254638 FN 02/33 FIXED 6                           | CUSIP: 31371KZB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          112 | PA      | $114.88        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 509358 GN 07/29 FIXED 7                           | CUSIP: 36211CZX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          566 | PA      | $582.19        | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 20 A6                      | CUSIP: 126694FD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226586 | PA      | $132240.96     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 823688 FN 06/35 FLOATING VAR                      | CUSIP: 31406YCZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52412 | PA      | $54078.57      | 0.00%             | 2035-06-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BZ2240 FN 12/29 FIXED 4.045                       | CUSIP: 3140NWP25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8530000 | PA      | $8480915.65    | 0.02%             | 2029-12-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                                        | CONTINENTAL RESOURCES COMPANY GUAR 01/28 4.375              | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      2389000 | PA      | $2373634.81    | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3670 FN 04/52 FIXED 3                           | CUSIP: 3140QPCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       693461 | PA      | $610488.61     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A C 144A          | CUSIP: 21055PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8120058 | PA      | $8382413.51    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1              | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4722138 | PA      | $3723555.78    | 0.01%             | 2036-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0907 FN 05/46 FIXED 4                           | CUSIP: 3140EVAH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       791880 | PA      | $760966.44     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4028 FN 05/35 FIXED 3.5                         | CUSIP: 31418DPN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       291657 | PA      | $282458.01     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA5846 FN 01/46 FIXED 4                           | CUSIP: 3140EAP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       194429 | PA      | $189067.82     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                            | BX TRUST BX 2021 21M A 144A                                 | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11067656 | PA      | $11062160.44   | 0.02%             | 2036-10-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5474 FN 05/30 FIXED 5                           | CUSIP: 31418TCL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4078 | PA      | $4103.06       | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A          | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166609685 | PA      | $167926643.18  | 0.36%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-43CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 43CB 1A10         | CUSIP: 02149FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68128 | PA      | $34138.82      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8965 FN 07/46 FIXED 4                           | CUSIP: 3140F46B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1168128 | PA      | $1121804.95    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA2 2A1           | CUSIP: 32051D4S8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41550 | PA      | $41699.94      | 0.00%             | 2034-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 905097 FN 11/36 FIXED 6                           | CUSIP: 31411DRS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14388 | PA      | $14852.23      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080120 G2 10/27 FLOATING VAR                   | CUSIP: 36225CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          289 | PA      | $290.09        | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 05/26 0.00000                                 | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7471000 | PA      | $7443824.24    | 0.02%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937759 FN 06/37 FIXED 6                           | CUSIP: 31412XJC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33477 | PA      | $34942.82      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 405212 FN 06/28 FIXED 6.5                         | CUSIP: 31378QDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           77 | PA      | $77.92         | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5069 FN 05/45 FIXED 4                           | CUSIP: 3138WET33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       605604 | PA      | $583215.31     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREMONT RE LTD                                                                   | TREMONT RE LTD UNSECURED 144A 03/33 VAR                     | CUSIP: 89479VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2033-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08023 FG 11/34 FIXED 6.5                 | CUSIP: 3128MJAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          974 | PA      | $1010.22       | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A F 144A                           | CUSIP: ACI2M1B51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      9300000 | PA      | $12422546.87   | 0.03%             | 2035-06-21      | Floating      | 11.23%                | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 36A AR 144A                       | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     28400000 | PA      | $28434768.42   | 0.06%             | 2034-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080147 G2 12/27 FLOATING VAR                   | CUSIP: 36225CEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6380 | PA      | $6389.17       | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $376186.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-107                                                       | FANNIE MAE FNR 2010 107 JI                                  | CUSIP: 31398NKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3799719 | PA      | $222341.34     | 0.00%             | 2036-03-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-5167645.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080426 G2 07/30 FLOATING VAR                   | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1129 | PA      | $1130.73       | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889602 FN 03/38 FIXED VAR                         | CUSIP: 31410KKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5183 | PA      | $5349.71       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A           | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2944000 | PA      | $2992683.46    | 0.01%             | 2034-03-27      | Fixed         | 5.77%                 | 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        |         5772 | PA      | $5969.11       | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3           | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185433 | PA      | $135789.25     | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | 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        |       179437 | PA      | $167050.79     | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 1A1                            | CUSIP: 16165YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2623165 | PA      | $2360730.35    | 0.01%             | 2037-08-25      | Floating      | 4.09%                 | 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        |       180961 | PA      | $161474.00     | 0.00%             | 2034-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3027 FN 06/47 FIXED 4                           | CUSIP: 31418CLH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28546 | PA      | $27143.48      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/53 1.5                                   | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    212937992 | PA      | $163405976.65  | 0.35%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $14016.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892332 FN 09/36 FIXED 6                           | CUSIP: 31410NLM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89834 | PA      | $93024.95      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4                   | CUSIP: 3132A5GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6308212 | PA      | $6048903.46    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 679640 G2 06/48 FIXED 4                        | CUSIP: 36295TBH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       921505 | PA      | $868315.41     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9793 FN 08/26 FIXED 3.5                         | CUSIP: 3138AP3B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3503 | PA      | $3490.76       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | 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        |       846671 | PA      | $331285.03     | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T1                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T1 A1                     | CUSIP: 31358S4W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15963 | PA      | $16029.65      | 0.00%             | 2040-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A4            | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3076784 | PA      | $2513739.38    | 0.01%             | 2036-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $4821.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 826128 FN 07/35 FLOATING VAR                      | CUSIP: 31407BYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27688 | PA      | $28424.84      | 0.00%             | 2035-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| NAPA VALLEY UNIFIED SCHOOL DISTRICT                                              | NAPA VLY CA UNIF SCH DIST NPVSCD 08/43 FIXED 6.507          | CUSIP: 6303614J9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       200000 | PA      | $214320.24     | 0.00%             | 2043-08-01      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254377 FN 07/32 FIXED 6                           | CUSIP: 31371KQ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          129 | PA      | $132.94        | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A15          | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1367917 | PA      | $745145.42     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                                                 | FREDDIE MAC FHR 2091 ZE                                     | CUSIP: 3133TGU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160097 | PA      | $162029.30     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2017-COR2                                                    | COMM MORTGAGE TRUST COMM 2017 COR2 A3                       | CUSIP: 12595EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19203000 | PA      | $18967709.48   | 0.04%             | 2050-09-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                           | NXP BV/NXP FDG/NXP USA COMPANY GUAR 05/27 3.15              | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      4100000 | PA      | $4043484.94    | 0.01%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847534 FH 03/36 FLOATING VAR              | CUSIP: 3128JRLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3554 | PA      | $3644.74       | 0.00%             | 2036-03-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804850 FN 01/35 FLOATING VAR                      | CUSIP: 31406BEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8130 | PA      | $8285.79       | 0.00%             | 2035-01-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2022-B33                                               | BENCHMARK MORTGAGE TRUST BMARK 2022 B33 A5                  | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34330000 | PA      | $31802855.41   | 0.07%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4076 FR 04/54 FIXED 5.5                 | CUSIP: 3133WAQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31976845 | PA      | $32191476.08   | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                          | BCAP LLC TRUST BCAP 2011 RR6 9A1 144A                       | CUSIP: 05535YAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1577244 | PA      | $945549.21     | 0.00%             | 2036-05-26      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8973 FN 06/52 FIXED 3                           | CUSIP: 3140MN6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       654644 | PA      | $581369.36     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2860 FN 12/28 FIXED 3.5                         | CUSIP: 3138XEFA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46203 | PA      | $45685.72      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 11/28 VAR                    | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     61500000 | PA      | $64122703.79   | 0.14%             | 2028-11-03      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $621893.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6575 FN 10/45 FIXED 4                           | CUSIP: 3138YYJV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319244 | PA      | $307956.17     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A             | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28787066 | PA      | $28499987.42   | 0.06%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A93101 FG 07/40 FIXED 5                   | CUSIP: 312941NS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1279 | PA      | $1295.09       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 807963 FN 01/35 FIXED 5                           | CUSIP: 31406ETU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          667 | PA      | $667.70        | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908808 FN 03/37 FIXED 6                           | CUSIP: 31411HU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9557 | PA      | $9746.33       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | 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        |        26645 | PA      | $22810.11      | 0.00%             | 2035-09-25      | Floating      | 4.90%                 | 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        |          220 | PA      | $226.91        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 03/28 4.375           | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      2300000 | PA      | $2296403.44    | 0.00%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849272 FN 01/36 FLOATING VAR                      | CUSIP: 31408EQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          587 | PA      | $596.84        | 0.00%             | 2036-01-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL CM2182 GN 03/52 FIXED 4                           | CUSIP: 3617YMM74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       152881 | PA      | $143746.14     | 0.00%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555080 FN 11/32 FIXED VAR                         | CUSIP: 31385WUD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          109 | PA      | $112.27        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV1823 FN 12/28 FIXED 3.5                         | CUSIP: 3138XDAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1369 | PA      | $1356.20       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 3A2             | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89446 | PA      | $85342.97      | 0.00%             | 2033-05-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4              | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1816259 | PA      | $1658518.23    | 0.00%             | 2037-05-25      | Floating      | 4.59%                 | 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        |       161187 | PA      | $159395.76     | 0.00%             | 2033-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080312 G2 08/29 FLOATING VAR                   | CUSIP: 36225CK21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          480 | PA      | $481.09        | 0.00%             | 2029-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK5983 FR 09/28 FIXED 3.5                 | CUSIP: 3131X9UG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28205 | PA      | $27941.75      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-SB1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2002 SB1 AII1           | CUSIP: 04542BAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       325668 | PA      | $327413.11     | 0.00%             | 2030-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1            | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1464401 | PA      | $1384999.77    | 0.00%             | 2036-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880330 FN 04/36 FIXED 6                           | CUSIP: 31409WA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          742 | PA      | $760.51        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252254 FN 02/29 FIXED 6                           | CUSIP: 31371HE38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          779 | PA      | $794.24        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888912 FN 11/37 FLOATING VAR                      | CUSIP: 31410GR96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2486 | PA      | $2501.15       | 0.00%             | 2037-11-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK1743 FN 01/42 FIXED 5                           | CUSIP: 3138E55D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10930 | PA      | $10976.91      | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 05/37 6.875              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     11400000 | PA      | $11970000.00   | 0.03%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H15 FA              | CUSIP: 38384AV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43406880 | PA      | $44434030.51   | 0.09%             | 2073-06-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 2A1            | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2460429 | PA      | $1687727.31    | 0.00%             | 2037-07-27      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004928 G2 01/41 FIXED 6                        | CUSIP: 36202FPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11974 | PA      | $12235.58      | 0.00%             | 2041-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 10/45 6.484             | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1384270.23    | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS6809 FN 02/54 FIXED VAR                         | CUSIP: 3140XNR71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16793818 | PA      | $16930904.77   | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | 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        |       315392 | PA      | $176552.21     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |       673101 | PA      | $685814.19     | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260430                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-123025.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 935193 FN 06/39 FIXED 6.5                         | CUSIP: 31412UNJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5447 | PA      | $5699.02       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-634578.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2259                                                                 | FREDDIE MAC FHR 2259 ZM                                     | CUSIP: 3133TQC54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57111 | PA      | $58718.62      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $13721.97      | 0.00%             |  |  |  | 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        |         4846 | PA      | $4810.87       | 0.00%             | 2034-01-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-22                                                               | FANNIE MAE FNR 2001 22 F                                    | CUSIP: 31359SVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37266 | PA      | $37375.35      | 0.00%             | 2031-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H16                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H16 FM              | CUSIP: 38376REA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1629742 | PA      | $1631074.04    | 0.00%             | 2065-07-20      | Floating      | 4.38%                 | 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        |      2236646 | PA      | $1817793.15    | 0.00%             | 2035-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-32                                                               | FANNIE MAE FNR 2003 32 BZ                                   | CUSIP: 31393BKJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91485 | PA      | $93481.02      | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | 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        |          149 | PA      | $149.34        | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257041 FN 01/38 FIXED 5.5                         | CUSIP: 31371NP25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35814 | PA      | $36953.57      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016              | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     18500000 | PA      | $18249299.10   | 0.04%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256713 FN 05/27 FIXED 5                           | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4578 | PA      | $4577.90       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A           | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4298881 | PA      | $4301466.65    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-42CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 42CB A1           | CUSIP: 12667G4S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       999506 | PA      | $540789.27     | 0.00%             | 2035-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                      | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $406400.00     | 0.00%             | 2032-03-13      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY1377 FN 04/45 FIXED 4                           | CUSIP: 3138YEQ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       565455 | PA      | $544432.40     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91240 FG 01/29 FIXED 4.5                 | CUSIP: 3128P7LV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39008 | PA      | $38998.19      | 0.00%             | 2029-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735457 FN 04/35 FLOATING VAR                      | CUSIP: 31402RB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4153 | PA      | $4239.73       | 0.00%             | 2035-04-01      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                               | MET LIFE GLOB FUNDING I SECURED 144A 12/26 3.45             | CUSIP: 59217GBY4<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $7457286.83    | 0.02%             | 2026-12-18      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1                   | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183380 | PA      | $159309.51     | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8944 FN 10/46 FIXED 4                           | CUSIP: 3140FG5E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39969 | PA      | $38434.90      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3588 FN 02/34 FIXED 3.5                         | CUSIP: 31418C7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       648135 | PA      | $636410.24     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2886666.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B16                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B16 ASB                 | CUSIP: 08161NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7524638 | PA      | $7284950.30    | 0.02%             | 2053-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0385 FN 06/53 FIXED 5.5                         | CUSIP: 3140NGNB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       795530 | PA      | $801071.25     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A1 144A         | CUSIP: 21056EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       904840 | PA      | $905828.29     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 824721 FN 05/35 FLOATING VAR                      | CUSIP: 31407AG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       230548 | PA      | $236734.18     | 0.00%             | 2035-05-01      | Floating      | 6.51%                 | 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        |         3136 | PA      | $2905.89       | 0.00%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T8                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T8 A1                     | CUSIP: 313920UK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10651 | PA      | $10929.24      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 01/32 2                           | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     33500000 | PA      | $32167068.90   | 0.07%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 891332 FN 04/36 FLOATING VAR                      | CUSIP: 31410MHH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6902 | PA      | $7045.35       | 0.00%             | 2036-04-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 11/28 6.607                              | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     15800000 | PA      | $16608516.49   | 0.04%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2723 FN 04/46 FIXED 4                           | CUSIP: 3140EXAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       553011 | PA      | $532881.12     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 773385 FN 05/34 FIXED 5.5                         | CUSIP: 31404NF27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11704 | PA      | $11819.83      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/28 4.75       | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     39500000 | PA      | $39493172.03   | 0.08%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2474179078 | PA      | $2384117499.80 | 5.07%             | 2056-06-11      | Fixed         | 4.50%                 | 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        |        65208 | PA      | $63363.35      | 0.00%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                        | CANADIAN IMPERIAL BANK SR UNSECURED 09/31 VAR               | CUSIP: 13607QFE7<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     10000000 | PA      | $9961291.60    | 0.02%             | 2031-09-08      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                             | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR               | CUSIP: 92853KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2400000 | PA      | $2400120.00    | 0.01%             | 2031-01-08      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $342907.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA0681 FN 11/45 FIXED 4                           | CUSIP: 3140E4XK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       723917 | PA      | $694498.86     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | 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        |       134802 | PA      | $137490.45     | 0.00%             | 2030-01-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 867556 FN 02/36 FIXED 6                           | CUSIP: 31409CZV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          402 | PA      | $419.27        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357821 FN 05/35 FIXED 6                           | CUSIP: 31376KPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          883 | PA      | $918.14        | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2138                                                                 | FREDDIE MAC FHR 2138 Z                                      | CUSIP: 3133TJUD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14609 | PA      | $14876.83      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A13                    | CUSIP: 3622MPBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       453666 | PA      | $268591.04     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES INC 2006-4                                          | CITICORP MORTGAGE SECURITIES, CMSI 2006 4 1A9               | CUSIP: 17310DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       196273 | PA      | $180315.64     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR                | CUSIP: 13947LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1300000.00    | 0.00%             | 2033-03-21      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4766 FN 01/46 FIXED 4                           | CUSIP: 3140E9JL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       330532 | PA      | $316866.40     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV6                              | OCEANVIEW MORTGAGE TRUST BVINV 2021 6 AF 144A               | CUSIP: 07335UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       368132 | PA      | $344577.75     | 0.00%             | 2051-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                         | AMERICAN EXPRESS CO SR UNSECURED 01/31 VAR                  | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $5085768.85    | 0.01%             | 2031-01-30      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-9622.43      | -0.00%            |  |  |  | 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        |      6841155 | PA      | $6849400.30    | 0.01%             | 2032-04-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                                       | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                      | CUSIP: 48130PES1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       300000 | PA      | $298237.26     | 0.00%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A             | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2875531 | PA      | $2678608.16    | 0.01%             | 2037-07-27      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 2 1A1                      | CUSIP: 81744LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226633 | PA      | $213515.39     | 0.00%             | 2036-06-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                                  | TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/28 4.05            | CUSIP: 89236TNR2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1993995.12    | 0.00%             | 2028-09-05      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LTD                                     | ROYAL BK SCOTLAND INTL LTD USD SR NT SER E                  | CUSIP: 929QCQII3<br>LEI: 21380078CCZSEEIIKA41 | Long             | DBT              | CORP              | JE        |     40000000 | PA      | $39487012.40   | 0.08%             | 2028-12-16      | Fixed         | 4.66%                 | Yes           |                  3 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 3 A1                    | CUSIP: 66987XCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133802 | PA      | $133358.91     | 0.00%             | 2033-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C69448 FG 07/32 FIXED 7.5                 | CUSIP: 31287VP95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           77 | PA      | $77.50         | 0.00%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3           | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       804719 | PA      | $758293.88     | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XIV LLC 2022-1A                                                 | OSCAR US FUNDING TRUST OSCAR 2022 1A A4 144A                | CUSIP: 68784HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |      1851750 | PA      | $1837737.40    | 0.00%             | 2029-04-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75       | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     22200000 | PA      | $24193669.64   | 0.05%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2458 FN 11/45 FIXED 4                           | CUSIP: 31418BWU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2378999 | PA      | $2289076.48    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A1            | CUSIP: 617487AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3114888 | PA      | $855537.93     | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/29 FIXED 2.046     | CUSIP: 2350366R6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1400000 | PA      | $1300692.82    | 0.00%             | 2029-11-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       176073 | NS      | $4049679.00    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE INC SR UNSECURED 09/28 4.8                     | CUSIP: 22822VBB6<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $4022002.52    | 0.01%             | 2028-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7533 FN 01/27 FIXED 3.5                         | CUSIP: 3138E0LP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29319 | PA      | $29167.35      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1111285.02    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559804 FN 10/40 FLOATING VAR                      | CUSIP: 31386C3M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15845 | PA      | $15895.54      | 0.00%             | 2040-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -608 | NC      | $-226256.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                       | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A                 | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14150000 | PA      | $14150651.47   | 0.03%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 796272 FN 12/34 FIXED 5                           | CUSIP: 31405QT57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6964 | PA      | $6935.98       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL A 144A         | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40309799 | PA      | $38938270.21   | 0.08%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5289 FN 05/29 FIXED 3.5                         | CUSIP: 3138XU2X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25824 | PA      | $25534.49      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820348 FN 09/35 FIXED 5                           | CUSIP: 31406UL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3462 | PA      | $3487.76       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080344 G2 11/29 FLOATING VAR                   | CUSIP: 36225CL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36301 | PA      | $36378.73      | 0.00%             | 2029-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 538254 GN 10/31 FIXED 7.5                         | CUSIP: 36212M5P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          891 | PA      | $895.84        | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                                    | GSAA HOME EQUITY TRUST GSAA 2007 6 1A1                      | CUSIP: 36245RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2327426 | PA      | $1366291.28    | 0.00%             | 2047-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A            | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3492331 | PA      | $3281188.59    | 0.01%             | 2036-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8607 FN 04/33 FIXED 3                           | CUSIP: 3140HAR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       350320 | PA      | $338250.97     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003028 G2 01/31 FIXED 8                        | CUSIP: 36202DLH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           21 | PA      | $22.02         | 0.00%             | 2031-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 10/29 4.2                     | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $7256581.64    | 0.02%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3           | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3800171 | PA      | $3457823.82    | 0.01%             | 2036-12-25      | Floating      | 4.14%                 | 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        |       234614 | PA      | $246252.55     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8105 FR 03/52 FIXED 3                   | CUSIP: 3133B6AE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3985024 | PA      | $3510138.01    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG46 5Y ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5587496.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A2                  | CUSIP: 466247J53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       823689 | PA      | $735399.91     | 0.00%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                    | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 02/30 3.1             | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2638626.48    | 0.01%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                       | CUSIP: 05494AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4127000 | PA      | $3123256.23    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY8237 FN 05/45 FIXED 4                           | CUSIP: 3138YNEK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       431869 | PA      | $414835.90     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-4                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 4 2A1             | CUSIP: 78473WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       323216 | PA      | $239351.24     | 0.00%             | 2037-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5                 | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319062 | PA      | $330335.73     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    385000000 | PA      | $371526047.20  | 0.79%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725057 FN 01/34 FIXED VAR                         | CUSIP: 31402CQJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30995 | PA      | $31941.40      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 02/30 3.05                    | CUSIP: 49427RAP7<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |      6700000 | PA      | $6110746.26    | 0.01%             | 2030-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9972 FR 03/42 FIXED 3                   | CUSIP: 3132ABCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93267 | PA      | $85712.91      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7695 FR 01/27 FIXED 3.5                 | CUSIP: 3132A8RQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3666 | PA      | $3651.28       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A             | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         1812 | PA      | $18708084.04   | 0.04%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 03/30 VAR                              | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      5600000 | PA      | $5760856.81    | 0.01%             | 2030-03-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)                      | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 09/30 3.75         | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9455000 | PA      | $8707489.21    | 0.02%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9190 FN 09/45 FIXED 4                           | CUSIP: 3140E2F89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4817 | PA      | $4646.05       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844270 FN 11/35 FIXED 6                           | CUSIP: 31407X6F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18377 | PA      | $18841.96      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 05/27 3.125            | CUSIP: ACI1MBV00<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     19600000 | PA      | $22428344.22   | 0.05%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A         | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5355496 | PA      | $5314387.50    | 0.01%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908199 FN 01/37 FIXED 6                           | CUSIP: 31411G7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3114 | PA      | $3209.92       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                   | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                     | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13300000 | PA      | $13283375.93   | 0.03%             | 2035-10-23      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-125329.39    | -0.00%            |  |  |  | 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        |      2832163 | PA      | $2791880.25    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                   | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48029708 | PA      | $49895674.53   | 0.11%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                                | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25100000 | PA      | $24251962.87   | 0.05%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 01/33 VAR                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2800000 | PA      | $2895355.65    | 0.01%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004855 G2 11/40 FIXED 5                        | CUSIP: 36202FMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51667 | PA      | $52678.15      | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A3              | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2706899 | PA      | $701218.91     | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9850 FN 12/51 FIXED VAR                         | CUSIP: 3140XD5L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1756715 | PA      | $1548301.02    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375       | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     29900000 | PA      | $29605405.17   | 0.06%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 GF              | CUSIP: 38382YY64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7928375 | PA      | $8018901.64    | 0.02%             | 2073-02-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $126999.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 2A1            | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1762517 | PA      | $1549970.25    | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-34341.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2007-W9                                                     | FANNIEMAE WHOLE LOAN FNW 2007 W9 AC                         | CUSIP: 31396W6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15267 | PA      | $15312.70      | 0.00%             | 2037-08-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1335156.39    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                                | AIRCASTLE LTD COMPANY GUAR 144A 01/28 2.85                  | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     54500000 | PA      | $52827827.73   | 0.11%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892980 FN 09/36 FIXED 6                           | CUSIP: 31410PCR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28901 | PA      | $29614.29      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | 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        |      1349699 | PA      | $672903.56     | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-33CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 33CB 2A1          | CUSIP: 02148BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41102 | PA      | $20144.66      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008968 G2 09/26 FLOATING VAR                   | CUSIP: 36202K6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4238 | PA      | $4241.33       | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -36900000 | NC      | $-139699.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B                  | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      7101431 | PA      | $8257347.47    | 0.02%             | 2028-07-10      | Floating      | 4.46%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7037 FN 04/46 FIXED 4                           | CUSIP: 3140EBZB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       202179 | PA      | $192995.18     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP CAREY INC SR UNSECURED 10/26 4.25                        | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1699479.31    | 0.00%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2914 05/08/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-4096968.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3                  | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       946977 | PA      | $912143.40     | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 3 LLC/ABILENE DC 4 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN 2                      | CUSIP: BA000KJT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     29003451 | PA      | $29003525.11   | 0.06%             | 2030-04-30      | Floating      | 5.05%                 | No            |                  3 | On Loan: No      |
| MARSH & MCLENNAN COMPANIES INC                                                   | MARSH + MCLENNAN COS INC SR UNSECURED 03/30 4.65            | CUSIP: 571748CA8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1310101.20    | 0.00%             | 2030-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST SERIES 2009                                               | CVS PASS THRU TR 2009 PASS THRU CE 144A 07/31 8.353         | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       114836 | PA      | $124447.69     | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5009 FN 05/53 FIXED 5                           | CUSIP: 31418ER77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       958989 | PA      | $950823.77     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5453174.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6064 FN 10/45 FIXED 3                           | CUSIP: 3138WFW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98259 | PA      | $89078.68      | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 944625 FN 07/37 FIXED 6                           | CUSIP: 31413F4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2218 | PA      | $2309.30       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2014 FN 04/43 FIXED 3                           | CUSIP: 3138WPGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51232 | PA      | $46958.54      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6338 FN 04/46 FIXED 4                           | CUSIP: 3140F2BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25086 | PA      | $23988.11      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3               | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9795734.50    | 0.02%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893589 FN 09/36 FIXED 6                           | CUSIP: 31410PXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116750 | PA      | $120887.83     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7348 FN 08/43 FIXED 3                           | CUSIP: 3138WVEW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154993 | PA      | $141804.41     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                                               | EXELON CORP SR UNSECURED 03/27 2.75                         | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |       770000 | PA      | $758422.30     | 0.00%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO I LTD 2021-1A                                                | CAPITAL FOUR US CLO C4US 2021 1A AR 144A                    | CUSIP: 14016TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     23100000 | PA      | $23065351.62   | 0.05%             | 2035-01-18      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | KYNDRYL HOLDINGS INC SR UNSECURED 10/28 2.7                 | CUSIP: 50155QAK6<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |      3285000 | PA      | $3039338.67    | 0.01%             | 2028-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G05676 FG 11/39 FIXED 4                   | CUSIP: 3128M7T97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278266 | PA      | $269760.65     | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 779241 GN 05/42 FIXED 3.5                         | CUSIP: 36176XP29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59151 | PA      | $55723.52      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-43                                                               | FANNIE MAE FNR 1997 43 ZC                                   | CUSIP: 31359P2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1219 | PA      | $1218.38       | 0.00%             | 2026-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1            | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124326 | PA      | $114293.05     | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4439 FN 04/46 FIXED 4                           | CUSIP: 3140EY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154634 | PA      | $148916.87     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                       | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 09/32 1     | CUSIP: BYVYTQII0<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     18397440 | PA      | $21550907.74   | 0.05%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $221640.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $0.34          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2558 FN 03/46 FIXED 4                           | CUSIP: 31418BZY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       563923 | PA      | $542141.59     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RZ4                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ4 M1             | CUSIP: 75156XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4390869 | PA      | $4328281.43    | 0.01%             | 2036-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 960223 FN 11/37 FIXED 6                           | CUSIP: 31414AG89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2985 | PA      | $3133.13       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                                     | PPM CLO, LTD. PPMC 2021 5A AR 144A                          | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21400000 | PA      | $21425192.08   | 0.05%             | 2034-10-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8862 FN 06/43 FIXED 3                           | CUSIP: 3138WWZ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125757 | PA      | $115108.82     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-117                                                              | FANNIE MAE FNR 2006 117 GF                                  | CUSIP: 31396LC99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129013 | PA      | $127682.89     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2704 FN 04/33 FIXED 3                           | CUSIP: 3140H4AE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       831514 | PA      | $808437.45     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q23258 FG 11/43 FIXED 4.5                 | CUSIP: 3132M3JB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47787 | PA      | $47146.90      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H19 FK              | CUSIP: 38376RGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       773899 | PA      | $774403.38     | 0.00%             | 2065-08-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A       | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       193502 | PA      | $129495.95     | 0.00%             | 2037-07-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BB7223 GN 08/47 FIXED 5                           | CUSIP: 3617AYAY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113521 | PA      | $113084.73     | 0.00%             | 2047-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 2A4L                 | CUSIP: 46628BAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11688 | PA      | $9242.52       | 0.00%             | 2036-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1            | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532240 | PA      | $472417.45     | 0.00%             | 2037-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887695 FN 06/36 FIXED 6                           | CUSIP: 31410FGC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14398 | PA      | $14890.33      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B                | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1729235 | PA      | $757128.57     | 0.00%             | 2037-02-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 10/26 5.882             | CUSIP: 61690U7W4<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     24000000 | PA      | $24225354.00   | 0.05%             | 2026-10-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3341091.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0442 FR 03/53 FIXED 5                   | CUSIP: 3133C0P30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1172979 | PA      | $1162101.85    | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1174 FN 02/48 FIXED 3                           | CUSIP: 3140Q8JU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13355 | PA      | $11967.54      | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7220 FN 11/29 FIXED 3.5                         | CUSIP: 3138Y9AW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       260032 | PA      | $256659.83     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0930 FN 12/40 FIXED 4                           | CUSIP: 3138A2A82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96052 | PA      | $93030.62      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A6                  | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16876 | PA      | $16698.92      | 0.00%             | 2035-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870025 FN 05/36 FIXED 6                           | CUSIP: 31409FSN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16942 | PA      | $17280.94      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831934 FN 11/36 FIXED 6                           | CUSIP: 31407JHK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       198676 | PA      | $206110.60     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A           | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577770 | PA      | $460643.17     | 0.00%             | 2035-01-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-2164.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91236 FG 02/29 FIXED 4.5                 | CUSIP: 3128P7LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21599 | PA      | $21639.55      | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4941 FN 03/53 FIXED 5.5                         | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12912729 | PA      | $13030953.89   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WINDROSE RE LTD                                                                  | WINDROSE RE LTD UNSECURED 144A 02/33 VAR                    | CUSIP: 972917AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $299130.00     | 0.00%             | 2033-02-11      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 866888 FN 01/36 FLOATING VAR                      | CUSIP: 31409CCZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4247 | PA      | $4340.38       | 0.00%             | 2036-01-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A E 144A                        | CUSIP: ACI2NGD06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     14495000 | PA      | $16607585.05   | 0.04%             | 2058-06-28      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL U40194 FG 03/27 FIXED 3                   | CUSIP: 3132GCCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          453 | PA      | $448.91        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255900 FN 10/35 FIXED 6                           | CUSIP: 31371MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16266 | PA      | $17072.95      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2737 FN 04/48 FIXED 4                           | CUSIP: 3140H4BF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11768 | PA      | $11346.77      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-56440.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS4                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS4 M2             | CUSIP: 75406EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9440412 | PA      | $9335450.87    | 0.02%             | 2036-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10           | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       758879 | PA      | $607691.13     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928076 FN 01/37 FIXED 6                           | CUSIP: 31412LCM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5088 | PA      | $5287.78       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $245055743.38  | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                   | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7767936 | PA      | $2349542.74    | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-100645.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A D 144A          | CUSIP: 21056EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3175582 | PA      | $3289555.38    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6989 FN 06/53 FIXED 5.5                         | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2248507 | PA      | $2264112.22    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0671 03/27/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $948716.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A C 144A                           | CUSIP: ACI2M18S5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     21700000 | PA      | $28769923.56   | 0.06%             | 2035-06-21      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                             | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR               | CUSIP: 92853KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       300000 | PA      | $300015.00     | 0.00%             | 2031-01-08      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8300 FR 02/53 FIXED 5.5                 | CUSIP: 3132DWGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14188579 | PA      | $14317040.22   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-144805.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4703 FN 02/48 FIXED VAR                         | CUSIP: 3140J9GM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124791 | PA      | $115571.25     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                             | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581            | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    501594000 | PA      | $516105340.14  | 1.10%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0774 FN 09/41 FIXED VAR                         | CUSIP: 3138EG2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60492 | PA      | $62257.82      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918293 FN 05/37 FIXED 6                           | CUSIP: 31411YGA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9314 | PA      | $9615.19       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU8933 FN 11/28 FIXED 3.5                         | CUSIP: 3138X84T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39417 | PA      | $39013.10      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6681 FN 09/42 FIXED 4                           | CUSIP: 3138MAM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98452 | PA      | $95332.74      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5014 FN 07/53 FIXED 5.5                         | CUSIP: 3140NMSC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3975988 | PA      | $4004645.59    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-110560.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9525 FR 08/53 FIXED 5.5                 | CUSIP: 3133CASN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38704 | PA      | $38957.95      | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3283 FN 02/33 FIXED 3                           | CUSIP: 31418CUH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242744 | PA      | $234899.26     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1              | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181816 | PA      | $145653.01     | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                | STORE CAPITAL LLC SR UNSECURED 12/31 2.7                    | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |       600000 | PA      | $522482.05     | 0.00%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929963 FN 08/36 FIXED 6                           | CUSIP: 31412NFC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72340 | PA      | $75928.09      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 434666 GN 01/30 FIXED 8                           | CUSIP: 36207KZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          458 | PA      | $466.80        | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46455 FG 03/47 FIXED 3.5                 | CUSIP: 3132WLE51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2149343 | PA      | $2018580.04    | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2003-65                                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2003 65 ZA               | CUSIP: 38374BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95082 | PA      | $94881.01      | 0.00%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5769 FN 02/53 FIXED 5                           | CUSIP: 3140QRMT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       224914 | PA      | $223068.21     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                           | UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C12 A5             | CUSIP: 90353DAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5975011 | PA      | $5930414.12    | 0.01%             | 2051-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                          | BCAP LLC TRUST BCAP 2013 RR1 5A2 144A                       | CUSIP: 05490BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5813718 | PA      | $3894347.36    | 0.01%             | 2036-08-26      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                                 | EQUITABLE AMERICA GLOBAL SECURED 144A 09/27 3.95            | CUSIP: 29446Q2C6<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |      4100000 | PA      | $4067984.13    | 0.01%             | 2027-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-66                                                               | FANNIE MAE FNR 1997 66 Z                                    | CUSIP: 31359QH49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6938 | PA      | $7011.13       | 0.00%             | 2027-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4091 FN 10/26 FIXED 3.5                         | CUSIP: 3138AVRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6422 | PA      | $6396.76       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003011 G2 12/30 FIXED 7.5                      | CUSIP: 36202DKY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           25 | PA      | $26.38         | 0.00%             | 2030-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2135                                                                 | FREDDIE MAC FHR 2135 LZ                                     | CUSIP: 3133TJWT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36667 | PA      | $37051.90      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3149 FN 10/47 FIXED 4                           | CUSIP: 31418CQB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84142 | PA      | $80630.46      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0972 FN 09/45 FIXED 4                           | CUSIP: 3138YSCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8630 | PA      | $8307.04       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0612 FN 11/30 FIXED 5                           | CUSIP: 31417YVE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1598 | PA      | $1607.57       | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 2023 SECURITIZATION FUNDING LLC                                        | CONSUMERS 23 SECURE FUND SR SECURED 09/31 5.21              | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2647856.64    | 0.01%             | 2031-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260730                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $291920.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-89                                                               | FANNIE MAE FNR 1997 89 Z                                    | CUSIP: 31359RPN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12361 | PA      | $12420.83      | 0.00%             | 2027-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972159 FH 03/35 FLOATING VAR              | CUSIP: 31336CMG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2931 | PA      | $2998.02       | 0.00%             | 2035-03-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A14706 FG 10/33 FIXED 4                   | CUSIP: 31296PGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2935 | PA      | $2893.68       | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1                     | CUSIP: 36229RLL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          760 | PA      | $754.81        | 0.00%             | 2034-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A6               | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       367803 | PA      | $345306.13     | 0.00%             | 2047-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM0248 GN 03/45 FIXED 3.5                         | CUSIP: 36184KHZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38227 | PA      | $35939.31      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735943 FN 05/35 FLOATING VAR                      | CUSIP: 31402RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       357343 | PA      | $366512.94     | 0.00%             | 2035-05-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                                     | BECTON DICKINSON+CO.                                        | CUSIP: 07588MD11<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     16300000 | PA      | $16298215.15   | 0.03%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9611 FR 03/53 FIXED 5.5                 | CUSIP: 3133BXVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13205960 | PA      | $13325027.22   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 807392 FN 10/31 FIXED 8                           | CUSIP: 31406D7D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          206 | PA      | $210.33        | 0.00%             | 2031-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $41.02         | 0.00%             |  |  |  | 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        |         1352 | PA      | $1353.35       | 0.00%             | 2027-02-01      | Floating      | 5.70%                 | 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        |       422753 | PA      | $372600.69     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253872 FN 05/31 FIXED 8.5                         | CUSIP: 31371J6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          436 | PA      | $440.95        | 0.00%             | 2031-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8822 FN 05/52 FIXED 3                           | CUSIP: 3140MNYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1280194 | PA      | $1129266.87    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6515 FN 01/46 FIXED 4                           | CUSIP: 3138WGGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25004 | PA      | $24069.22      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 925147 FN 08/37 FIXED 6                           | CUSIP: 31412GZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42861 | PA      | $43708.31      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 786604 FH 11/28 FLOATING VAR              | CUSIP: 31295KKR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16139 | PA      | $16186.50      | 0.00%             | 2028-11-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-557452.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-41689.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2010-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 2 7A2A 144A        | CUSIP: 17316HBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1142435 | PA      | $1018174.34    | 0.00%             | 2035-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 10/29 4.4                            | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     32625000 | PA      | $32436629.12   | 0.07%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A          | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1993909 | PA      | $2003893.46    | 0.00%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                     | 7 ELEVEN INC SR UNSECURED 144A 02/31 1.8                    | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $5282528.02    | 0.01%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 1A4            | CUSIP: 74923HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       668661 | PA      | $529669.26     | 0.00%             | 2037-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845188 FN 12/35 FIXED 6                           | CUSIP: 31407Y6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75845 | PA      | $78350.82      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 1999-W4                                                     | FANNIEMAE WHOLE LOAN FNW 1999 W4 A9                         | CUSIP: 31359VA94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27840 | PA      | $28143.89      | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1547 FN 07/53 FIXED 5                           | CUSIP: 3140NHWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27506 | PA      | $27247.65      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254262 FN 04/32 FIXED 6                           | CUSIP: 31371KMK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           80 | PA      | $82.38         | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 559812 FN 10/40 FLOATING VAR                      | CUSIP: 31386C3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14511 | PA      | $14575.70      | 0.00%             | 2040-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190322 FN 04/32 FIXED VAR                         | CUSIP: 31368HLB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2465 | PA      | $2533.39       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6624 FN 01/46 FIXED 4                           | CUSIP: 3140EBLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2495 | PA      | $2397.00       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B2 144A          | CUSIP: 52473LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66948496 | PA      | $47991493.77   | 0.10%             | 2056-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                           | CVS HEALTH CORP SR UNSECURED 03/28 4.3                      | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       290000 | PA      | $289032.74     | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6597 FN 04/53 FIXED 6                           | CUSIP: 3140QSKK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       417580 | PA      | $428878.23     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7             | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7386763 | PA      | $6804577.50    | 0.01%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX4887 FN 12/44 FIXED 4                           | CUSIP: 3138Y6ND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3202 | PA      | $3085.80       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                                        | FANNIE MAE FNR 2025 16 FN                                   | CUSIP: 3136BU6A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7642071 | PA      | $7696169.02    | 0.02%             | 2055-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 1A1            | CUSIP: 751152AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1437512 | PA      | $1489209.69    | 0.00%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $85052.97      | 0.00%             |  |  |  | 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        |        23234 | PA      | $23692.25      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2                    | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60696 | PA      | $53720.62      | 0.00%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-81                                                        | FANNIE MAE FNR 2013 81 ES                                   | CUSIP: 3136AFH23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       682459 | PA      | $68122.25      | 0.00%             | 2042-12-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/31 4.75               | CUSIP: 91087BBJ8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     13600000 | PA      | $13307600.00   | 0.03%             | 2031-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A1 144A        | CUSIP: 16678RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160968 | PA      | $156536.60     | 0.00%             | 2036-01-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-20                                                               | FANNIE MAE FNR 2007 20 FP                                   | CUSIP: 31396PZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190199 | PA      | $187805.53     | 0.00%             | 2037-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 481648 GN 09/29 FIXED 7                           | CUSIP: 36209UBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          553 | PA      | $564.97        | 0.00%             | 2029-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 11/28 5.65                           | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6264222.25    | 0.01%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8561 FN 06/31 FIXED VAR                         | CUSIP: 3138ETQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31421 | PA      | $31073.84      | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | 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        |          583 | PA      | $610.91        | 0.00%             | 2030-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                               | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5                | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |     18150000 | PA      | $18061390.97   | 0.04%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002935 G2 06/30 FIXED 8                        | CUSIP: 36202DHL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           43 | PA      | $45.43         | 0.00%             | 2030-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1B2          | CUSIP: 92922F5W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106514 | PA      | $101400.66     | 0.00%             | 2045-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| NSCALE SERVICES UK LIMITED                                                       | NSCALE DELAYED DRAW TERM LOAN                               | CUSIP: BA000WQD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     24000000 | PA      | $24000000.00   | 0.05%             | 2032-08-11      | Floating      | 0.36%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QC6456 FR 09/51 FIXED 3                   | CUSIP: 3133ARE50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1196755 | PA      | $1053353.80    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK6914 FR 04/29 FIXED 3.5                 | CUSIP: 3131XAVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5873 | PA      | $5829.71       | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2808 FN 11/46 FIXED 4                           | CUSIP: 31418CDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79975 | PA      | $76770.24      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5             | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2806099 | PA      | $2538408.72    | 0.01%             | 2047-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080141 G2 12/27 FLOATING VAR                   | CUSIP: 36225CEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          961 | PA      | $969.99        | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL4231 GN 02/45 FIXED 3.5                         | CUSIP: 36184AVY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64243 | PA      | $60397.80      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE7272 FR 07/52 FIXED 3                   | CUSIP: 3133BHCH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1002854 | PA      | $892708.36     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/27 VAR                 | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5086000 | PA      | $5083404.87    | 0.01%             | 2027-04-23      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3779 FN 01/46 FIXED 4                           | CUSIP: 3140E8FV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       411573 | PA      | $394767.63     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3309 FN 03/38 FIXED 3.5                         | CUSIP: 31418CVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82234 | PA      | $79175.99      | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C51                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 C51 A4             | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8800000 | PA      | $8400344.48    | 0.02%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                                               | FANNIE MAE FNR 2007 15 AI                                   | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16328 | PA      | $1500.91       | 0.00%             | 2037-03-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                  | SBA TOWER TRUST ASSET BACKED 144A 07/52 2.328               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12200000 | PA      | $11765226.16   | 0.03%             | 2052-07-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 C 144A         | CUSIP: 17326UAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17241607 | PA      | $1034.50       | 0.00%             | 2058-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1             | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18531 | PA      | $17476.66      | 0.00%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3610 FN 03/34 FIXED 3.5                         | CUSIP: 31418DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1897 | PA      | $1862.74       | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0861 FN 06/43 FIXED 3                           | CUSIP: 3138WM5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12199 | PA      | $11171.51      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/44 8.75                   | CUSIP: BPXR8CII6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     57990000 | PA      | $3113065.30    | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2A LTD                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 2A A1R 144A       | CUSIP: 69702WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27100000 | PA      | $27068995.97   | 0.06%             | 2033-01-15      | Floating      | 4.49%                 | 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        |        22711 | PA      | $23247.37      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5033 FN 04/43 FIXED 6.5                         | CUSIP: 31418ESX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32004 | PA      | $33108.43      | 0.00%             | 2043-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4073 FR 04/54 FIXED 5.5                 | CUSIP: 3133WAQ27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7048596 | PA      | $7104867.79    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A           | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6580154 | PA      | $6637941.20    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A4            | CUSIP: 32028PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1766273 | PA      | $1699870.21    | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 3A1           | CUSIP: 92922F8T8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1650113 | PA      | $1631941.83    | 0.00%             | 2036-01-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A11 144A             | CUSIP: 46653QBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19334909 | PA      | $18143534.15   | 0.04%             | 2052-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0703 FN 12/43 FIXED 4                           | CUSIP: 3138XBX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1362810 | PA      | $1316089.89    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2004-11                                         | STRUCTURED ASSET SECURITIES CO SASC 2004 11XS 1A5A          | CUSIP: 86359BUE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33576 | PA      | $33386.19      | 0.00%             | 2034-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832435 FN 09/35 FIXED 6                           | CUSIP: 31407JY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4607 | PA      | $4779.28       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TR 2004-J4                                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J4 2A1            | CUSIP: 12667FFN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       491053 | PA      | $485596.70     | 0.00%             | 2034-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $80090.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6099 FN 06/46 FIXED 4                           | CUSIP: 3140F1X56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       531198 | PA      | $507948.18     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0809 FN 09/43 FIXED 5                           | CUSIP: 3138WZ3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123268 | PA      | $124043.43     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                                | BDS LTD BDS 2025 FL14 A 144A                                | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $498446.41     | 0.00%             | 2042-10-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                         | TRIAXX PRIME CDO TRIAX 2007 1A A1T 144A                     | CUSIP: 896006AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13597686 | PA      | $115349.17     | 0.00%             | 2039-10-02      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 9 2A1                   | CUSIP: 07386HKZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76407 | PA      | $69137.50      | 0.00%             | 2034-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080354 G2 12/29 FLOATING VAR                   | CUSIP: 36225CMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21943 | PA      | $22015.11      | 0.00%             | 2029-12-20      | Floating      | 5.12%                 | 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        |         6848 | PA      | $6836.52       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A10          | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       584507 | PA      | $468683.98     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGOR INC                          | BAKER HUGHES LLC/CO OBL COMPANY GUAR 03/30 3.226            | CUSIP: ACI38VDK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6200000 | PA      | $7100129.84    | 0.02%             | 2030-03-11      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894865 FN 09/36 FIXED 6                           | CUSIP: 31410RFE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40242 | PA      | $41034.33      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2           | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7508250 | PA      | $1984713.50    | 0.00%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1885488.77    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2484                                                                 | FREDDIE MAC FHR 2484 LZ                                     | CUSIP: 31392R3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296708 | PA      | $309298.14     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4515 FN 02/45 FIXED 4                           | CUSIP: 3138WEAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       363719 | PA      | $350498.21     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                    | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A         | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13700000 | PA      | $13667462.50   | 0.03%             | 2043-10-15      | Floating      | 4.94%                 | 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        |       114850 | PA      | $108041.05     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B1 144A          | CUSIP: 52474AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15576931 | PA      | $15208195.45   | 0.03%             | 2058-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8948 FN 06/46 FIXED 4                           | CUSIP: 3140F45J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       934603 | PA      | $896189.41     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.0166 08/12/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $5998927.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $115988.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4372 FR 10/47 FIXED 3.5                 | CUSIP: 3131XX2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117760 | PA      | $110337.47     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                               | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13800000 | PA      | $13964808.85   | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | 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        |         3364 | PA      | $3442.95       | 0.00%             | 2035-02-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP/THE SR UNSECURED 144A 07/30 3.95                   | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     18167000 | PA      | $17378673.74   | 0.04%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9244 FN 10/45 FIXED 4                           | CUSIP: 3140E2HW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4763 | PA      | $4595.97       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7057 FN 05/43 FIXED 4                           | CUSIP: 3138WUZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28134 | PA      | $27130.59      | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MTGE LOAN TRUST 2006-7                                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 7 2A1A            | CUSIP: 41161VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1138151 | PA      | $1047308.39    | 0.00%             | 2046-09-19      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-354397.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 05/35 VAR                                      | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      4900000 | PA      | $5014434.11    | 0.01%             | 2035-05-30      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8435 FN 04/53 FIXED 5.5                         | CUSIP: 3140NDLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1339240 | PA      | $1349265.24    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 2A3            | CUSIP: 92925VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2573120 | PA      | $2408273.67    | 0.01%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B            | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6838566 | PA      | $3341844.66    | 0.01%             | 2037-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848895 FN 01/36 FIXED 6                           | CUSIP: 31408EC83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10092 | PA      | $10562.53      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3714 FN 03/33 FIXED 3                           | CUSIP: 3140HHDU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163003 | PA      | $157702.82     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 01/33 6.181                | CUSIP: 65535HBK4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      6000000 | PA      | $6361465.86    | 0.01%             | 2033-01-18      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 09/45 5.875                        | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      5700000 | PA      | $4921277.63    | 0.01%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75         | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8000000 | PA      | $7961362.40    | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                   | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                     | CUSIP: 36779CAZ9<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-81                                                        | FANNIE MAE FNR 2019 81 QF                                   | CUSIP: 3136B8FD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       358827 | PA      | $353098.11     | 0.00%             | 2049-12-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 7A1 144A                       | CUSIP: 05534AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1772405 | PA      | $1767188.37    | 0.00%             | 2047-01-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $338361.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2249                                                                 | FREDDIE MAC FHR 2249 DZ                                     | CUSIP: 3133TPH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15931 | PA      | $16434.00      | 0.00%             | 2030-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1                   | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26670 | PA      | $25307.16      | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     30200000 | PA      | $29697150.07   | 0.06%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 981982 FN 07/38 FIXED 6                           | CUSIP: 31415BM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16858 | PA      | $17520.84      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-49095.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889561 FN 06/38 FIXED VAR                         | CUSIP: 31410KJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78620 | PA      | $80897.57      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A              | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5139234 | PA      | $5119132.86    | 0.01%             | 2053-04-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0787 FN 08/26 FIXED VAR                         | CUSIP: 3138EG2V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28802 | PA      | $28706.94      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300720.00     | 0.00%             | 2029-01-08      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOFTBANK GROUP CORP SNR JP SP GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-7211.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q25184 FG 03/44 FIXED 4.5                 | CUSIP: 3132M5M90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165342 | PA      | $161883.54     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                      | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24862697 | PA      | $22948845.48   | 0.05%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 1A3            | CUSIP: 86800RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       346756 | PA      | $108159.32     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 02/30 VAR             | CUSIP: 53944YBG7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     15000000 | PA      | $14842066.35   | 0.03%             | 2030-02-10      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-154405.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253399 FN 08/30 FIXED 8.5                         | CUSIP: 31371JNQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           78 | PA      | $79.78         | 0.00%             | 2030-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962875 FN 05/38 FIXED 5.5                         | CUSIP: 31414DFQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8173 | PA      | $8404.41       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2              | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12484173 | PA      | $5944121.57    | 0.01%             | 2036-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783338 FN 06/36 FIXED 6                           | CUSIP: 31405AHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18465 | PA      | $19059.07      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 444538 FN 09/28 FIXED 6                           | CUSIP: 31380MZB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53054 | PA      | $54099.15      | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A           | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       698312 | PA      | $691646.84     | 0.00%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $3484178.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                       | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9230069 | PA      | $4943355.48    | 0.01%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-L2                                           | MORGAN STANLEY CAPITAL I TRUST MSC 2019 L2 A4               | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3635000 | PA      | $3585231.40    | 0.01%             | 2052-03-15      | Fixed         | 4.07%                 | 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        |        29046 | PA      | $26910.17      | 0.00%             | 2033-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-2CS                               | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2022 2CS A 144A         | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13398299 | PA      | $11572327.63   | 0.02%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0793 FN 04/33 FIXED 3                           | CUSIP: 3140HD3B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       271482 | PA      | $262500.91     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/27 3.65            | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      6900000 | PA      | $6828051.35    | 0.01%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3958 FN 03/40 FIXED 3                           | CUSIP: 31418DMG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29046 | PA      | $27093.33      | 0.00%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260528                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-34539.49     | -0.00%            |  |  |  | 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        |       199173 | PA      | $190995.76     | 0.00%             | 2035-05-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA X1 144A                       | CUSIP: ACI23M1P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |       714286 | PA      | $301015.23     | 0.00%             | 2056-08-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002742 G2 04/29 FIXED 7                        | CUSIP: 36202DBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          399 | PA      | $410.55        | 0.00%             | 2029-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1709589.80   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6297 FN 05/26 FIXED 3.5                         | CUSIP: 3138A77K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           51 | PA      | $51.17         | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 904655 FN 11/36 FIXED 6                           | CUSIP: 31411DBY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2381 | PA      | $2478.21       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2234                                                                 | FREDDIE MAC FHR 2234 ZP                                     | CUSIP: 3133TNXR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7932 | PA      | $8254.87       | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-123                                                              | FANNIE MAE FNR 2010 123 FL                                  | CUSIP: 31398N2W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1135275 | PA      | $1128362.01    | 0.00%             | 2040-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A         | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14584002 | PA      | $14566014.20   | 0.03%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 711409 GN 05/39 FIXED 5                           | CUSIP: 36297GKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49454 | PA      | $50512.74      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1065 FR 09/53 FIXED 6                   | CUSIP: 3133CDFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96711 | PA      | $98906.75      | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/43 4.375                                 | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    267053700 | PA      | $252151895.24  | 0.54%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892758 FN 10/36 FIXED 6                           | CUSIP: 31410NZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21298 | PA      | $22177.60      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005240 G2 11/41 FIXED 6                        | CUSIP: 36202FZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71047 | PA      | $74693.42      | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01024 FG 07/30 FIXED 7.5                 | CUSIP: 31292HD50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          103 | PA      | $104.75        | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985526 FN 06/38 FIXED 5.5                         | CUSIP: 31415PYX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5302 | PA      | $5451.56       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1813000.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08696 FG 02/46 FIXED 4.5                 | CUSIP: 3128MJX21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17229 | PA      | $17028.37      | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839090 FN 10/35 FIXED 6                           | CUSIP: 31407SF72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8386 | PA      | $8640.09       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO9554 G2 11/46 FIXED 3                        | CUSIP: 3617FMTK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1835209 | PA      | $1637222.01    | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01095 FG 11/30 FIXED 7                   | CUSIP: 31292HGC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          138 | PA      | $144.87        | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A             | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45518 | PA      | $43019.38      | 0.00%             | 2046-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555952 FN 11/33 FIXED VAR                         | CUSIP: 31385XTH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2834 | PA      | $2932.99       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OLD REPUBLIC INTERNATIONAL CORPORATION                                           | OLD REPUBLIC INTL CORP SR UNSECURED 08/26 3.875             | CUSIP: 680223AK0<br>LEI: 549300IV6O2YY2A1KH37 | Long             | DBT              | CORP              | US        |      2850000 | PA      | $2846994.50    | 0.01%             | 2026-08-26      | Fixed         | 3.88%                 | 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        |        47298 | PA      | $48691.78      | 0.00%             | 2035-06-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF11                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF11 M4             | CUSIP: 32027NNA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       622790 | PA      | $633601.58     | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR         | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     34800000 | PA      | $34027941.82   | 0.07%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)                                    | FLEX LTD SR UNSECURED 05/30 4.875                           | CUSIP: 33938XAB1<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     17200000 | PA      | $17183761.82   | 0.04%             | 2030-05-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2022-C16                                                    | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2022 C16 A5            | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4908831.50    | 0.01%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                          | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN  | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1455627 | PA      | $1500080.59    | 0.00%             | 2029-05-30      | Floating      | 9.70%                 | No            |                  3 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C16                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C16 A3            | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5955000 | PA      | $5732083.51    | 0.01%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA0936 G2 04/43 FIXED 4.5                      | CUSIP: 36179NBD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1947 | PA      | $1931.77       | 0.00%             | 2043-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2980                                                                 | FREDDIE MAC FHR 2980 QB                                     | CUSIP: 31395UEH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5519 | PA      | $5823.35       | 0.00%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP5073 G2 01/48 FIXED 3                        | CUSIP: 3617FUT62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       755585 | PA      | $674055.02     | 0.00%             | 2048-01-20      | Fixed         | 3.00%                 | 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        |       454569 | PA      | $432044.00     | 0.00%             | 2035-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7230 FN 10/53 FIXED 5                           | CUSIP: 3140QTA82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40690 | PA      | $40306.18      | 0.00%             | 2053-10-01      | Fixed         | 5.00%                 | 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        |        42266 | PA      | $29889.15      | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3363 FN 08/43 FIXED 3                           | CUSIP: 3138X2WZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       298730 | PA      | $273342.08     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | 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        |       168211 | PA      | $165784.01     | 0.00%             | 2029-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783456 GN 10/41 FIXED 3.5                         | CUSIP: 36241LZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13695 | PA      | $12932.57      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP BIDCO B.V. GALIBIER BIDCO PPN                  | CUSIP: ACI2QBLH8<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |      4377000 | PA      | $1503149.80    | 0.00%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                  | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $246350.00     | 0.00%             | 2029-01-08      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                                      | IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A                   | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173858 | PA      | $168303.97     | 0.00%             | 2035-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 747536 FN 11/33 FIXED 5                           | CUSIP: 31403FPV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4443 | PA      | $4496.26       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 13 1A24                    | CUSIP: 12543TAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       727699 | PA      | $314791.32     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8258 FR 10/52 FIXED 5                   | CUSIP: 3132DWE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89351 | PA      | $88645.73      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1116937 | PA      | $658226.72     | 0.00%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25                 | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $7618826.48    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 911568 FN 04/37 FIXED 6                           | CUSIP: 31411LW56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84732 | PA      | $86877.17      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6386 FN 12/45 FIXED 3                           | CUSIP: 3138WGCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80763 | PA      | $73006.63      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725704 FN 08/34 FIXED VAR                         | CUSIP: 31402DGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2143 | PA      | $2216.89       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G03620 FG 10/37 FIXED 6.5                 | CUSIP: 3128M5K90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5747 | PA      | $6028.67       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP3 PT 144A        | CUSIP: 17332PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92920192 | PA      | $76462232.64   | 0.16%             | 2064-11-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| OMFIT-2021-1A                                                                    | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2021 1A A2 144A        | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2249000 | PA      | $2250568.00    | 0.00%             | 2036-06-16      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1                | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     16450000 | PA      | $17577818.77   | 0.04%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 822475 FN 05/35 FIXED 6                           | CUSIP: 31406WXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2133 | PA      | $2201.62       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                            | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/30 1.75          | CUSIP: ACI22W842<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |     28900000 | PA      | $27913987.64   | 0.06%             | 2030-01-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |            1 | NC      | $-349.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 729296 FN 07/33 FIXED 5                           | CUSIP: 31402HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3180 | PA      | $3184.80       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-12                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 12 2A2                  | CUSIP: 07386HPE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1212888 | PA      | $1119141.51    | 0.00%             | 2035-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815799 FN 05/35 FIXED 6                           | CUSIP: 31406PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1990 | PA      | $2029.56       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6785 FN 08/53 FIXED 5.5                         | CUSIP: 3140NPRF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16163755 | PA      | $16303839.24   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1350 FN 08/49 FIXED 4                           | CUSIP: 3140JVQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2011110 | PA      | $1924639.68    | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QD8408 FR 03/52 FIXED 2                   | CUSIP: 3133B6KV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3293467 | PA      | $2666257.38    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-93                                                        | FANNIE MAE FNR 2008 93 OA                                   | CUSIP: 31397MR25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       465511 | PA      | $431008.50     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/34 6.25                        | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      5700000 | PA      | $6694484.51    | 0.01%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $29062.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                        | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38501 | PA      | $38402.14      | 0.00%             | 2044-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $230750.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H07 FA              | CUSIP: 38380L8G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18552118 | PA      | $18569656.76   | 0.04%             | 2070-04-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 2A1 144A          | CUSIP: 74930PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       915632 | PA      | $861751.76     | 0.00%             | 2037-02-27      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-12                                                               | FANNIE MAE FNR 2008 12 FA                                   | CUSIP: 31396YMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18259 | PA      | $18286.12      | 0.00%             | 2038-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3784 FN 01/41 FIXED 4                           | CUSIP: 3138A5F23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28625 | PA      | $27645.15      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1              | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1198277 | PA      | $1053115.01    | 0.00%             | 2047-09-20      | Floating      | 4.49%                 | 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        |         4514 | PA      | $4648.60       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | 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        |         7175 | PA      | $6987.54       | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252409 FN 03/29 FIXED 6.5                         | CUSIP: 31371HKW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1005 | PA      | $1019.33       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1               | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6984 | PA      | $6727.27       | 0.00%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 910855 FN 06/37 FIXED 6                           | CUSIP: 31411K5Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27571 | PA      | $28391.60      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 776488 FN 03/34 FLOATING VAR                      | CUSIP: 31404RUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138322 | PA      | $141781.10     | 0.00%             | 2034-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO VI LLC                                                      | KKR GRP FIN CO VI LLC COMPANY GUAR 144A 07/29 3.75          | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |       300000 | PA      | $290421.08     | 0.00%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3                 | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1654568 | PA      | $1637973.79    | 0.00%             | 2046-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-32                                                        | FANNIE MAE FNR 2018 32 F                                    | CUSIP: 3136B1A53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10857796 | PA      | $10615382.87   | 0.02%             | 2048-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6919 FN 08/53 FIXED 6                           | CUSIP: 3140NPVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       721068 | PA      | $737208.76     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-36794.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928561 FN 08/37 FIXED 6                           | CUSIP: 31412LTS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160560 | PA      | $168535.11     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4737 FN 12/45 FIXED 4                           | CUSIP: 3140E9HP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13014 | PA      | $12545.39      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002796 G2 08/29 FIXED 7                        | CUSIP: 36202DC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5982 | PA      | $6161.78       | 0.00%             | 2029-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $234754.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2017-AGS                                           | COMMONBOND STUDENT LOAN TRUST CBSLT 2017 AGS A1 144A        | CUSIP: 20267VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       784079 | PA      | $753775.38     | 0.00%             | 2041-05-25      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2692 FN 04/48 FIXED 3.5                         | CUSIP: 3140H37E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87909 | PA      | $81813.40      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 553163 FN 09/30 FIXED 8                           | CUSIP: 31385UQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          425 | PA      | $437.20        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782798 GN 11/39 FIXED 6                           | CUSIP: 36241LDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3593 | PA      | $3789.72       | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1             | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25536 | PA      | $25730.70      | 0.00%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7070 FN 05/46 FIXED 4                           | CUSIP: 3140EB2C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       702393 | PA      | $673521.81     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7540 FN 03/43 FIXED 4                           | CUSIP: 3138W5LW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16901 | PA      | $16327.32      | 0.00%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A           | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15894221 | PA      | $15951201.98   | 0.03%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 SA 144A       | CUSIP: 36272QAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11848 | PA      | $11669.50      | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A4               | CUSIP: 61749QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23099448 | PA      | $8958693.65    | 0.02%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AD2299 GN 03/43 FIXED 3.5                         | CUSIP: 36180DRU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9843 | PA      | $9248.38       | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A1             | CUSIP: 61749LAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47873 | PA      | $46487.96      | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | 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        |          116 | PA      | $115.52        | 0.00%             | 2028-04-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR                  | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1835000 | PA      | $1834479.10    | 0.00%             | 2028-04-26      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J14                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J14 A3            | CUSIP: 12668AQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       764020 | PA      | $444875.87     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |      5997897 | PA      | $5288510.32    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/26 6.125          | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     36300000 | PA      | $36635550.67   | 0.08%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                                   | FREMONT HOME LOAN TRUST FHLT 2006 D 2A2                     | CUSIP: 35729VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34127591 | PA      | $11899734.57   | 0.03%             | 2036-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5                 | CUSIP: 3128M9KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8096 | PA      | $8026.68       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB5 3A1                   | CUSIP: 12669F3B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61520 | PA      | $58866.17      | 0.00%             | 2035-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-1329274.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/28 3.25                           | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      6700000 | PA      | $6569787.44    | 0.01%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8552 FR 03/53 FIXED 5.5                 | CUSIP: 3133BWQD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73524 | PA      | $74247.56      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7277 FN 07/28 FIXED VAR                         | CUSIP: 3138EQCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46878 | PA      | $46707.11      | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | 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        |         3029 | PA      | $3144.87       | 0.00%             | 2030-10-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2007-W6                                                   | FANNIEMAE WHOLE LOAN FNW 2007 W6 4A2                        | CUSIP: 31396WKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102604 | PA      | $5593.06       | 0.00%             | 2037-06-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2299 FN 04/27 FIXED VAR                         | CUSIP: 3138EJRV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21652 | PA      | $21556.14      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/27 VAR                  | CUSIP: 65535HBQ1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     12900000 | PA      | $12980865.20   | 0.03%             | 2027-07-02      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA8572 FN 02/54 FIXED 5                           | CUSIP: 3140YWQ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66522 | PA      | $66149.58      | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 929962 FN 09/38 FIXED 6                           | CUSIP: 31412NFB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          589 | PA      | $618.79        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3380                                                          | FREDDIE MAC FHR 3380 F                                      | CUSIP: 31397KTG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       266752 | PA      | $266770.01     | 0.00%             | 2037-10-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-5 2003-5                                             | SEQUOIA MORTGAGE TRUST SEMT 2003 5 A2                       | CUSIP: 81743PCK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23031 | PA      | $22786.57      | 0.00%             | 2033-09-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3313 FN 03/33 FIXED 3.5                         | CUSIP: 31418CVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       476622 | PA      | $468709.69     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6841 FN 08/53 FIXED 5                           | CUSIP: 3140QSS77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75630 | PA      | $75125.42      | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909462 FN 02/37 FIXED 6                           | CUSIP: 31411JMK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28956 | PA      | $30040.04      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7549 FN 10/45 FIXED VAR                         | CUSIP: 3138EQL75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9107 | PA      | $8765.13       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.75000 06/15/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |            1 | NC      | $7045628.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 4A1            | CUSIP: 12667GPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10501 | PA      | $10234.30      | 0.00%             | 2035-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2B                | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4552661 | PA      | $2092856.55    | 0.00%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922277 FN 12/36 FIXED 6                           | CUSIP: 31412DUA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5734 | PA      | $6001.74       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0573 FN 08/26 FIXED VAR                         | CUSIP: 3138EGT79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2364 | PA      | $2355.41       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAGUAY GOVT                                                                    | REPUBLIC OF PARAGUAY SR UNSECURED 144A 04/31 4.95           | CUSIP: 699149AJ9<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |      4160000 | PA      | $4154800.00    | 0.01%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                               | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A     | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     11850000 | PA      | $11853696.61   | 0.03%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A          | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15528296 | PA      | $14057690.60   | 0.03%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ3060 FN 09/35 FIXED 3                           | CUSIP: 3140KNMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75307 | PA      | $72173.79      | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841035 FN 11/35 FLOATING VAR                      | CUSIP: 31407ULQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       445492 | PA      | $458253.15     | 0.00%             | 2035-11-01      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ8104 FN 05/43 FIXED 3                           | CUSIP: 3138MQAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49146 | PA      | $45277.69      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4071 FR 04/54 FIXED 5.5                 | CUSIP: 3133WAQY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7627362 | PA      | $7687975.33    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                         | AMERICAN HOMES 4 RENT SR UNSECURED 07/31 2.375              | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2292773.05    | 0.00%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A C 144A                        | CUSIP: ACI2NGCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     28988000 | PA      | $33404427.83   | 0.07%             | 2058-06-28      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4243 FN 11/43 FIXED 3                           | CUSIP: 3138WDWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       543182 | PA      | $498839.00     | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.76000 01/03/24-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2078.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/30 VAR                    | CUSIP: 404280FK0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     31200000 | PA      | $30974902.30   | 0.07%             | 2030-03-10      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 2A2            | CUSIP: 74958WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1371849 | PA      | $891449.16     | 0.00%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 11/28 VAR                 | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5897000 | PA      | $6059707.84    | 0.01%             | 2028-11-10      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 03/29 5.75       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      6100000 | PA      | $6239355.66    | 0.01%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A D                               | CUSIP: ACI2P7XN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4964000 | PA      | $6619191.41    | 0.01%             | 2062-11-16      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $254700.00     | 0.00%             | 2027-06-06      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ8595 GN 12/49 FIXED 3                           | CUSIP: 3617LTRQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127152 | PA      | $113661.33     | 0.00%             | 2049-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN16                                                                   | BANK BANK 2019 BN16 A4                                      | CUSIP: 065405AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17268000 | PA      | $16984658.02   | 0.04%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1839 FN 05/27 FIXED VAR                         | CUSIP: 3138EJBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4463 | PA      | $4432.59       | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889452 FN 05/38 FIXED VAR                         | CUSIP: 31410KEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70080 | PA      | $72060.42      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 763689 FN 01/34 FIXED 5                           | CUSIP: 31404BNE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7331 | PA      | $7306.24       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841775 FN 09/35 FLOATING VAR                      | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1495 | PA      | $1542.85       | 0.00%             | 2035-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080311 G2 08/29 FLOATING VAR                   | CUSIP: 36225CKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48683 | PA      | $48740.35      | 0.00%             | 2029-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 03/28 2.3                          | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1892000 | PA      | $1802961.57    | 0.00%             | 2028-03-25      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5038 FN 06/53 FIXED 5                           | CUSIP: 31418ES43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289311 | PA      | $286847.61     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9172 FN 09/53 FIXED 5.5                         | CUSIP: 3140NSFN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4692683 | PA      | $4735170.43    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-GEL1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 GEL1 M3            | CUSIP: 86359BX30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       375625 | PA      | $375178.24     | 0.00%             | 2034-12-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4PA2 PIMCO SWAPTION 3.0 CALL USD 20260713              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1698600000 | NC      | $-894652.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1L0174 FH 08/35 FLOATING VAR              | CUSIP: 3128Q2FP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       469552 | PA      | $483833.58     | 0.00%             | 2035-08-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5260 FN 06/45 FIXED 4                           | CUSIP: 3138WEZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3614478 | PA      | $3474865.83    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5             | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       876544 | PA      | $857143.32     | 0.00%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190399 FN 11/39 FIXED VAR                         | CUSIP: 31368HNQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28468 | PA      | $29272.33      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 728868 FN 07/33 FIXED 5                           | CUSIP: 31402GW58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64421 | PA      | $65088.89      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 05/30 VAR                         | CUSIP: 06738EDG7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     10600000 | PA      | $10440191.11   | 0.02%             | 2030-05-24      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8658 FR 06/32 FIXED 3.5                 | CUSIP: 3132A9TP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76746 | PA      | $75609.81      | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 05/42 9.25                       | CUSIP: ACI22YPY3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  10612000000 | PA      | $2168301.13    | 0.00%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $247984.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004245 G2 09/38 FIXED 6                        | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42803 | PA      | $45378.87      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080022 G2 12/26 FLOATING VAR                   | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1740 | PA      | $1739.78       | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 658744 FN 08/36 FIXED 6                           | CUSIP: 31390WZH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9400 | PA      | $9726.86       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 755702 FN 03/34 FIXED 5.5                         | CUSIP: 31403RRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6299 | PA      | $6333.97       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KE75<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     18100000 | PA      | $18019735.55   | 0.04%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 351217 FN 07/26 FLOATING VAR                      | CUSIP: 31376CDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           76 | PA      | $76.20         | 0.00%             | 2026-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                            | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/28 4.4          | CUSIP: 873923AA4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     37000000 | PA      | $36814502.35   | 0.08%             | 2028-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                              | AMERN AIRLINE 16 2 A PTT PASS THRU CE 12/29 3.65            | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3084991 | PA      | $2994039.60    | 0.01%             | 2029-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7081 FR 01/30 FIXED 3.5                 | CUSIP: 3132A72N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64386 | PA      | $63683.25      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC52A4 PIMCO SWAPTION 3.5 CALL USD 20260727              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2100100000 | NC      | $3365620.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA0098 FN 09/45 FIXED 4                           | CUSIP: 3140E4DC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       109356 | PA      | $104939.50     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1            | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1195052 | PA      | $1095067.63    | 0.00%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2164 FN 06/38 FIXED VAR                         | CUSIP: 3140X5MN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24245 | PA      | $23445.07      | 0.00%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 711504 FN 05/33 FIXED 6                           | CUSIP: 31401LNV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15845 | PA      | $16158.12      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $999377.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK              | CUSIP: 38376RRL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6895432 | PA      | $6938963.88    | 0.01%             | 2066-03-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                     | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19144833 | PA      | $6193395.44    | 0.01%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4050 FN 04/46 FIXED 4                           | CUSIP: 3140EYQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10821 | PA      | $10384.28      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 04/61 3.85              | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2040000 | PA      | $1192485.96    | 0.00%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $287188.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A4               | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       197162 | PA      | $194625.34     | 0.00%             | 2034-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0199 FN 10/28 FIXED 3.5                         | CUSIP: 3138XBGH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63772 | PA      | $63008.37      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260724                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $519539.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872133 FN 10/36 FIXED 6                           | CUSIP: 31409H4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2908 | PA      | $2965.44       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080124 G2 10/27 FLOATING VAR                   | CUSIP: 36225CD60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2556 | PA      | $2552.52       | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679                | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      9500000 | PA      | $8694428.60    | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1                  | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       208647 | PA      | $199695.12     | 0.00%             | 2035-08-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/44 3                                     | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     56000000 | PA      | $42896874.72   | 0.09%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/34 6.125           | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1585491.63    | 0.00%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHILEAN GOVT LA SP BPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $252980.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $10943.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2624 FN 05/46 FIXED 4                           | CUSIP: 31418B4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87779 | PA      | $84654.64      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                                | MARS INC SR UNSECURED 144A 03/28 4.6                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     16900000 | PA      | $17008614.10   | 0.04%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/30 VAR                         | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      2100000 | PA      | $2111217.32    | 0.00%             | 2030-09-10      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6715 FN 02/45 FIXED VAR                         | CUSIP: 3138EPN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3058094 | PA      | $2947422.24    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-204177.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/28 4.55       | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     23000000 | PA      | $22946099.27   | 0.05%             | 2028-09-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 1A1             | CUSIP: 68402BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7594322 | PA      | $5293392.06    | 0.01%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931109 FN 05/39 FIXED 6                           | CUSIP: 31412PN23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14252 | PA      | $14785.19      | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 BPS                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $103.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-28                                                               | FANNIE MAE FNR 2001 28 PZ                                   | CUSIP: 313920DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111797 | PA      | $113914.68     | 0.00%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP TEXAS INC SR UNSECURED 06/28 3.95                       | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      5800000 | PA      | $5744218.44    | 0.01%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2004-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2004 4 M6                    | CUSIP: 66987WBY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2010348 | PA      | $1997178.15    | 0.00%             | 2035-03-25      | Floating      | 5.67%                 | 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        |         9309 | PA      | $9525.97       | 0.00%             | 2035-10-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $309740.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.7543 06/28/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-1535031.95   | -0.00%            |  |  |  | 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        |        45119 | PA      | $47226.90      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       381768 | PA      | $315663.06     | 0.00%             | 2026-11-30      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H08 FB              | CUSIP: 38375BQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       269644 | PA      | $270039.05     | 0.00%             | 2062-03-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781334 GN 08/31 FIXED 8                           | CUSIP: 36225BPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1866 | PA      | $1959.73       | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-18687.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                            | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1               | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4587373 | PA      | $933839.18     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995705 FN 01/39 FIXED VAR                         | CUSIP: 31416CDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79864 | PA      | $82121.02      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 R1 2A 144A                 | CUSIP: 12669F7L1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89982 | PA      | $88494.52      | 0.00%             | 2034-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-509730.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804437 FN 12/34 FLOATING VAR                      | CUSIP: 31406AV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122416 | PA      | $125150.38     | 0.00%             | 2034-12-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0443 FN 04/29 FIXED VAR                         | CUSIP: 3138EGP57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13758 | PA      | $13782.02      | 0.00%             | 2029-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/29 2.472           | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     18800000 | PA      | $17847202.65   | 0.04%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $288563.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SL                                               | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |            1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8075 FN 06/46 FIXED 4                           | CUSIP: 3140F36M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       533632 | PA      | $515341.94     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889643 FN 03/38 FIXED VAR                         | CUSIP: 31410KLY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19530 | PA      | $20377.97      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888222 FN 02/37 FIXED VAR                         | CUSIP: 31410FYT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4341 | PA      | $4555.28       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893148 FN 08/36 FIXED 6                           | CUSIP: 31410PHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1995 | PA      | $2087.93       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9632 FN 09/47 FIXED 3                           | CUSIP: 3140GYV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13999 | PA      | $12583.71      | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080030 G2 01/27 FLOATING VAR                   | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12257 | PA      | $12241.64      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 03/32 VAR                              | CUSIP: 23636ABN0<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      3200000 | PA      | $3209474.24    | 0.01%             | 2032-03-27      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC2861 FN 08/39 FIXED 4.5                         | CUSIP: 31417MFB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7008 | PA      | $6939.11       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | 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        |        11655 | PA      | $11811.99      | 0.00%             | 2028-07-01      | Fixed         | 5.87%                 | 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        |        15996 | PA      | $16122.77      | 0.00%             | 2027-12-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8999 FR 08/52 FIXED 4                   | CUSIP: 3133BJ7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4053901 | PA      | $3844867.76    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 896541 FN 09/36 FIXED 6                           | CUSIP: 31410TBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3336 | PA      | $3491.62       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8046 FN 01/28 FIXED VAR                         | CUSIP: 3138EQ5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2408 | PA      | $2395.73       | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95       | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     14100000 | PA      | $13738630.25   | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | 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        |          414 | PA      | $418.50        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928412 FN 06/37 FIXED 6.5                         | CUSIP: 31412LN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297603 | PA      | $314886.13     | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | 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        |          368 | PA      | $382.16        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-617.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J0045 FH 01/36 FLOATING VAR              | CUSIP: 3128LUBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          319 | PA      | $326.23        | 0.00%             | 2036-01-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1974 FN 07/43 FIXED 3                           | CUSIP: 3138X1FQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3451 | PA      | $3149.73       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A        | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158872 | PA      | $155408.65     | 0.00%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1005 GN 10/49 FIXED 4                           | CUSIP: 3617LKDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506806 | PA      | $478185.92     | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A41774 FG 01/36 FIXED 6.5                 | CUSIP: 3128K16K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18218 | PA      | $19133.89      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A              | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4964 | PA      | $4934.01       | 0.00%             | 2034-04-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 310129 FN 07/27 FIXED VAR                         | CUSIP: 31374CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2839 | PA      | $2825.70       | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-1529749.91   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3            | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4175750 | PA      | $948577.87     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2018-A                                                    | SOFI ALTERNATIVE TRUST SAT 2018 A P1 144A                   | CUSIP: 834012AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38088925 | PA      | $36411481.22   | 0.08%             | 2050-05-16      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4           | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       364987 | PA      | $363871.15     | 0.00%             | 2036-04-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3597                                                                 | FREDDIE MAC FHR 3597 FC                                     | CUSIP: 31398L5U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6316 | PA      | $6365.19       | 0.00%             | 2039-11-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190308 FN 09/30 FIXED VAR                         | CUSIP: 31368HKV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          106 | PA      | $108.78        | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $2417.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                      | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                     | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     16100000 | PA      | $16112318.27   | 0.03%             | 2034-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1475 FN 05/48 FIXED 4                           | CUSIP: 3140HET93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       481100 | PA      | $462021.60     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU2496 FN 07/43 FIXED 3                           | CUSIP: 3138X1X27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       142804 | PA      | $130846.32     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A2             | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       881977 | PA      | $507319.62     | 0.00%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                                   | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                       | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4667632 | PA      | $4205541.30    | 0.01%             | 2036-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A E                               | CUSIP: ACI2P7X69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2494000 | PA      | $3328598.96    | 0.01%             | 2062-11-16      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7617 FR 07/52 FIXED 5                   | CUSIP: 3133KPPA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10928427 | PA      | $10857251.16   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2253 FN 04/44 FIXED 4                           | CUSIP: 3138WBQF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119641 | PA      | $115447.02     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254091 FN 12/31 FIXED 6                           | CUSIP: 31371KF89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12658 | PA      | $12977.17      | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER COMPANY                                                            | ALABAMA POWER CO SR UNSECURED 03/31 4.3                     | CUSIP: 010392GE2<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       800000 | PA      | $792176.96     | 0.00%             | 2031-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4100                                                          | FREDDIE MAC FHR 4100 DI                                     | CUSIP: 3137ASXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       367077 | PA      | $4844.87       | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | 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        |        25082 | PA      | $14748.36      | 0.00%             | 2036-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-23173.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                              | SVB FINL TR COMMON STOCK UNIT                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         8700 | NS      | $4110750.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886495 FN 08/36 FIXED 6                           | CUSIP: 31410D3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7732 | PA      | $8020.39       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125                 | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      5300000 | PA      | $5333466.90    | 0.01%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902336 FN 11/36 FIXED 6                           | CUSIP: 31411APV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26748 | PA      | $27725.26      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 A6            | CUSIP: 86358ENH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114295 | PA      | $114301.18     | 0.00%             | 2034-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED                                         | VIRGIN MEDIA INV HLDGS LTD 2025 GBP TERM LOAN               | CUSIP: BA000VZK6<br>LEI: 549300ZM1VNUHR0FX008 | Long             | LON              | CORP              | GB        |      5900000 | PA      | $7496872.99    | 0.02%             | 2030-08-01      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC 2481                                                                 | FREDDIE MAC FHR 2481 ZA                                     | CUSIP: 31392TUQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       481075 | PA      | $498030.47     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 702901 FN 05/33 FIXED 6                           | CUSIP: 31401A3J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6626 | PA      | $6778.48       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A           | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2460871 | PA      | $2478795.46    | 0.01%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 01/27 2.75                 | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     23000000 | PA      | $22713228.87   | 0.05%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3586 FN 05/52 FIXED 3                           | CUSIP: 3140QN6Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3319940 | PA      | $2925206.49    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BD0015 GN 09/47 FIXED 3.5                         | CUSIP: 3617BFAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       367041 | PA      | $341891.44     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | 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        |       987024 | PA      | $982766.40     | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-E                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 E A2                  | CUSIP: 589929Y44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6369 | PA      | $6366.49       | 0.00%             | 2028-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | BOSTON PROPERTIES LP SR UNSECURED 10/33 2.45                | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |      4076000 | PA      | $3300261.59    | 0.01%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6672 FN 02/46 FIXED 4                           | CUSIP: 3138WGMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114353 | PA      | $109865.28     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATHER FOUNDATION                                                                | MATHER FOUNDATION UNSECURED 10/31 2.675                     | CUSIP: 576722AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1050000 | PA      | $937755.96     | 0.00%             | 2031-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J3 2A1            | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9058 | PA      | $9248.15       | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A                  | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     14950382 | PA      | $17383889.41   | 0.04%             | 2028-07-10      | Floating      | 4.48%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080000 G2 10/26 FLOATING VAR                   | CUSIP: 36225CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6155 | PA      | $6152.48       | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1            | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126492 | PA      | $42932.14      | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QK0114 FR 11/39 FIXED 3                   | CUSIP: 3133D3DT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68417 | PA      | $64007.09      | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1966                                                                 | FREDDIE MAC FHR 1966 Z                                      | CUSIP: 3133TABZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          259 | PA      | $259.93        | 0.00%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG           | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      4400000 | PA      | $1540000.00    | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                             | ERAC USA FINANCE LLC                                        | CUSIP: 26882SDA1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      2011000 | PA      | $2008744.26    | 0.00%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1             | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77294 | PA      | $72201.42      | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 783724 GN 05/39 FIXED 5                           | CUSIP: 3622A2D58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       769672 | PA      | $783796.46     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $18758.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN2513 FR 01/34 FIXED 3.5                 | CUSIP: 3131Y8YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       355487 | PA      | $348862.82     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5           | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1015079 | PA      | $543140.32     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 878337 FN 12/36 FIXED 6                           | CUSIP: 31409TZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14338 | PA      | $14626.64      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.83600 05/02/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $296322.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 591441 FN 08/31 FIXED 8.5                         | CUSIP: 31387RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           61 | PA      | $60.87         | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 983835 FN 10/38 FIXED 5.5                         | CUSIP: 31415L4U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1847 | PA      | $1883.93       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3230 FN 03/52 FIXED 3                           | CUSIP: 3140QNSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20331678 | PA      | $17910928.69   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS A2 144A                              | CUSIP: 990ABJRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     21900000 | PA      | $15109909.06   | 0.03%             | 2057-12-30      | Floating      | 5.71%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG           | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     11800000 | PA      | $4130000.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1          | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1659274 | PA      | $726980.89     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | 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        |         1523 | PA      | $1554.98       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2B                              | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4824444 | PA      | $2384852.59    | 0.01%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/51 2                                     | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    246895600 | PA      | $140662980.87  | 0.30%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9F6 SMB 2026 B B 144A                                 | CUSIP: 990ACZVC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10631000 | PA      | $10548067.46   | 0.02%             | 2054-03-11      | Fixed         | 5.53%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M2               | CUSIP: 86358EMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45731 | PA      | $40351.45      | 0.00%             | 2034-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257573 FN 02/39 FIXED 5.5                         | CUSIP: 31371PCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101713 | PA      | $104587.92     | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FC              | CUSIP: 38376RFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7666966 | PA      | $7675124.71    | 0.02%             | 2065-08-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A A 144A                                  | CUSIP: ACI12K1K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     26648951 | PA      | $35193645.38   | 0.07%             | 2045-02-22      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2325                                                                 | FREDDIE MAC FHR 2325 ZG                                     | CUSIP: 3133TU4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58719 | PA      | $59748.31      | 0.00%             | 2031-06-15      | Fixed         | 6.00%                 | 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        |       203064 | PA      | $200338.41     | 0.00%             | 2036-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BA2547 GN 05/47 FIXED 5                           | CUSIP: 3617AEZL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110521 | PA      | $110224.93     | 0.00%             | 2047-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9261 FN 04/46 FIXED 4                           | CUSIP: 3140F5JF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3839 | PA      | $3663.43       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1992 FN 10/26 FIXED 3                           | CUSIP: 3138ATGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1049 | PA      | $1043.43       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B            | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       664828 | PA      | $609278.51     | 0.00%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2934                                                                 | FREDDIE MAC FHR 2934 EJ                                     | CUSIP: 31395MCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226800 | PA      | $229245.13     | 0.00%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9427 FN 03/53 FIXED 5.5                         | CUSIP: 3140NEPM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15107357 | PA      | $15309752.02   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5936 FN 10/45 FIXED 4                           | CUSIP: 3138WFS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1300602 | PA      | $1252784.36    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 07/27 5.05                        | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      1025000 | PA      | $1035777.64    | 0.00%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                                               | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4                | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1694362 | PA      | $448779.95     | 0.00%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8382 FR 12/53 FIXED 5                   | CUSIP: 3132DWJ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1252331 | PA      | $1238969.82    | 0.00%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1            | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61107 | PA      | $57298.90      | 0.00%             | 2036-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-327664.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    528000000 | PA      | $519705494.88  | 1.11%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892918 FN 08/36 FIXED 6                           | CUSIP: 31410PAT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12449 | PA      | $12937.71      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 753514 FN 11/33 FIXED 6                           | CUSIP: 31403NDT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2181 | PA      | $2224.57       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-65552.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A             | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3770915 | PA      | $3900801.49    | 0.01%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2                  | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          420 | PA      | $422.81        | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                      | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A1 144A     | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22000000 | PA      | $21089747.80   | 0.04%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0863 FN 10/43 FIXED 3                           | CUSIP: 3138W95Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7031 | PA      | $6435.93       | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                          | FREDDIE MAC FHR 5426 AF                                     | CUSIP: 3137HCXU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4444796 | PA      | $4466516.91    | 0.01%             | 2050-03-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                                 | FREDDIE MAC FHR 2248 ZA                                     | CUSIP: 3133TPVV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19115 | PA      | $19647.14      | 0.00%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780605 FH 06/33 FLOATING VAR              | CUSIP: 31342AU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20571 | PA      | $21218.98      | 0.00%             | 2033-06-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $262489.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2015-1A                                       | SPIRIT AIR 2015 1 PTT A PASS THRU CE 10/29 4.1              | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3569967 | PA      | $3507386.80    | 0.01%             | 2029-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 818063 FN 06/37 FIXED 6                           | CUSIP: 31406RZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19810 | PA      | $20386.44      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2633227654 | PA      | $2593918726.25 | 5.52%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-117                                                              | FANNIE MAE FNR 2006 117 SA                                  | CUSIP: 31396LD56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61365 | PA      | $6677.80       | 0.00%             | 2036-12-25      | Floating      | 2.86%                 | 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        |           14 | PA      | $13.72         | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9255 05/08/25-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-305546.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3380                                                          | FREDDIE MAC FHR 3380 FM                                     | CUSIP: 31397KTJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       204248 | PA      | $203948.29     | 0.00%             | 2037-10-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 03/29 VAR                 | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3020000 | PA      | $2993584.72    | 0.01%             | 2029-03-05      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357829 FN 06/35 FIXED 6                           | CUSIP: 31376KPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          132 | PA      | $134.24        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AL5242 GN 02/45 FIXED 3.5                         | CUSIP: 36184BZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17657 | PA      | $16589.45      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3233                                                          | FREDDIE MAC FHR 3233 PA                                     | CUSIP: 31397BYP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1620 | PA      | $1683.66       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $5152.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PAYMENTS INC SR UNSECURED 11/30 4.875                | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     14600000 | PA      | $14345142.98   | 0.03%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 1A3                            | CUSIP: 16165YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2682042 | PA      | $2444868.54    | 0.01%             | 2037-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                                     | BECTON DICKINSON+CO.                                        | CUSIP: 07588MDH6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      7100000 | PA      | $7086562.54    | 0.02%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2815 FN 10/45 FIXED 4                           | CUSIP: 3140E7DV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31071 | PA      | $29659.83      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804762 FN 01/35 FLOATING VAR                      | CUSIP: 31406BB74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       593313 | PA      | $609160.41     | 0.00%             | 2035-01-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $9821.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2083                                                                 | FREDDIE MAC FHR 2083 ZC                                     | CUSIP: 3133TEWH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50719 | PA      | $51213.28      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0921 FN 12/40 FIXED 4                           | CUSIP: 3138A2AX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2252 | PA      | $2153.40       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745480 FN 04/36 FLOATING VAR                      | CUSIP: 31403DFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           29 | PA      | $29.60         | 0.00%             | 2036-04-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 750546 FN 02/34 FIXED 5.5                         | CUSIP: 31403JZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4813 | PA      | $4840.88       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/30 VAR                    | CUSIP: 225401BR8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     30000000 | PA      | $29625413.10   | 0.06%             | 2030-04-10      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM2842 GN 04/45 FIXED 3.5                         | CUSIP: 36184NEP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81788 | PA      | $75276.22      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A2 144A         | CUSIP: 21056DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16460000 | PA      | $16913897.67   | 0.04%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8902 FN 05/49 FIXED 3.5                         | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1028058 | PA      | $954692.85     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1051 FN 05/49 FIXED VAR                         | CUSIP: 3140X4EZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9139 | PA      | $8978.71       | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5898 FN 06/43 FIXED 3                           | CUSIP: 3138WTRU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29196 | PA      | $26747.08      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | 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        |       128442 | PA      | $129200.84     | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -48130000 | PA      | $-40453641.38  | -0.09%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2204                                                                 | FREDDIE MAC FHR 2204 Z                                      | CUSIP: 3133TMY83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34911 | PA      | $36106.35      | 0.00%             | 2029-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 07/46 11.5                       | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  11557000000 | PA      | $2788069.43    | 0.01%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.75000 12/20/28-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-125656.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5319 FN 11/41 FIXED 4                           | CUSIP: 3138AW4D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2450 | PA      | $2367.74       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR           | CUSIP: ACI1M15X9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      4700000 | PA      | $5147799.08    | 0.01%             | 2030-05-04      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817468 FN 09/35 FLOATING VAR                      | CUSIP: 31406RFH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127377 | PA      | $129986.64     | 0.00%             | 2035-09-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $3751.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71780 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1418778.41    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0571 FN 10/53 FIXED 5.5                         | CUSIP: 3140A0T58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4907338 | PA      | $4940647.04    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G01109 FG 03/30 FIXED 7.5                 | CUSIP: 31283HGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           20 | PA      | $20.57         | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | 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        |         9614 | PA      | $9863.87       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1708 G2 07/48 FIXED 4                        | CUSIP: 3617HA3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1175307 | PA      | $1107964.92    | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK9909 FN 09/48 FIXED 4                           | CUSIP: 3140HQAK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34802 | PA      | $33273.72      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                                | NOVA SECURITISATION SARL SR SECURED 144A 02/31 5.75         | CUSIP: 66984FAA5<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |     10000000 | PA      | $9687306.00    | 0.02%             | 2031-02-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08316 06/30/26-27Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $288365.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260602                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-8969.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES                 | 10 RENEW POWER SUBSIDIAR SR SECURED 144A 07/28 4.5          | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |      7900000 | PA      | $7458293.62    | 0.02%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6165 FR 07/53 FIXED 5.5                 | CUSIP: 3133C6Z69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5567748 | PA      | $5621282.00    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 03/30 VAR                       | CUSIP: ACI2NCY77<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2900000 | PA      | $3373185.40    | 0.01%             | 2030-03-21      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7011 FR 08/29 FIXED 3.5                 | CUSIP: 3132A7YG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42856 | PA      | $42421.61      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3382                                                          | FREDDIE MAC FHR 3382 FG                                     | CUSIP: 31397PHA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102366 | PA      | $102262.16     | 0.00%             | 2037-11-15      | Floating      | 4.39%                 | 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        |         7145 | PA      | $7348.51       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9024 GN 03/50 FIXED 4                           | CUSIP: 3617MYAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       557197 | PA      | $525737.31     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H22                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H22 FC              | CUSIP: 38376RGP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243313 | PA      | $243511.92     | 0.00%             | 2065-09-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4169 FN 03/52 FIXED 2                           | CUSIP: 3140MHT33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9447722 | PA      | $7628434.71    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5271 FN 08/47 FIXED 4                           | CUSIP: 3140GT2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356242 | PA      | $339921.31     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906073 FN 01/37 FIXED 6                           | CUSIP: 31411ET64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24424 | PA      | $25135.92      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BT9029 GN 03/50 FIXED 4                           | CUSIP: 3617MYA66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       836189 | PA      | $788978.45     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B          | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288603 | PA      | $303441.90     | 0.00%             | 2046-09-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-21697.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A C 144A                        | CUSIP: ACI2V59B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     28562000 | PA      | $37695420.77   | 0.08%             | 2056-08-28      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8578 FN 04/33 FIXED 3                           | CUSIP: 3140HAQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       342968 | PA      | $331145.59     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A2                     | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       330896 | PA      | $102046.40     | 0.00%             | 2036-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2014 1 A PTT PASS THRU CE 10/27 4                | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1672739 | PA      | $1671250.52    | 0.00%             | 2027-10-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-124                                                       | FANNIE MAE FNR 2010 124 JZ                                  | CUSIP: 31398N4D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22519291 | PA      | $22303078.87   | 0.05%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D97050 FG 08/26 FIXED 6                   | CUSIP: 3128E3ZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12998 | PA      | $13263.73      | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A1            | CUSIP: 12668BMU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5123662 | PA      | $1671440.41    | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-65014.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A          | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6000000 | PA      | $6007239.60    | 0.01%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0163 FN 06/43 FIXED 3                           | CUSIP: 3138WZFD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7763 | PA      | $7103.77       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 6 DAC 6A                                                       | TORO EUROPEAN CLO TCLO 6A AR 144A                           | CUSIP: ACI1ZW9V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      7063127 | PA      | $8170881.76    | 0.02%             | 2032-01-12      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9806 FN 08/26 FIXED 3.5                         | CUSIP: 3138AP3Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1977 | PA      | $1969.39       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0798 FN 01/27 FIXED 3.5                         | CUSIP: 3138E43G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15268 | PA      | $15194.16      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 FE 144A        | CUSIP: 05494AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6601514 | PA      | $3353081.26    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0349 FN 04/40 FIXED VAR                         | CUSIP: 31419AL70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       324661 | PA      | $340752.84     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5705 FN 03/33 FIXED 3                           | CUSIP: 3140H7KT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75264 | PA      | $72644.31      | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ9776 FN 12/42 FIXED 3                           | CUSIP: 3138MR2J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       388533 | PA      | $356245.96     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5988 G2 06/49 FIXED 5                        | CUSIP: 36179UUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122595 | PA      | $123754.01     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 ASB            | CUSIP: 05492TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2323641 | PA      | $2248541.61    | 0.00%             | 2053-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $280045.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $289984.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A R 144A          | CUSIP: 21055PAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12199472 | PA      | $5343250.48    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815745 FN 02/35 FIXED 6                           | CUSIP: 31406PHW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1030 | PA      | $1066.92       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                      | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25204538 | PA      | $25217840.20   | 0.05%             | 2039-02-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-46515.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3324 FN 07/43 FIXED 3                           | CUSIP: 3138X2VS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237924 | PA      | $217927.38     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE5203 FR 06/52 FIXED 4                   | CUSIP: 3133BEX81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3636069 | PA      | $3448177.76    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS9 A33            | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       212276 | PA      | $174709.94     | 0.00%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1212 FN 12/40 FIXED 4                           | CUSIP: 31419BK20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139505 | PA      | $134783.15     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3369 FN 01/48 FIXED VAR                         | CUSIP: 3140J7W76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81211 | PA      | $77822.64      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER                                     | CUSIP: 40412DEJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      9300000 | PA      | $9245390.40    | 0.02%             | 2026-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                    | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     25600000 | PA      | $25726433.79   | 0.05%             | 2027-08-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1             | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67922 | PA      | $66697.52      | 0.00%             | 2035-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 867746 FN 03/36 FIXED 6                           | CUSIP: 31409DBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10103 | PA      | $10397.15      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 845355 FN 01/36 FIXED 6                           | CUSIP: 31408AE48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16146 | PA      | $16852.07      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR               | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      1650000 | PA      | $1678875.00    | 0.00%             | 2031-05-13      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                  | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   5097500000 | PA      | $296066957.23  | 0.63%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A2A           | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       684571 | PA      | $636202.37     | 0.00%             | 2037-03-25      | Floating      | 4.50%                 | 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        |         2292 | PA      | $2308.54       | 0.00%             | 2029-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG           | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $1295000.00    | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                         | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       604447 | PA      | $592114.75     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 8A3             | CUSIP: 225470FG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11663 | PA      | $8497.44       | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK40                                                                  | BANK BANK 2022 BNK40 A4                                     | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38300000 | PA      | $35583882.73   | 0.08%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-2                                                   | HOMEBANC MORTGAGE TRUST HMBT 2004 2 A1                      | CUSIP: 43739EAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       425733 | PA      | $411405.11     | 0.00%             | 2034-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A R 144A                           | CUSIP: ACI2M1B28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      6800000 | PA      | $8295916.30    | 0.02%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $17718.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995002 FN 07/37 FIXED VAR                         | CUSIP: 31416BKP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3479 | PA      | $3504.67       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                   | OMEGA HLTHCARE INVESTORS COMPANY GUAR 02/31 3.375           | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     21990000 | PA      | $20344223.54   | 0.04%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2020-COR7                            | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2020 COR7 A5           | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $8568890.00    | 0.02%             | 2053-05-13      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                               | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A            | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68878207 | PA      | $60129537.86   | 0.13%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF              | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70099517 | PA      | $71361084.23   | 0.15%             | 2072-12-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848223 FN 11/35 FIXED 6                           | CUSIP: 31408DLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57365 | PA      | $60042.30      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/30 VAR                  | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     25000000 | PA      | $25057962.00   | 0.05%             | 2030-10-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2129                                                                 | FREDDIE MAC FHR 2129 ZA                                     | CUSIP: 3133TJGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33823 | PA      | $34295.78      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1                  | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387835 | PA      | $346821.02     | 0.00%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003188 G2 01/32 FIXED 6.5                      | CUSIP: 36202DRH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           94 | PA      | $98.20         | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-63                                                               | FANNIE MAE FNR 2001 63 FA                                   | CUSIP: 31392AVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8001 | PA      | $8007.21       | 0.00%             | 2031-12-18      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORPORATION                                                         | ARES CAPITAL CORP SR UNSECURED 01/31 5.1                    | CUSIP: 04010LBL6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     14800000 | PA      | $14239189.96   | 0.03%             | 2031-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     34900000 | PA      | $34620102.35   | 0.07%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893143 FN 08/36 FIXED 6                           | CUSIP: 31410PHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          579 | PA      | $600.37        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0868 FN 09/53 FIXED 6.5                         | CUSIP: 3140A06E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97521 | PA      | $100943.59     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/29 VAR                   | CUSIP: 45870GAH9<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888086 FN 02/36 FIXED VAR                         | CUSIP: 31410FUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53650 | PA      | $56152.18      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1005 FN 11/26 FIXED VAR                         | CUSIP: 3138EHDK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10055 | PA      | $10012.50      | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H15 FB              | CUSIP: 38376RCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       330914 | PA      | $331180.79     | 0.00%             | 2065-06-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 816338 FN 11/34 FLOATING VAR                      | CUSIP: 31406P4X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57634 | PA      | $58657.14      | 0.00%             | 2034-11-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923135 FN 01/37 FIXED 6                           | CUSIP: 31412ESY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8664 | PA      | $8988.28       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 10/26 3.375                | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      4165000 | PA      | $4141405.32    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3012                                                                 | FREDDIE MAC FHR 3012 EF                                     | CUSIP: 31395WUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62022 | PA      | $61448.84      | 0.00%             | 2035-08-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A2R 144A                              | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1114429 | PA      | $1271134.46    | 0.00%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B2 144A        | CUSIP: 17326UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1151454.22    | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 06/29 5.125          | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      2500000 | PA      | $2536119.60    | 0.01%             | 2029-06-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-10                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1             | CUSIP: 86361QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1351600 | PA      | $1047769.48    | 0.00%             | 2036-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535488 FN 09/30 FIXED VAR                         | CUSIP: 31384V2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1041 | PA      | $1071.56       | 0.00%             | 2030-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A          | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1780036 | PA      | $1694063.26    | 0.00%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $10994557.50   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3146 FN 06/44 FIXED 4                           | CUSIP: 3138XSP84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4803068 | PA      | $4629215.56    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 604548 GN 08/33 FIXED 4.5                         | CUSIP: 36200MTD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1507 | PA      | $1497.77       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -56600000 | NC      | $-50521.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/34 4.5                | CUSIP: ACI30CSR3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      5500000 | PA      | $6193288.21    | 0.01%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 B 144A         | CUSIP: 054987AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35100000 | PA      | $31818025.40   | 0.07%             | 2053-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C62541 FG 01/32 FIXED 7                   | CUSIP: 31287MZE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11168 | PA      | $11747.29      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                        | COREBRIDGE GLOB FUNDING SR SECURED 144A 07/26 5.75          | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2509195.83    | 0.01%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7974 FR 09/32 FIXED 3.5                 | CUSIP: 3132A82F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125289 | PA      | $123208.52     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON CO                                                                 | TOLEDO EDISON COMPANY 1ST MORTGAGE 144A 05/28 2.65          | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18667000 | PA      | $17734036.78   | 0.04%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 21A2         | CUSIP: 07389RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1709840 | PA      | $1710535.46    | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | 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        |          462 | PA      | $484.69        | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $6473.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 976967 FN 02/38 FIXED 6                           | CUSIP: 31414UZ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1683861 | PA      | $1767467.97    | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A          | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          776 | PA      | $737.15        | 0.00%             | 2034-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.25000 12/21/22-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |            1 | NC      | $976917.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      9143000 | PA      | $9204095.26    | 0.02%             | 2028-07-22      | Floating      | 4.95%                 | 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        |      1205811 | PA      | $1193200.48    | 0.00%             | 2044-03-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3098 FN 08/30 FIXED VAR                         | CUSIP: 3140X6NQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6058 | PA      | $6035.21       | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-7                                                         | FANNIE MAE FNR 2012 7 QF                                    | CUSIP: 3136A3VW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3960415 | PA      | $3928330.80    | 0.01%             | 2042-02-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H27 FD              | CUSIP: 38383KHV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5162123 | PA      | $5292137.55    | 0.01%             | 2073-11-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897484 FN 11/36 FIXED 6                           | CUSIP: 31410UCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13600 | PA      | $13997.47      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C                | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11510190 | PA      | $5493054.02    | 0.01%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8367 FR 10/53 FIXED 5.5                 | CUSIP: 3132DWJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26665222 | PA      | $26876777.58   | 0.06%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY                                  | SOUTH AUST GOVT FIN AUTH LOCAL GOVT G REGS 05/35 4.75       | CUSIP: ACI2ZFSY5<br>LEI: 254900TDPILDN6AUAD69 | Long             | DBT              | MUN               | AU        |      3550000 | PA      | $2311181.33    | 0.00%             | 2035-05-24      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900883 FN 01/37 FIXED 6                           | CUSIP: 31410X2Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39157 | PA      | $40618.52      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3932 FN 08/46 FIXED 4                           | CUSIP: 3140FBLN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1504550 | PA      | $1443926.18    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                                               | FANNIE MAE FNR 2000 34 F                                    | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3362 | PA      | $3359.07       | 0.00%             | 2030-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931439 FN 06/39 FIXED 5.5                         | CUSIP: 31412PZC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163437 | PA      | $167352.29     | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831149 FN 12/35 FIXED 6                           | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93612 | PA      | $97733.79      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $31647.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4789 FN 09/53 FIXED 6                           | CUSIP: 3140A5KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179642 | PA      | $184068.32     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2              | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257621 | PA      | $229987.05     | 0.00%             | 2035-07-25      | Floating      | 3.18%                 | 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        |        35879 | PA      | $35845.05      | 0.00%             | 2030-10-18      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3822                                                                 | FREDDIE MAC FHR 3822 ZG                                     | CUSIP: 3137A8KF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10573016 | PA      | $10288807.95   | 0.02%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 398596 GN 04/26 FIXED 6.5                         | CUSIP: 36205RXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            4 | PA      | $3.70          | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | 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        |         4919 | PA      | $4717.17       | 0.00%             | 2031-11-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 976172 FN 04/38 FIXED 5.5                         | CUSIP: 31414T6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48297 | PA      | $49263.98      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $194.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B R 144A            | CUSIP: 78450CAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1655281 | PA      | $2109376.30    | 0.00%             | 2052-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 840927 FN 10/35 FIXED 6                           | CUSIP: 31407UHC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4759 | PA      | $4852.65       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | 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        |           12 | PA      | $11.71         | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                     | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                 | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |      9697194 | PA      | $8533530.40    | 0.02%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080010 G2 11/26 FLOATING VAR                   | CUSIP: 36225CAL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3713 | PA      | $3712.49       | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A7           | CUSIP: 021468AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       503014 | PA      | $260557.36     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |       145076 | PA      | $152264.49     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2217 FN 03/45 FIXED 4                           | CUSIP: 31418BPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100924 | PA      | $97245.21      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $11316048.79   | 0.02%             |  |  |  | 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        |      1706485 | PA      | $1551013.68    | 0.00%             | 2036-01-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $110058.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6973 FN 10/46 FIXED 4                           | CUSIP: 3140FEXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1007380 | PA      | $964664.88     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900652 FN 09/36 FIXED 6                           | CUSIP: 31410XTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100936 | PA      | $104714.51     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5              | CUSIP: 761143AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1941333 | PA      | $689008.18     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0536 FN 12/45 FIXED 4                           | CUSIP: 3140EUS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64354 | PA      | $61789.02      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-4100.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4289 FR 11/53 FIXED 5.5                 | CUSIP: 3133CGXS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68612 | PA      | $69030.37      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CALIFORNIA                                                         | UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/27 FIXED 1.316     | CUSIP: 91412HGF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      5700000 | PA      | $5540027.22    | 0.01%             | 2027-05-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/27 VAR                         | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     42300000 | PA      | $42644293.24   | 0.09%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080169 G2 02/28 FLOATING VAR                   | CUSIP: 36225CFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19286 | PA      | $19231.34      | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 9A13             | CUSIP: 2254582X5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1878895 | PA      | $1255171.78    | 0.00%             | 2035-09-25      | 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        |       236285 | PA      | $230367.04     | 0.00%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 09/30 VAR               | CUSIP: 80282KBM7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     15600000 | PA      | $15774478.98   | 0.03%             | 2030-09-06      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3378 FN 08/26 FIXED 3.5                         | CUSIP: 31416YXG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3328 | PA      | $3314.29       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1075.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMC HOME EQ LN TR 1996-2                                                         | IMC HOME EQUITY LOAN TRUST IMCHE 1996 2 A8                  | CUSIP: 449670BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1362 | PA      | $1358.37       | 0.00%             | 2026-07-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M1               | CUSIP: 03072SDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1533183 | PA      | $1634173.80    | 0.00%             | 2032-11-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $118580.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G1028 FH 07/36 FLOATING VAR              | CUSIP: 3128QJD94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          244 | PA      | $251.07        | 0.00%             | 2036-07-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889719 FN 07/38 FIXED VAR                         | CUSIP: 31410KPC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87079 | PA      | $89601.10      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/42 3.375                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    325487000 | PA      | $271997787.90  | 0.58%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5164 FN 10/53 FIXED 5                           | CUSIP: 31418EW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28332917 | PA      | $28056804.82   | 0.06%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                                 | FREDDIE MAC FHR 3360 SA                                     | CUSIP: 31397KE56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       170258 | PA      | $228619.70     | 0.00%             | 2037-08-15      | Floating      | 15.92%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $254659.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                      | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22478 | PA      | $22164.98      | 0.00%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-99                                                        | FANNIE MAE FNR 2010 99 NP                                   | CUSIP: 31398T4L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11048383 | PA      | $10573877.52   | 0.02%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4481 FN 07/43 FIXED 4                           | CUSIP: 3138X36T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16373 | PA      | $15811.83      | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 4A1 144A          | CUSIP: 74930PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121674 | PA      | $120946.50     | 0.00%             | 2037-08-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 758900 FN 12/33 FLOATING VAR                      | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67187 | PA      | $68817.72      | 0.00%             | 2033-12-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2820                                                                 | FREDDIE MAC FHR 2820 FY                                     | CUSIP: 31395CEC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3021 | PA      | $3014.58       | 0.00%             | 2034-07-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 522577 GN 01/30 FIXED 8                           | CUSIP: 36211TQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          333 | PA      | $336.79        | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA1A             | CUSIP: 059515AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98827 | PA      | $83360.20      | 0.00%             | 2037-04-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2986092 | PA      | $2976192.36    | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                            | CROWN CASTLE                                                | CUSIP: 22823QDE8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     69500000 | PA      | $69386402.25   | 0.15%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2019-GC44                                                    | COMM MORTGAGE TRUST COMM 2019 GC44 A5                       | CUSIP: 12655TBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7700000 | PA      | $7274167.67    | 0.02%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A1                     | CUSIP: 362611AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2033120 | PA      | $828908.64     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35         | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |      2856275 | PA      | $2774778.25    | 0.01%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783619 FN 06/35 FLOATING VAR                      | CUSIP: 31405ASG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       547966 | PA      | $565323.82     | 0.00%             | 2035-06-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2328.68      | -0.00%            |  |  |  | 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        |          268 | PA      | $273.62        | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                          | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/26 5.95        | CUSIP: 44891ACM7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     11800000 | PA      | $11873876.38   | 0.03%             | 2026-09-21      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008971 G2 09/26 FLOATING VAR                   | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1035 | PA      | $1034.20       | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH1309 FR 09/53 FIXED 5.5                 | CUSIP: 3133CDN26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179520 | PA      | $180779.72     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1944                                                                 | FREDDIE MAC FHR 1944 GC                                     | CUSIP: 3133T9LJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           60 | PA      | $60.61         | 0.00%             | 2027-03-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H15                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H15 FC              | CUSIP: 38376RDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       948509 | PA      | $948971.22     | 0.00%             | 2065-06-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AF0381 GN 07/43 FIXED 2.5                         | CUSIP: 36181FM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115621 | PA      | $100991.09     | 0.00%             | 2043-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/50 2                                     | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    326584000 | PA      | $190209667.26  | 0.40%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-88362.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A           | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3796000 | PA      | $3828357.86    | 0.01%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 2A1                 | CUSIP: 589929G28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          804 | PA      | $739.14        | 0.00%             | 2028-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 796823 FN 09/34 FIXED 6                           | CUSIP: 31405RG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6459 | PA      | $6614.07       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6587 FN 07/53 FIXED 5.5                         | CUSIP: 3140NPJ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       774893 | PA      | $780946.53     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6165 FN 07/47 FIXED 4                           | CUSIP: 3140GUZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13797 | PA      | $13231.66      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | 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        |        32295 | PA      | $33234.70      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2006 4 A2B               | CUSIP: 88522AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16912050 | PA      | $13823794.94   | 0.03%             | 2036-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3221                                                                 | FREDDIE MAC FHR 3221 SI                                     | CUSIP: 31397BBL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59338 | PA      | $5975.17       | 0.00%             | 2036-09-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $1536.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 08/29 3.75                      | CUSIP: 26884UAF6<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     14900000 | PA      | $14280842.27   | 0.03%             | 2029-08-15      | Fixed         | 3.75%                 | 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        |          104 | PA      | $103.90        | 0.00%             | 2030-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5736 FN 04/48 FIXED 4                           | CUSIP: 3140H7LS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6970 | PA      | $6677.78       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M5              | CUSIP: 86358EPU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3823710 | PA      | $1597999.22    | 0.00%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 29 A1                      | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       962592 | PA      | $440415.96     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA1730 FN 01/39 FIXED 6                           | CUSIP: 31416J4Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2536 | PA      | $2636.17       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                          | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422       | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7611759 | PA      | $7663235.66    | 0.02%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX4979 FN 10/44 FIXED 4                           | CUSIP: 3138Y6Q98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1755679 | PA      | $1691764.95    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 1A1              | CUSIP: 007036LG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       814767 | PA      | $703038.49     | 0.00%             | 2035-09-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080123 G2 10/27 FLOATING VAR                   | CUSIP: 36225CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           82 | PA      | $82.30         | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1988 FR 10/52 FIXED 5                   | CUSIP: 3133BPF52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2788745 | PA      | $2784485.63    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260428                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-65099.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                                 | FREDDIE MAC FHR 2104 ZM                                     | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40575 | PA      | $41301.45      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5490 FN 11/31 FIXED VAR                         | CUSIP: 3140JAC48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       998342 | PA      | $990580.91     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REFERENCE REMIC R006                                                 | FREDDIE MAC REFERENCE REMIC FHRR R006 ZA                    | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1328356 | PA      | $1383126.19    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1B 144A          | CUSIP: 78450PAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29303625 | PA      | $29826879.06   | 0.06%             | 2053-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2022-GC48                                    | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2022 GC48 A5            | CUSIP: 29426VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36400000 | PA      | $36050214.20   | 0.08%             | 2054-05-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487     | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      7235000 | PA      | $6206041.92    | 0.01%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 545229 GN 12/30 FIXED 7                           | CUSIP: 36212VVW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          329 | PA      | $335.06        | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A1           | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       329033 | PA      | $286566.75     | 0.00%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844006 FN 11/35 FIXED 6                           | CUSIP: 31407XU74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67690 | PA      | $70088.44      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 817452 FN 08/35 FLOATING VAR                      | CUSIP: 31406REZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20500 | PA      | $20854.63      | 0.00%             | 2035-08-01      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3295 FN 02/28 FIXED 3.5                         | CUSIP: 31418CUV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55185 | PA      | $54865.09      | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3013                                                                 | FREDDIE MAC FHR 3013 HZ                                     | CUSIP: 31395XRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       366201 | PA      | $370823.22     | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9663 FN 06/43 FIXED 3                           | CUSIP: 31417GWZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253621 | PA      | $231559.15     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                          | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A         | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4852824 | PA      | $4617510.29    | 0.01%             | 2038-08-15      | Floating      | 4.74%                 | 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        |        43414 | PA      | $45541.29      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 975601 FN 06/38 FIXED 6                           | CUSIP: 31414TKN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1252 | PA      | $1301.66       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0154 FN 07/40 FIXED VAR                         | CUSIP: 31419AE45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62392 | PA      | $64155.06      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8372 FR 11/53 FIXED 5.5                 | CUSIP: 3132DWJR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175683953 | PA      | $177037512.00  | 0.38%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 797393 FN 12/34 FLOATING VAR                      | CUSIP: 31405R3A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3479 | PA      | $3565.16       | 0.00%             | 2034-12-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO2975 FN 09/49 FIXED 3                           | CUSIP: 3140JXJV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2778983 | PA      | $2448943.50    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3828                                                          | FREDDIE MAC FHR 3828 SY                                     | CUSIP: 3137A7VH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8956 | PA      | $5894.32       | 0.00%             | 2041-02-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4283 FN 11/53 FIXED 5.5                         | CUSIP: 3140A4XM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36370 | PA      | $36625.01      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ7362 FN 11/45 FIXED 4                           | CUSIP: 3140E0FC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391482 | PA      | $376927.41     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 880217 FN 02/36 FIXED 7                           | CUSIP: 31409V4A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50085 | PA      | $51605.29      | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 01/28 5.156              | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      9100000 | PA      | $9219104.71    | 0.02%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G 11/37 2                 | CUSIP: ACI1Q9PP3<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     83800000 | PA      | $39092366.39   | 0.08%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SECURED 144A 03/27 VAR                | CUSIP: 04685A3U3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     25000000 | PA      | $25031135.00   | 0.05%             | 2027-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB              | CUSIP: 38375UZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1276832 | PA      | $1292427.12    | 0.00%             | 2067-11-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $35793.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 821068 FN 03/35 FIXED 6                           | CUSIP: 31406VFH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1137 | PA      | $1163.34       | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3664 FN 04/29 FIXED 3.5                         | CUSIP: 3138XTCA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       275182 | PA      | $272331.58     | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A DR 144A                           | CUSIP: ACI1745Z5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     11379000 | PA      | $12697345.94   | 0.03%             | 2054-10-29      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 696385 FN 03/33 FIXED 6                           | CUSIP: 31400SUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3411 | PA      | $3478.33       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 522183 GN 03/30 FIXED 8                           | CUSIP: 36211TCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1995 | PA      | $2010.59       | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                                   | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2738 | PA      | $2689.83       | 0.00%             | 2034-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                          | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2             | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17139800 | PA      | $4008707.93    | 0.01%             | 2036-09-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-12898.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1051 FN 10/53 FIXED 5.5                         | CUSIP: 3140A1EZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405117 | PA      | $407498.23     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 786202 FN 07/34 FLOATING VAR                      | CUSIP: 31405DNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1119 | PA      | $1139.54       | 0.00%             | 2034-07-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8815 FN 06/43 FIXED 3                           | CUSIP: 3138WWYM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253988 | PA      | $232481.51     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260416                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-7153.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M3              | CUSIP: 86358EPS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3957397 | PA      | $3606353.28    | 0.01%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SA0005 FR 03/28 FIXED 3.5                 | CUSIP: 3132CJAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           10 | PA      | $9.98          | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                   | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1428570.00    | 0.00%             | 2027-06-06      | Floating      | 29.01%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-25189.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91261 FG 08/29 FIXED 4.5                 | CUSIP: 3128P7MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4894 | PA      | $4905.90       | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                           | QUERCUS RE DAC BONDS 144A 01/31 VAR                         | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |       300000 | PA      | $358475.39     | 0.00%             | 2031-01-06      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555051 FN 11/32 FLOATING VAR                      | CUSIP: 31385WTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1005 | PA      | $1021.72       | 0.00%             | 2032-11-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3153                                                          | FREDDIE MAC FHR 3153 EF                                     | CUSIP: 31396RKK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149297 | PA      | $148528.85     | 0.00%             | 2036-05-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260421                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-110654.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $192890.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 09/45 2.7                       | CUSIP: ACI315PQ2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   1021700000 | PA      | $5927089.61    | 0.01%             | 2045-09-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-245333.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE              | CUSIP: 38376RRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2177528 | PA      | $2193908.77    | 0.00%             | 2066-03-20      | Floating      | 4.93%                 | 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        |         5634 | PA      | $5633.12       | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP4                                                             | RAAC SERIES RAAC 2007 RP4 A 144A                            | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5026747 | PA      | $4703108.57    | 0.01%             | 2046-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6660 G2 05/50 FIXED 5                        | CUSIP: 36179VMH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231234 | PA      | $234692.52     | 0.00%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3471 FR 08/26 FIXED 3.5                 | CUSIP: 3131X62C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3672 | PA      | $3658.76       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C15                                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C15 ASB           | CUSIP: 22945DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1010810 | PA      | $1007113.43    | 0.00%             | 2052-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | BLUE OWL FINANCE LLC COMPANY GUAR 06/31 3.125               | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1726484.94    | 0.00%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A1            | CUSIP: 45660N2L8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       457373 | PA      | $418113.16     | 0.00%             | 2034-11-25      | Floating      | 4.61%                 | 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        |        70529 | PA      | $68373.68      | 0.00%             | 2029-09-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                     | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |      8482692 | PA      | $8516283.00    | 0.02%             | 2031-05-31      | Floating      | 10.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-347975.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A               | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1653204 | PA      | $846781.55     | 0.00%             | 2036-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AES CORPORATION SNR S* ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $411202.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                      | TRINITY SQUARE TRINI 2021 1A AR 144A                        | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     20121858 | PA      | $26647905.57   | 0.06%             | 2059-07-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $53886.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080376 G2 02/30 FLOATING VAR                   | CUSIP: 36225CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          378 | PA      | $378.82        | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE9573 FR 09/52 FIXED 4                   | CUSIP: 3133BKT66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120637 | PA      | $114150.79     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR4350 FN 07/43 FIXED 3                           | CUSIP: 3138W1ZQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197659 | PA      | $181108.74     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-6A                                                | STRUCTURED ASSET SECURITIES CO SASC 2003 6A 2A1             | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       195984 | PA      | $194342.20     | 0.00%             | 2033-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 01/31 VAR                                      | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     13300000 | PA      | $13706312.07   | 0.03%             | 2031-01-14      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CP4682 G2 02/47 FIXED 3                        | CUSIP: 3617FUFX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1943582 | PA      | $1730077.17    | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 251752 FN 06/28 FIXED 6.5                         | CUSIP: 31371GTH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           12 | PA      | $12.43         | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4770 G2 06/48 FIXED 4                        | CUSIP: 3617H2JP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1860199 | PA      | $1756253.96    | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | BROOKFIELD FINANCE INC COMPANY GUAR 04/30 4.35              | CUSIP: 11271LAE2<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      1200000 | PA      | $1181768.86    | 0.00%             | 2030-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3063 FN 01/28 FIXED VAR                         | CUSIP: 3138EKMM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17857 | PA      | $17741.86      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/35 4     | CUSIP: ACI2CQHN2<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     28600000 | PA      | $18195013.04   | 0.04%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1             | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       303944 | PA      | $295118.78     | 0.00%             | 2034-01-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-220982.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894624 FN 11/36 FIXED 6                           | CUSIP: 31410Q4H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11335 | PA      | $11863.44      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885404 FN 06/36 FIXED 6                           | CUSIP: 31410CU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3472 | PA      | $3633.53       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-26430.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2             | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       865652 | PA      | $818387.90     | 0.00%             | 2036-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5                 | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39550 | PA      | $37841.37      | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 915876 FN 04/37 FIXED 6                           | CUSIP: 31411VQ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72119 | PA      | $75488.96      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940717 FN 10/37 FIXED 6                           | CUSIP: 31413BSE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58025 | PA      | $60736.88      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CO9126 G2 12/46 FIXED 3                        | CUSIP: 3617FMD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       754818 | PA      | $671902.86     | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2235 FR 09/53 FIXED 5.5                 | CUSIP: 3133CEPU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       726021 | PA      | $734462.44     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                           | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13528 | PA      | $12997.24      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 17 1A6                     | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125483 | PA      | $123331.74     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-42                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 42 A4                  | CUSIP: 31392MGY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1265110 | PA      | $1292086.39    | 0.00%             | 2042-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3             | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1081677 | PA      | $990525.11     | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW4831 FN 05/44 FIXED 4                           | CUSIP: 3138XULM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17643 | PA      | $16986.04      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 2A3               | CUSIP: 02660TJG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1194145 | PA      | $368165.45     | 0.00%             | 2035-12-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 03/28 VAR                              | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      3700000 | PA      | $3735626.52    | 0.01%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                                    | GSAA HOME EQUITY TRUST GSAA 2007 4 A1                       | CUSIP: 3622EBAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       482729 | PA      | $130526.12     | 0.00%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-79436.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 M1                | CUSIP: 29445FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7892 | PA      | $8101.40       | 0.00%             | 2034-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-5A                                              | HERTZ VEHICLE FINANCING LLC HERTZ 2022 5A A 144A            | CUSIP: 42806MBJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31800000 | PA      | $31589185.08   | 0.07%             | 2028-09-25      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1            | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6422222 | PA      | $2675179.99    | 0.01%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $99712.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                    | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     14600000 | PA      | $14705660.20   | 0.03%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURITIZATION CORP TRUST 2006-NC1 2006-NC1                            | HSI ASSET SECURITIZATION CORPO HASC 2006 NC1 2A             | CUSIP: 40430HER5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7445412 | PA      | $6986964.88    | 0.01%             | 2035-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260526                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1294023.65    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-43                                                               | FANNIE MAE FNR 2001 43 PZ                                   | CUSIP: 313920VW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107262 | PA      | $110473.00     | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4066                                                          | FREDDIE MAC FHR 4066 SA                                     | CUSIP: 3137ARFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       378909 | PA      | $33436.11      | 0.00%             | 2038-05-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP ASSETCO B.V. GALIBIER ASSETCO PPN              | CUSIP: ACI2QBL39<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |      4250000 | PA      | $4912363.44    | 0.01%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 03/29 VAR                              | CUSIP: 23636ABM2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     15000000 | PA      | $15035577.75   | 0.03%             | 2029-03-27      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9892 FN 04/53 FIXED 5                           | CUSIP: 3140NE7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103819 | PA      | $102892.17     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1            | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285629 | PA      | $271138.81     | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A4              | CUSIP: 05951KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59331 | PA      | $51224.85      | 0.00%             | 2036-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A B 144A                  | CUSIP: ACI34GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      2405000 | PA      | $2786483.29    | 0.01%             | 2059-08-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 02/28 VAR                        | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     71900000 | PA      | $71042515.57   | 0.15%             | 2028-02-24      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3609                                                                 | FREDDIE MAC FHR 3609 F                                      | CUSIP: 31398LN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7022 | PA      | $7051.29       | 0.00%             | 2036-08-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $293839.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU1966 FN 07/43 FIXED 3                           | CUSIP: 3138X1FG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47485 | PA      | $43530.98      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4746 FR 12/47 FIXED 3                   | CUSIP: 3132A5HX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76870 | PA      | $68967.53      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4566 FN 01/48 FIXED 4                           | CUSIP: 3140H6CC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32365 | PA      | $30577.09      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MML DORCHESTER SCSP                                                              | PROJECT DORCHESTER EUR TERM LOAN                            | CUSIP: BA000T4M1<br>LEI: 213800PP3CKB6OTAPQ90 | Long             | LON              | CORP              | US        |     18900000 | PA      | $21845569.16   | 0.05%             | 2027-01-04      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR7568 FN 03/43 FIXED 3                           | CUSIP: 3138W5MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11397 | PA      | $10427.23      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | FED REPUBLIC OF BRAZIL SR UNSECURED 01/56 7.25              | CUSIP: 105756CN8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     53215000 | PA      | $52313005.75   | 0.11%             | 2056-01-12      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8545 FR 11/29 FIXED 3.5                 | CUSIP: 3132A9P68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137748 | PA      | $136247.91     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-AB1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 AB1 A6              | CUSIP: 57643LLF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83968 | PA      | $60988.89      | 0.00%             | 2035-11-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                     | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    178290900 | PA      | $130897557.69  | 0.28%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555864 FN 09/33 FIXED VAR                         | CUSIP: 31385XQR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          297 | PA      | $306.78        | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080119 G2 10/27 FLOATING VAR                   | CUSIP: 36225CDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          714 | PA      | $714.74        | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | 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        |         6327 | PA      | $2496.51       | 0.00%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $204290.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4894 FN 01/53 FIXED 6                           | CUSIP: 31418ENL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120932 | PA      | $123911.82     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 1A              | CUSIP: 41161PCX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83752 | PA      | $79771.77      | 0.00%             | 2034-04-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AB1                                               | MASTR ASSET BACKED SECURITIES MABS 2006 AB1 A4              | CUSIP: 57643LNX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142696 | PA      | $120528.13     | 0.00%             | 2036-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $63912.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897253 FN 11/36 FIXED 6                           | CUSIP: 31410TZS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35812 | PA      | $37482.23      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2           | CUSIP: 939335N84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          353 | PA      | $352.36        | 0.00%             | 2031-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5499                                                          | FREDDIE MAC FHR 5499 FH                                     | CUSIP: 3137HJWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20217403 | PA      | $20389689.49   | 0.04%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                   | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                     | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39940425 | PA      | $11858959.36   | 0.03%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER 05/26 ZCP                           | CUSIP: 40412DED7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     11800000 | PA      | $11738237.62   | 0.02%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 506163 GN 01/30 FIXED 8                           | CUSIP: 36210YJG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          559 | PA      | $566.12        | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B2281 FH 07/35 FLOATING VAR              | CUSIP: 3128JMM79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189001 | PA      | $194151.05     | 0.00%             | 2035-07-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4301 FN 01/45 FIXED 4                           | CUSIP: 3138WDX71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       192109 | PA      | $185115.19     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3615 FN 12/26 FIXED VAR                         | CUSIP: 3138ELAR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          974 | PA      | $970.35        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-35256.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003123 G2 08/31 FIXED 8                        | CUSIP: 36202DPG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          493 | PA      | $499.56        | 0.00%             | 2031-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT1307 FN 06/43 FIXED 3                           | CUSIP: 3138WNNZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32314 | PA      | $29557.38      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-12                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2021 12 A13 144A             | CUSIP: 46592WBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7381856 | PA      | $6141254.17    | 0.01%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/45 0.75                                  | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    191691128 | PA      | $137868303.94  | 0.29%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 5 LLC/ABILENE DC 6 LLC                                                | PROJECT FLASH TERM LOAN                                     | CUSIP: BA000KZ79<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     28467280 | PA      | $28467279.88   | 0.06%             | 2030-04-30      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 781603 FN 10/34 FIXED 5.5                         | CUSIP: 31404XKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          184 | PA      | $185.44        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4273 | PA      | $3409.64       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-547161.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8479 FN 08/51 FIXED VAR                         | CUSIP: 3140XCM54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       164829 | PA      | $146377.51     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 15A1 144A                      | CUSIP: 05534AAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28812370 | PA      | $9876548.97    | 0.02%             | 2036-06-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8875 FN 03/47 FIXED 4                           | CUSIP: 3140FU2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144308 | PA      | $138227.05     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68691 03/01/24-9Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1696165.67    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL4                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL4 SA 144A          | CUSIP: 52472GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22731 | PA      | $22341.39      | 0.00%             | 2058-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $121.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2021-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 21 1A EETC PASS THRU CE 01/36 2.875            | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1137246 | PA      | $1019168.03    | 0.00%             | 2036-01-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                    | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    851000000 | PA      | $47006732.95   | 0.10%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870966 FN 11/36 FIXED 6                           | CUSIP: 31409GTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28314 | PA      | $28870.71      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839175 FN 11/35 FLOATING VAR                      | CUSIP: 31407SJU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77791 | PA      | $79559.69      | 0.00%             | 2035-11-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8003 FR 08/34 FIXED 3.5                 | CUSIP: 3132D53L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87386 | PA      | $85584.14      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4942 FN 08/46 FIXED 4                           | CUSIP: 3140FCP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1490741 | PA      | $1424982.54    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 SA 144A       | CUSIP: 36272VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126329 | PA      | $122785.54     | 0.00%             | 2065-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844532 FN 11/35 FLOATING VAR                      | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221800 | PA      | $225336.21     | 0.00%             | 2035-11-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                         | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1               | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       239758 | PA      | $239751.34     | 0.00%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| EMPIRE STATE DEVELOPMENT CORPORATION                                             | NEW YORK ST URBAN DEV CORP REV NYSDEV 03/33 FIXED 2.227     | CUSIP: 650036BB1<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     23000000 | PA      | $19855357.20   | 0.04%             | 2033-03-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A B                               | CUSIP: ACI2P7XP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14894000 | PA      | $19865078.88   | 0.04%             | 2062-11-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A B 144A                        | CUSIP: ACI2NGCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     34142000 | PA      | $39449605.00   | 0.08%             | 2058-06-28      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8677 FN 05/46 FIXED 4                           | CUSIP: 3140F4UB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2562 | PA      | $2460.42       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 A1 144A       | CUSIP: 36260AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63679562 | PA      | $60385730.12   | 0.13%             | 2059-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4130 G2 12/46 FIXED 5                        | CUSIP: 36179SST5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2750 | PA      | $2791.73       | 0.00%             | 2046-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190405 FN 10/40 FIXED VAR                         | CUSIP: 31368HNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2714 | PA      | $2625.94       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 543460 GN 11/30 FIXED 7                           | CUSIP: 36212TWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1993 | PA      | $2051.18       | 0.00%             | 2030-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-66190.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745640 FN 06/36 FIXED VAR                         | CUSIP: 31403DLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          448 | PA      | $463.78        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                                 | FREDDIE MAC FHR 2400 FQ                                     | CUSIP: 31339NC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1603 | PA      | $1603.21       | 0.00%             | 2032-01-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A               | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       614703 | PA      | $594144.96     | 0.00%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A AR 144A                           | CUSIP: ACI1746Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     22760633 | PA      | $25892218.12   | 0.06%             | 2054-10-29      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7136 FR 02/30 FIXED 3.5                 | CUSIP: 3132A74V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15991 | PA      | $15852.47      | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01079 FG 10/30 FIXED 7.5                 | CUSIP: 31292HFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          134 | PA      | $138.42        | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7229 FN 10/53 FIXED 5.5                         | CUSIP: 3140QTA74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197317 | PA      | $198973.06     | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1069 FN 01/48 FIXED 4                           | CUSIP: 3140H2FK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5700 | PA      | $5462.02       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 4A1             | CUSIP: 05949AJ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       137817 | PA      | $136334.35     | 0.00%             | 2035-02-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A D 144A                        | CUSIP: ACI2NG9B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     24158000 | PA      | $27780147.47   | 0.06%             | 2058-06-28      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2003-4                                                         | FANNIE MAE FNR 2003 4 F                                     | CUSIP: 31392HRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81269 | PA      | $81681.39      | 0.00%             | 2033-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 920180 FN 12/36 FIXED 6                           | CUSIP: 31412BJZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34429 | PA      | $35568.01      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0898 FN 02/31 FIXED VAR                         | CUSIP: 3138EG7L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11544 | PA      | $11627.17      | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5789 FN 08/52 FIXED 4.5                         | CUSIP: 3140MXNF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       381364 | PA      | $369690.48     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | 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        |          188 | PA      | $195.45        | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A3            | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9117648 | PA      | $3278202.90    | 0.01%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                      | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154214 | PA      | $145731.22     | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                      | STARWOOD PROPERTY TRUST SR UNSECURED 144A 01/27 4.375       | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1991152.80    | 0.00%             | 2027-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2173 FN 01/41 FIXED 4                           | CUSIP: 31416XMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       382577 | PA      | $369708.47     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 SA 144A          | CUSIP: 52475VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       117476 | PA      | $115729.13     | 0.00%             | 2053-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-111                                                              | FANNIE MAE FNR 2010 111 FC                                  | CUSIP: 31398NWE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11299 | PA      | $11237.23      | 0.00%             | 2040-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51328 FG 10/47 FIXED 3.5                 | CUSIP: 3132XTPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21699 | PA      | $20264.29      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-74                                                               | FANNIE MAE FNR 2010 74 WF                                   | CUSIP: 31398RW84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167945 | PA      | $167928.76     | 0.00%             | 2034-07-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6018 FN 08/42 FIXED 3.5                         | CUSIP: 31417CVL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2106 | PA      | $1989.33       | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/29 VAR                         | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     17500000 | PA      | $18225523.23   | 0.04%             | 2029-09-13      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                          | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876              | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      4800000 | PA      | $4831764.67    | 0.01%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                                | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2             | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       941908 | PA      | $886664.74     | 0.00%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-A                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 A 2A1               | CUSIP: 92977YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170979 | PA      | $159198.77     | 0.00%             | 2035-08-20      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $368519.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B          | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3211578 | PA      | $3180984.94    | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H2524 FH 08/35 FLOATING VAR              | CUSIP: 3128QLPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1703 | PA      | $1773.94       | 0.00%             | 2035-08-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $1447.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870075 FN 08/36 FIXED 6                           | CUSIP: 31409FT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139442 | PA      | $144924.93     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D                | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12582860 | PA      | $6254020.03    | 0.01%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75        | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      8550000 | PA      | $7999151.29    | 0.02%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B5 144A        | CUSIP: 17326UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1509995 | PA      | $631826.20     | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 06/31 VAR                        | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      8600000 | PA      | $7885529.72    | 0.02%             | 2031-06-03      | Floating      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 C41 A4             | CUSIP: 95001ABD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10070000 | PA      | $9920136.25    | 0.02%             | 2050-11-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5898 FR 01/53 FIXED 5.5                 | CUSIP: 3133BTRT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       170465 | PA      | $171883.05     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                               | FANNIE MAE FNR 2006 15 FC                                   | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208430 | PA      | $205611.13     | 0.00%             | 2036-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                 | KILROY REALTY LP COMPANY GUAR 01/36 6.25                    | CUSIP: 49427RAS1<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |      6300000 | PA      | $6247192.96    | 0.01%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                  | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $301830.00     | 0.00%             | 2029-01-08      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5589                                                          | FREDDIE MAC FHR 5589 FB                                     | CUSIP: 3137HNFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4015330 | PA      | $4040267.09    | 0.01%             | 2055-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1842 FN 06/34 FIXED VAR                         | CUSIP: 3140X5BL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273532 | PA      | $268534.22     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A31            | CUSIP: 007036TH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156341 | PA      | $146934.27     | 0.00%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20G                                         | SMALL BUSINESS ADMINISTRATION SBAP 2007 20G 1               | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        32293 | PA      | $32443.26      | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL D98582 FG 04/31 FIXED 4.5                 | CUSIP: 3128E5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24380 | PA      | $24366.60      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                           | CHASEFLEX TRUST CFLX 2007 3 1A1                             | CUSIP: 16165AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1060912 | PA      | $333016.35     | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1               | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         9665 | PA      | $9777.25       | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909856 FN 03/37 FIXED 6                           | CUSIP: 31411JZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1010 | PA      | $1039.36       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-64                                                               | FANNIE MAE FNR 2001 64 ZG                                   | CUSIP: 31392AFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       342772 | PA      | $352121.13     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 PT 144A       | CUSIP: 36272VAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33139574 | PA      | $29683219.38   | 0.06%             | 2065-08-25      | Variable      | 4.00%                 | 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        |          866 | PA      | $883.78        | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                             | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/35 FIXED 3.501     | CUSIP: 88880LAS2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      9935000 | PA      | $8563631.22    | 0.02%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                               | FANNIE MAE FNR 2005 75 AF                                   | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299620 | PA      | $297254.00     | 0.00%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 A9 144A          | CUSIP: 90355RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1790616 | PA      | $1680385.20    | 0.00%             | 2051-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                     | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95            | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     11567000 | PA      | $10984108.45   | 0.02%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735962 FN 10/35 FLOATING VAR                      | CUSIP: 31402RTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35302 | PA      | $36029.27      | 0.00%             | 2035-10-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-151                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 151 FA              | CUSIP: 38383YP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5951437 | PA      | $5858916.19    | 0.01%             | 2052-09-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9830 FN 06/47 FIXED 4                           | CUSIP: 3138WK4Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37593 | PA      | $36035.97      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                             | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     30900000 | PA      | $35278253.60   | 0.08%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260428                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $36492.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $8859.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                            | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5          | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     16700000 | PA      | $16595702.32   | 0.04%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970320 FN 02/38 FIXED 5.5                         | CUSIP: 31414MPD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1860 | PA      | $1914.52       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-74112.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7402 FN 01/27 FIXED 3.5                         | CUSIP: 3138XXGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          935 | PA      | $928.57        | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253947 FN 08/31 FIXED 8                           | CUSIP: 31371KBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1775 | PA      | $1853.89       | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 02/32 2.75                 | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     18550000 | PA      | $16552611.68   | 0.04%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A1            | CUSIP: 92925VAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210812 | PA      | $183651.12     | 0.00%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 02/29 5.875                            | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      5700000 | PA      | $5867096.41    | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 505334 GN 01/30 FIXED 7.5                         | CUSIP: 36210XLP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          159 | PA      | $159.86        | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 445165 GN 08/27 FIXED 7.5                         | CUSIP: 36207XQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          639 | PA      | $638.82        | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D D 144A            | CUSIP: 78450PAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5450000 | PA      | $5842590.21    | 0.01%             | 2053-09-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7386 FR 12/30 FIXED 3.5                 | CUSIP: 3132A8F38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3731 | PA      | $3714.11       | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8535 FN 09/45 FIXED 4                           | CUSIP: 3140E1PV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56997 | PA      | $54913.19      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3322                                                                 | FREDDIE MAC FHR 3322 FA                                     | CUSIP: 31397HLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       521764 | PA      | $517348.63     | 0.00%             | 2037-05-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                         | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A         | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1341348 | PA      | $1348910.47    | 0.00%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| STRIPE GLOBAL HOLDINGS INC                                                       | 86333 AB9                                                   | CUSIP: 990ADAYN7<br>LEI: 254900VYCQ4K0SLSXF22 | Long             | DBT              | CORP              | US        |     47000000 | PA      | $45923137.41   | 0.10%             | 2031-03-26      | Fixed         | 5.17%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831468 FN 05/36 FIXED 6                           | CUSIP: 31407HW51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          957 | PA      | $1002.00       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3029 FN 06/32 FIXED 3                           | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       251608 | PA      | $244916.33     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9184 FN 05/33 FIXED 3                           | CUSIP: 3140HBF29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1000934 | PA      | $972486.92     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                                     | BECTON DICKINSON+CO.                                        | CUSIP: 07588MD86<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1598590.24    | 0.00%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2025 NQM6 SA 144A         | CUSIP: 06746DAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7185 | PA      | $6927.82       | 0.00%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI PROPERTIES LP SR UNSECURED 02/28 4.75                  | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     18250000 | PA      | $18273389.75   | 0.04%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2007-7                                                    | SLM STUDENT LOAN TRUST SLMA 2007 7 A4                       | CUSIP: 78444EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1557547 | PA      | $1540949.90    | 0.00%             | 2049-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080212 G2 07/28 FLOATING VAR                   | CUSIP: 36225CGW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15479 | PA      | $15534.55      | 0.00%             | 2028-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 813596 FN 11/35 FLOATING VAR                      | CUSIP: 31406L3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115605 | PA      | $118888.80     | 0.00%             | 2035-11-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782387 GN 08/38 FIXED 5                           | CUSIP: 36241KUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157955 | PA      | $163083.83     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7244 FN 11/29 FIXED 3.5                         | CUSIP: 3138Y9BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59746 | PA      | $59047.13      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $26574638.33   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745729 FN 08/36 FIXED VAR                         | CUSIP: 31403DPN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65627 | PA      | $68868.54      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 09/28 VAR               | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     24400000 | PA      | $24736401.34   | 0.05%             | 2028-09-13      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4764 FN 01/48 FIXED 4                           | CUSIP: 3140H6JJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67776 | PA      | $64943.77      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0111 FN 02/30 FIXED VAR                         | CUSIP: 3140XFDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96997 | PA      | $96190.32      | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 1A3                        | CUSIP: 52520MDP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       512156 | PA      | $232258.32     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 887379 FN 07/36 FIXED 6                           | CUSIP: 31410E2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3554 | PA      | $3719.34       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5352 FR 07/50 FIXED 4                   | CUSIP: 3132DS5M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4448486 | PA      | $4286422.43    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9093 FN 11/44 FIXED 4                           | CUSIP: 3138YBC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1398104 | PA      | $1347281.64    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CM8594 G2 12/46 FIXED 3                        | CUSIP: 3617YURP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3352770 | PA      | $2991087.04    | 0.01%             | 2046-12-20      | Fixed         | 3.00%                 | 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        |         1959 | PA      | $2010.90       | 0.00%             | 2034-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4020 FN 12/46 FIXED 4                           | CUSIP: 3140FPPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84477 | PA      | $80721.97      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $2030.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4044 FN 06/35 FIXED 3.5                         | CUSIP: 31418DP63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148181 | PA      | $143506.32     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080107 G2 08/27 FLOATING VAR                   | CUSIP: 36225CDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22670 | PA      | $22801.08      | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | PROLOGIS LP SR UNSECURED 02/33 4.2                          | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     15100000 | PA      | $10820785.48   | 0.02%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 4A1             | CUSIP: 863579FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1871 | PA      | $1866.16       | 0.00%             | 2034-12-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 6A             | CUSIP: 86359A5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17280 | PA      | $17578.46      | 0.00%             | 2033-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0103 FN 05/39 FIXED VAR                         | CUSIP: 31419ADH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86388 | PA      | $90671.52      | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 838578 FN 10/35 FIXED 5.5                         | CUSIP: 31407RUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12387 | PA      | $12523.10      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3246 FN 04/52 FIXED 3                           | CUSIP: 3140QNTC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1826812 | PA      | $1614851.19    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                     | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12880 | PA      | $6049.77       | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                     | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    214500000 | PA      | $202260136.65  | 0.43%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FA              | CUSIP: 38376RCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1421452 | PA      | $1421832.04    | 0.00%             | 2065-06-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV2                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV2 PT 144A            | CUSIP: 46594BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42710096 | PA      | $43096763.39   | 0.09%             | 2055-12-25      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7553 FN 02/47 FIXED 3                           | CUSIP: 3140FTMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1247484 | PA      | $1122737.26    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1           | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16628 | PA      | $9231.59       | 0.00%             | 2035-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9057 FR 05/53 FIXED 5                   | CUSIP: 3133KRB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101761772 | PA      | $100832086.77  | 0.21%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3831 FN 11/53 FIXED 5.5                         | CUSIP: 3140A4HH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       427239 | PA      | $431737.30     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                            | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A         | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       700000 | PA      | $698189.62     | 0.00%             | 2040-02-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5987 FN 12/32 FIXED 3                           | CUSIP: 3140H7UM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       326835 | PA      | $316947.98     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                             | FIRSTENERGY PENN ELECTRI SR UNSECURED 144A 01/29 4.3        | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1760000 | PA      | $1749916.96    | 0.00%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6            | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1038062 | PA      | $505727.60     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A        | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148337 | PA      | $136660.24     | 0.00%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4900.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1                 | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224065 | PA      | $215086.39     | 0.00%             | 2037-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7056 FR 12/29 FIXED 3.5                 | CUSIP: 3132A7ZV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73981 | PA      | $73403.91      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/30 7.35            | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       950000 | PA      | $1002596.47    | 0.00%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4            | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4144745 | PA      | $4102197.08    | 0.01%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6744 FN 02/47 FIXED 4                           | CUSIP: 3140FSP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50272 | PA      | $48173.85      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 770439 FN 04/34 FIXED 6                           | CUSIP: 31404J4Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2618 | PA      | $2670.99       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | TARGA RES CORP                                              | CUSIP: 87613LE13<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     10600000 | PA      | $10562454.80   | 0.02%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894807 FN 08/36 FIXED 6                           | CUSIP: 31410RDL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6639 | PA      | $6803.12       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725975 FN 09/34 FLOATING VAR                      | CUSIP: 31402DQ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       507956 | PA      | $520574.35     | 0.00%             | 2034-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A2              | CUSIP: 00703QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10104185 | PA      | $3471952.42    | 0.01%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8408 FR 03/54 FIXED 5.5                 | CUSIP: 3132DWKV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21740397 | PA      | $21873021.20   | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-14.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4919 FN 02/53 FIXED 5.5                         | CUSIP: 31418EPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19048986 | PA      | $19223394.21   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2676 FN 06/46 FIXED 4                           | CUSIP: 3140F96N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56751 | PA      | $54266.94      | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL H09207 FG 08/38 FIXED 6.5                 | CUSIP: 3128UNGQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5098 | PA      | $5201.63       | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937937 FN 06/37 FIXED 6                           | CUSIP: 31412XPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4365 | PA      | $4499.06       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA6              | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       583218 | PA      | $496468.83     | 0.00%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889529 FN 03/38 FIXED VAR                         | CUSIP: 31410KHE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26872 | PA      | $28205.27      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5126 FR 06/53 FIXED 5.5                 | CUSIP: 3133C5VT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2417276 | PA      | $2436515.72    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 850985 FN 02/36 FIXED 5.5                         | CUSIP: 31408GNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60383 | PA      | $61755.39      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D C 144A            | CUSIP: 78450PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2644000 | PA      | $2769845.94    | 0.01%             | 2053-09-15      | Fixed         | 7.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2053                                                                 | FREDDIE MAC FHR 2053 Z                                      | CUSIP: 3133TDE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31477 | PA      | $31671.78      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-198489.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5885 FN 09/53 FIXED VAR                         | CUSIP: 3140XMRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93820 | PA      | $94565.10      | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2026-CES2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2026 CES2 PT                 | CUSIP: 46660XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60508051 | PA      | $65034597.79   | 0.14%             | 2056-09-25      | Fixed         | 8.84%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1             | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23624 | PA      | $21342.16      | 0.00%             | 2035-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9799 FR 09/53 FIXED 6                   | CUSIP: 3133KR3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103058 | PA      | $105721.69     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995903 FN 03/39 FIXED VAR                         | CUSIP: 31416CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1752 | PA      | $1806.76       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                              | LEHMAN MORTGAGE TRUST LMT 2006 3 1A4                        | CUSIP: 52520CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1207170 | PA      | $569063.26     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3247 FN 02/28 FIXED VAR                         | CUSIP: 3138EKTD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4975 | PA      | $4939.87       | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922067 FN 02/37 FIXED 6                           | CUSIP: 31412DMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1333 | PA      | $1375.63       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BQ1157 GN 11/49 FIXED 4                           | CUSIP: 3617LKJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1699584 | PA      | $1603608.46    | 0.00%             | 2049-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253735 FN 03/31 FIXED 7                           | CUSIP: 31371JY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1538 | PA      | $1556.99       | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                         | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2895102 | PA      | $2849479.59    | 0.01%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735061 FN 11/34 FIXED VAR                         | CUSIP: 31402QTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5738 | PA      | $5948.49       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                       | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A         | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1100000 | PA      | $1075575.71    | 0.00%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7689 FN 12/41 FIXED 4                           | CUSIP: 3138E0RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18681 | PA      | $18052.97      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                                      | LUCA RE LTD UNSECURED 144A 07/31 VAR                        | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |      2500000 | PA      | $2576375.00    | 0.01%             | 2031-07-22      | Floating      | 10.80%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3495 FN 09/26 FIXED 3.5                         | CUSIP: 31416Y3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          142 | PA      | $141.45        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | 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        |       262234 | PA      | $260001.53     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $399276.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2725 FN 05/43 FIXED 3                           | CUSIP: 3138WQA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7829 | PA      | $7172.52       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260622                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $173908.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2C                   | CUSIP: 669971AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2837570 | PA      | $884986.31     | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/34 VAR                    | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     19000000 | PA      | $19833455.33   | 0.04%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL4180 FN 09/28 FIXED VAR                         | CUSIP: 3138ELUE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52815 | PA      | $52370.28      | 0.00%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 796183 FN 11/34 FIXED 5                           | CUSIP: 31405QRC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2293 | PA      | $2279.58       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900870 FN 01/37 FIXED 6                           | CUSIP: 31410X2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20908 | PA      | $21320.93      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6547 FN 11/45 FIXED 4                           | CUSIP: 3140EBHZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124851 | PA      | $119840.30     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR                 | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8460000 | PA      | $8455164.26    | 0.02%             | 2028-04-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C01197 FG 07/31 FIXED 6.5                 | CUSIP: 31292HKJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          108 | PA      | $112.13        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-93432.38     | -0.00%            |  |  |  | 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        |        13232 | PA      | $13256.44      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | HOST HOTELS + RESORTS LP SR UNSECURED 09/30 3.5             | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2633260.22    | 0.01%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 602153 FN 09/31 FIXED 6                           | CUSIP: 31388D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4571 | PA      | $4685.79       | 0.00%             | 2031-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 947543 FN 10/37 FIXED 6                           | CUSIP: 31413KEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52558 | PA      | $54080.04      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2015-ASTR                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2015 ASTR A 144A        | CUSIP: 05490RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4875006.00    | 0.01%             | 2037-07-14      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 1A1                  | CUSIP: 466247BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78944 | PA      | $72521.23      | 0.00%             | 2034-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A              | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5474820 | PA      | $5509213.55    | 0.01%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $40615.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       643000 | PA      | $619104.39     | 0.00%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 893373 FN 06/36 FIXED 6                           | CUSIP: 31410PQ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4473 | PA      | $4562.41       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2D                | CUSIP: 617526AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11119859 | PA      | $6566114.40    | 0.01%             | 2036-11-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-86                                                               | FANNIE MAE FNR 2007 86 FA                                   | CUSIP: 31396XNX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16897 | PA      | $16827.37      | 0.00%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 766366 FN 02/34 FIXED 5.5                         | CUSIP: 31404EMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4285 | PA      | $4308.59       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9011 FN 09/32 FIXED VAR                         | CUSIP: 3140XDAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99939 | PA      | $98617.19      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/34 5.5                      | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     27000000 | PA      | $27382754.16   | 0.06%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-219.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A2B                       | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5022781 | PA      | $1253127.11    | 0.00%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870962 FN 11/36 FIXED 6                           | CUSIP: 31409GTT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57562 | PA      | $59534.18      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-14                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 14 A8                      | CUSIP: 12544DAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242107 | PA      | $113962.57     | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2023-1A                                     | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2023 1A A 144A         | CUSIP: 89231WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9400000 | PA      | $9548704.24    | 0.02%             | 2036-06-25      | Fixed         | 4.93%                 | 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        |       902091 | PA      | $763187.01     | 0.00%             | 2046-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ6943 FN 11/26 FIXED 3.5                         | CUSIP: 3138AYWD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          531 | PA      | $529.07        | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/31 VAR                     | CUSIP: 975660AA9<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |       670000 | PA      | $696599.00     | 0.00%             | 2031-02-26      | Floating      | 13.73%                | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                                   | WEIR GROUP INC COMPANY GUAR 144A 05/30 5.35                 | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |     18500000 | PA      | $18757333.52   | 0.04%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0052 FR 10/53 FIXED 6.5                 | CUSIP: 3142GQBW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1233374 | PA      | $1277929.50    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2133 FN 07/33 FIXED 3                           | CUSIP: 3140Q9LP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       287465 | PA      | $279141.86     | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-40                                                               | FANNIE MAE FNR 1998 40 D                                    | CUSIP: 31359TJ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182679 | PA      | $184983.57     | 0.00%             | 2028-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9793 FN 03/32 FIXED VAR                         | CUSIP: 3140XD3B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27963 | PA      | $27771.10      | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | 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        |       185502 | PA      | $175986.70     | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | 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        |         8334 | PA      | $8330.15       | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C            | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28638789 | PA      | $13992872.09   | 0.03%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 4A1              | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2284333 | PA      | $1841716.79    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | 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        |       312805 | PA      | $311542.97     | 0.00%             | 2032-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)                           | CBRE SVCS INC DISC COML PAPER 06/26 ZCP                     | CUSIP: 12610CFC9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      7700000 | PA      | $7636071.52    | 0.02%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AJ2973 GN 09/44 FIXED 3.5                         | CUSIP: 36182XJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577622 | PA      | $543044.39     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | 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        |        39149 | PA      | $36446.35      | 0.00%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8448 FR 11/26 FIXED 3                   | CUSIP: 3132A9L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1194 | PA      | $1187.54       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190314 FN 07/31 FIXED VAR                         | CUSIP: 31368HK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18884 | PA      | $19382.92      | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260406                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $524262.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 46CB A10          | CUSIP: 12667G7D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6607896 | PA      | $4478930.76    | 0.01%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH7624 FN 06/26 FIXED 3.5                         | CUSIP: 3138A9PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3385 | PA      | $3374.13       | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | 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        |        96485 | PA      | $88396.80      | 0.00%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7988 G2 04/52 FIXED 3                        | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72745912 | PA      | $65036563.30   | 0.14%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1A            | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       253403 | PA      | $221099.67     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8198 G2 08/52 FIXED 3                        | CUSIP: 36179XDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237929 | PA      | $213126.39     | 0.00%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE5293 FN 09/39 FIXED 5                           | CUSIP: 31419F3B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3869 | PA      | $3851.82       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-101                                                       | FANNIE MAE FNR 2013 101 SB                                  | CUSIP: 3136AGZY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12232911 | PA      | $11661532.86   | 0.02%             | 2043-10-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-49740.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A             | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13711 | PA      | $13719.44      | 0.00%             | 2032-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1               | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350471 | PA      | $349192.96     | 0.00%             | 2037-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A1           | CUSIP: 02146TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       144163 | PA      | $72267.14      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16           | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1389067 | PA      | $511081.42     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-2                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 2 2A2              | CUSIP: 161546EW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19399 | PA      | $19359.67      | 0.00%             | 2033-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A R                             | CUSIP: ACI2NGCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     19957000 | PA      | $21134817.64   | 0.04%             | 2058-06-28      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3738 G2 06/46 FIXED 4.5                      | CUSIP: 36179SEK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4570 | PA      | $4520.04       | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL1 SA 144A       | CUSIP: 61781WAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       183499 | PA      | $170997.10     | 0.00%             | 2065-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 12/30 6.125           | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     14700000 | PA      | $15125947.20   | 0.03%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962073 FN 03/38 FIXED 5.5                         | CUSIP: 31414CJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1876 | PA      | $1929.23       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 2A2           | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       564598 | PA      | $502073.22     | 0.00%             | 2033-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8111 FN 07/46 FIXED 4                           | CUSIP: 3140F4AM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292018 | PA      | $280014.64     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $55629.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A          | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18532883 | PA      | $18567517.07   | 0.04%             | 2055-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                      | PALM RE LTD UNSECURED 144A 06/32 VAR                        | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |       700000 | PA      | $721630.00     | 0.00%             | 2032-06-07      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $246.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1                 | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       690086 | PA      | $633519.41     | 0.00%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q06448 FG 02/42 FIXED 4                   | CUSIP: 3132GRP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101152 | PA      | $98018.53      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                          | MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.655          | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |     48220000 | PA      | $52085218.76   | 0.11%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                                 | FREDDIE MAC FHR 2411 F                                      | CUSIP: 31339DJJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55833 | PA      | $55858.57      | 0.00%             | 2032-02-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2832 FN 11/28 FIXED 3.5                         | CUSIP: 3138XEEE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          975 | PA      | $964.22        | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3736 FN 07/29 FIXED 3.5                         | CUSIP: 31418DEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26054 | PA      | $25756.31      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781289 GN 04/31 FIXED 8.5                         | CUSIP: 36225BNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1726 | PA      | $1817.66       | 0.00%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-42                                                               | FANNIE MAE FNR 1997 42 ZC                                   | CUSIP: 31359PX84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            1 | PA      | $1.45          | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A C 144A          | CUSIP: 210927AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8110635 | PA      | $8375631.85    | 0.02%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 992144 FN 10/38 FIXED 6                           | CUSIP: 31415XER8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          902 | PA      | $931.65        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 394759 GN 07/30 FIXED 8.5                         | CUSIP: 36205MQL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          605 | PA      | $612.96        | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9307 FR 06/53 FIXED 5.5                 | CUSIP: 3133KRKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41070 | PA      | $41499.03      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | 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        |        27494 | PA      | $25461.58      | 0.00%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 907385 FN 01/37 FIXED 6                           | CUSIP: 31411GCW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10190 | PA      | $10392.18      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM              | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3422 | PA      | $3419.80       | 0.00%             | 2065-04-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889955 FN 10/38 FIXED VAR                         | CUSIP: 31410KWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64329 | PA      | $66238.05      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/30 VAR                         | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     16500000 | PA      | $16957616.78   | 0.04%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                              | ALEXANDRIA REAL ESTATE E COMPANY GUAR 01/28 3.95            | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |       600000 | PA      | $593993.44     | 0.00%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3666                                                                 | FREDDIE MAC FHR 3666 FC                                     | CUSIP: 31398QGG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6272 | PA      | $6283.14       | 0.00%             | 2040-05-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 LIH A 144A         | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17500000 | PA      | $17481264.50   | 0.04%             | 2036-11-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4029 FN 03/46 FIXED 4                           | CUSIP: 3140EYPP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12590 | PA      | $12119.38      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORPORATION LLC                                       | EQUINIX EU 2 FINANCING C COMPANY GUAR 11/30 4.6             | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |      8000000 | PA      | $7928938.24    | 0.02%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5932 FN 01/54 FIXED 6.5                         | CUSIP: 3140A6SW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1367877 | PA      | $1424958.76    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-49800.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260417                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-129515.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $1627.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7041 FR 03/52 FIXED 3                   | CUSIP: 3133KNZE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72373038 | PA      | $63767186.08   | 0.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756236 FN 01/34 FIXED 6                           | CUSIP: 31403SEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          642 | PA      | $656.84        | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3             | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2306119 | PA      | $1326427.78    | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1968 FN 03/46 FIXED 4                           | CUSIP: 3140EWFJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28011 | PA      | $27244.73      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4655 FN 07/52 FIXED 4                           | CUSIP: 31418EE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4255577 | PA      | $4023790.19    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 12/26 6.05                  | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2400000 | PA      | $2422532.02    | 0.01%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0181 FN 03/43 FIXED 3                           | CUSIP: 3138WMFX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13048 | PA      | $11947.29      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3298 FN 05/46 FIXED 4                           | CUSIP: 3140EXUY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78806 | PA      | $75503.41      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/32 5.65       | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     12200000 | PA      | $12394794.35   | 0.03%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B           | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4854743 | PA      | $1294878.49    | 0.00%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 AIO2 144A      | CUSIP: 17326UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14698245 | PA      | $207877.27     | 0.00%             | 2058-02-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                    | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     45872517 | PA      | $446752447.38  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/29 6.1               | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     25250000 | PA      | $26136131.33   | 0.06%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XII BV 12A                                                     | ARES EURO CLO ARESE 12A AR 144A                             | CUSIP: ACI20RGN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     10630343 | PA      | $12287083.87   | 0.03%             | 2032-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CL6342 G2 09/46 FIXED 3                        | CUSIP: 3617YEBK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1042516 | PA      | $927987.54     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 4.542           | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      9200000 | PA      | $9188113.14    | 0.02%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 04/28 VAR                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     18900000 | PA      | $19146709.45   | 0.04%             | 2028-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 C49 A5             | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33711516 | PA      | $33281451.45   | 0.07%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 04/31 5.42            | CUSIP: 345397J61<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      8700000 | PA      | $8546438.91    | 0.02%             | 2031-04-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 25 A11                     | CUSIP: 126694HQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       213755 | PA      | $95212.97      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $16695.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A              | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1233194 | PA      | $1231530.21    | 0.00%             | 2063-03-25      | Variable      | 6.11%                 | 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        |       169483 | PA      | $167801.48     | 0.00%             | 2043-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A4             | CUSIP: 43709XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2583277 | PA      | $1824327.82    | 0.00%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2004-17                                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 17 MZ               | CUSIP: 38374FYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       287856 | PA      | $287153.03     | 0.00%             | 2034-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-319364.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4544 FN 09/53 FIXED 6                           | CUSIP: 3140NMBN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          781 | PA      | $801.40        | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A           | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4633190 | PA      | $4568172.34    | 0.01%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1             | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6427 | PA      | $6504.15       | 0.00%             | 2033-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A               | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8400000 | PA      | $8408691.48    | 0.02%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 6 1A7              | CUSIP: 05946XM75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       619748 | PA      | $512278.75     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                                                 | FREDDIE MAC FHR 2061 ZA                                     | CUSIP: 3133TEJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13345 | PA      | $13322.36      | 0.00%             | 2028-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1441 FN 09/26 FIXED 3.5                         | CUSIP: 3138ASS78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2260 | PA      | $2252.70       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT OPPORTUNITIES PARTNERS JV LLC                                             | CREDIT OPPORTUNITIES PARTNERS 2025A SR UNSECD NT TRANCHE A  | CUSIP: 955SEWII1<br>LEI: 5493003CSKFS2RY0JR63 | Long             | DBT              | CORP              | US        |      9900000 | PA      | $9818035.03    | 0.02%             | 2028-03-20      | Fixed         | 6.52%                 | Yes           |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-110                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 110 DF              | CUSIP: 38379MTG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1864190 | PA      | $1818614.47    | 0.00%             | 2045-08-20      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-65498.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 671331 GN 07/37 FIXED 5                           | CUSIP: 36295HY46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1931 | PA      | $1940.93       | 0.00%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                         | LEHMAN XS TRUST LXS 2006 16N A4A                            | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114510 | PA      | $103499.95     | 0.00%             | 2046-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-52298.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA 144A 10/29 VAR                           | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     16750000 | PA      | $17440873.68   | 0.04%             | 2029-10-03      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL2                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL2 SA 144A       | CUSIP: 617957AR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       180898 | PA      | $166033.82     | 0.00%             | 2065-09-25      | Variable      | 0.00%                 | 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        |          650 | PA      | $648.35        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6796 FN 03/46 FIXED 4                           | CUSIP: 3138WGRS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29438 | PA      | $28318.98      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 670219 GN 03/38 FIXED 5                           | CUSIP: 36295GSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6130 | PA      | $6192.08       | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | 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        |         6384 | PA      | $6580.25       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5005 FN 03/45 FIXED 4                           | CUSIP: 3138YJR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       178400 | PA      | $169783.69     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3613 FN 05/35 FIXED VAR                         | CUSIP: 3140X7AP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267570 | PA      | $261773.47     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | HOST HOTELS + RESORTS LP SR UNSECURED 12/29 3.375           | CUSIP: 44107TAY2<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |      7600000 | PA      | $7225011.44    | 0.02%             | 2029-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1              | CUSIP: 058928AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73528 | PA      | $71553.19      | 0.00%             | 2036-03-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW2284 FN 08/52 FIXED 4.5                         | CUSIP: 3140MTRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3143140 | PA      | $3044358.86    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A                  | CUSIP: 23332UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26489 | PA      | $24447.76      | 0.00%             | 2044-09-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3             | CUSIP: 06050HKR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8054 | PA      | $7911.42       | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844229 FN 11/35 FIXED 6                           | CUSIP: 31407X4N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21511 | PA      | $21937.24      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 782487 GN 12/38 FIXED 5                           | CUSIP: 36241KXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       177550 | PA      | $181348.99     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95            | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      3150000 | PA      | $3149928.24    | 0.01%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080453 G2 09/30 FLOATING VAR                   | CUSIP: 36225CQF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1084 | PA      | $1086.14       | 0.00%             | 2030-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8087 FN 09/52 FIXED 4                           | CUSIP: 3140N06Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80888 | PA      | $76663.57      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AC6211 FN 11/39 FIXED 5.5                         | CUSIP: 31417S3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2195 | PA      | $2247.70       | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL P50049 FG 08/29 FIXED 6.5                 | CUSIP: 31288LBS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1291 | PA      | $1306.65       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2893 FN 02/52 FIXED 3                           | CUSIP: 3140QNGB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155592821 | PA      | $136879185.03  | 0.29%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8             | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     57900000 | PA      | $58566680.87   | 0.12%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT JUN26 XMOD 20260619                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         3501 | NC      | $-5166305.05   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-67169.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5980 FN 05/40 FIXED 5                           | CUSIP: 31418TUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21663 | PA      | $21889.92      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-28                                                               | FANNIE MAE FNR 2002 28 PK                                   | CUSIP: 31392CA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231040 | PA      | $239215.28     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW9034 FN 08/29 FIXED 3.5                         | CUSIP: 3138XZBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120902 | PA      | $119486.18     | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                                            | GRAY OAK PIPELINE LLC SR UNSECURED 144A 10/27 3.45          | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23200000 | PA      | $22772677.58   | 0.05%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080968 G2 07/34 FLOATING VAR                   | CUSIP: 36225DCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10813 | PA      | $10974.01      | 0.00%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                                   | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                      | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1848727 | PA      | $1848308.60    | 0.00%             | 2035-06-25      | Floating      | 4.86%                 | 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        |      1245445 | PA      | $427399.45     | 0.00%             | 2035-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 486846 GN 01/29 FIXED 7                           | CUSIP: 36210AZK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           81 | PA      | $82.49         | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A13                      | CUSIP: 12544XAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       344213 | PA      | $151912.32     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3486 FN 10/28 FIXED 3.5                         | CUSIP: 31418C2U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4273 | PA      | $4243.20       | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                             | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A        | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10923000 | PA      | $10634462.40   | 0.02%             | 2037-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AD0815 GN 03/43 FIXED 2.5                         | CUSIP: 36180B3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2453 | PA      | $2129.98       | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-8CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 8CB M2            | CUSIP: 12667FGM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2653682 | PA      | $3069387.42    | 0.01%             | 2034-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 544861 FN 12/36 FLOATING VAR                      | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5575 | PA      | $5646.02       | 0.00%             | 2036-12-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A D 144A          | CUSIP: 21055PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4734641 | PA      | $4902673.47    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV3                                         | ONSLOW BAY FINANCIAL LLC OBX 2022 INV3 A1 144A              | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14654831 | PA      | $12755387.40   | 0.03%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU0336 FN 06/28 FIXED 3                           | CUSIP: 3138WZLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26402 | PA      | $26052.08      | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841782 FN 09/35 FLOATING VAR                      | CUSIP: 31407VFX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84742 | PA      | $87098.85      | 0.00%             | 2035-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-MLN1                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 MLN1 A2C           | CUSIP: 59024UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19439081 | PA      | $18479832.47   | 0.04%             | 2037-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4414552.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                                         | F+G ANNUITIES + LIFE INC COMPANY GUAR 10/34 6.25            | CUSIP: 30190AAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3418850.77    | 0.01%             | 2034-10-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 783355 FN 02/37 FIXED 6                           | CUSIP: 31405AH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17597 | PA      | $17944.24      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2D                   | CUSIP: 66988WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4055761 | PA      | $1858734.38    | 0.00%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK1500 FN 03/27 FIXED 3.5                         | CUSIP: 3138E5U22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42503 | PA      | $42269.15      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8711 FR 08/33 FIXED 3.5                 | CUSIP: 3132A9VC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       300966 | PA      | $295811.09     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A D                       | CUSIP: ACI2Q4LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      4118000 | PA      | $4775330.02    | 0.01%             | 2067-08-22      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 961099 FN 04/28 FIXED 5                           | CUSIP: 31414BGG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9279 | PA      | $9311.54       | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D            | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4495666 | PA      | $2457424.16    | 0.01%             | 2037-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6957 FR 10/28 FIXED 3.5                 | CUSIP: 3132A7WS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21422 | PA      | $21269.35      | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2190 FN 06/52 FIXED VAR                         | CUSIP: 3140XHNG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       436240 | PA      | $417035.79     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  JUN26 IFLL 20260626                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         7093 | NC      | $-40120251.85  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1318.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 RP2 B1 144A        | CUSIP: 17326UAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1170000 | PA      | $999607.52     | 0.00%             | 2058-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 05/41 0.00000                                        | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25400000 | PA      | $12082695.93   | 0.03%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | DALLAS FORT WORTH TX INTERNATI DALAPT 11/30 FIXED 2.096     | CUSIP: 2350366S4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1750000 | PA      | $1591475.73    | 0.00%             | 2030-11-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0958 FN 10/26 FIXED VAR                         | CUSIP: 3138EHB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17179 | PA      | $17127.44      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60799 FG 11/46 FIXED 3.5                 | CUSIP: 31335A3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3821791 | PA      | $3591264.50    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800071 FN 12/34 FLOATING VAR                      | CUSIP: 31405U2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6602 | PA      | $6699.13       | 0.00%             | 2034-12-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1             | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20754 | PA      | $19405.31      | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-6183.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-5164.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A            | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4333530 | PA      | $4219850.63    | 0.01%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9809 FN 07/43 FIXED 3                           | CUSIP: 31417G3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       365190 | PA      | $334211.73     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      9100000 | PA      | $9409400.00    | 0.02%             | 2027-01-07      | Floating      | 16.79%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948843 FN 08/37 FIXED 6                           | CUSIP: 31413LS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3362 | PA      | $3528.47       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004837 G2 10/40 FIXED 6                        | CUSIP: 36202FLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23682 | PA      | $24823.74      | 0.00%             | 2040-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/30 2.25              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     42290000 | PA      | $38553068.26   | 0.08%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-13991.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN6440 FR 05/34 FIXED 3.5                 | CUSIP: 3131YDEM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       829171 | PA      | $810431.67     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260507                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-126258.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6483 FR 10/26 FIXED 3.5                 | CUSIP: 3132A7FY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1606 | PA      | $1601.79       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA                                                           | JP MORGAN CHASE BANK NA SR UNSECURED 12/26 VAR              | CUSIP: 48125LRV6<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |     17200000 | PA      | $17274629.25   | 0.04%             | 2026-12-08      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 1A3           | CUSIP: 74924VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1180511 | PA      | $1113220.19    | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4073 FN 12/44 FIXED 4                           | CUSIP: 3138WDQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18973 | PA      | $18282.03      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | 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        |        20284 | PA      | $20427.14      | 0.00%             | 2030-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1347580.00    | 0.00%             | 2032-06-07      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9365 FN 06/46 FIXED 4                           | CUSIP: 3140F5MP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8297 | PA      | $7942.49       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GALAXY XXII CLO LTD 2016-22A                                                     | GALAXY CLO LTD GALXY 2016 22A AR4 144A                      | CUSIP: 36320TBM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6300000 | PA      | $6297521.90    | 0.01%             | 2034-04-16      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 02/28 VAR          | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |       400000 | PA      | $407141.49     | 0.00%             | 2028-02-08      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5943 FN 10/45 FIXED 4                           | CUSIP: 3138WFS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1410134 | PA      | $1356542.39    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                                     | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A        | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4154692 | PA      | $2760122.05    | 0.01%             | 2037-06-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 820401 FN 05/35 FLOATING VAR                      | CUSIP: 31406UNS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17962 | PA      | $18461.37      | 0.00%             | 2035-05-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                                   | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A        | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       953142 | PA      | $937601.47     | 0.00%             | 2034-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8957 FN 07/29 FIXED 3.5                         | CUSIP: 3138XY5T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26389 | PA      | $26153.36      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1645 FN 10/44 FIXED 4                           | CUSIP: 3138Y2ZK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76938 | PA      | $73902.12      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC1 A2D            | CUSIP: 172983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6291552 | PA      | $6244557.64    | 0.01%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A              | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        38517 | PA      | $38564.44      | 0.00%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7247 FN 05/46 FIXED 4                           | CUSIP: 3138WHBR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       336580 | PA      | $323580.76     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3340 FN 04/33 FIXED 3.5                         | CUSIP: 31418CWA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       310283 | PA      | $305076.27     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 A4             | CUSIP: 05492TBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8250000 | PA      | $7598127.08    | 0.02%             | 2053-02-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL H09174 FG 03/38 FIXED 5.5                 | CUSIP: 3128UNFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4144 | PA      | $4185.43       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 815195 FN 05/35 FLOATING VAR                      | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2553 | PA      | $2595.72       | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895110 FN 08/36 FIXED 6                           | CUSIP: 31410RN39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7030 | PA      | $7293.27       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A Z 144A                          | CUSIP: ACI2P7X44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11905000 | PA      | $12673585.25   | 0.03%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257595 FN 03/29 FIXED 5                           | CUSIP: 31371PC81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2844 | PA      | $2856.67       | 0.00%             | 2029-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                              | NEXTERA ENERGY CAPITAL COMPANY GUAR 03/31 4.4               | CUSIP: 65339KDY3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      7000000 | PA      | $6940455.06    | 0.01%             | 2031-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO5339 FN 11/34 FIXED 3.5                         | CUSIP: 3140K04Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       354373 | PA      | $347990.15     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1                  | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61397 | PA      | $56931.54      | 0.00%             | 2028-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5296 FN 03/54 FIXED 5.5                         | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20493961 | PA      | $20623679.15   | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 357842 FN 07/35 FIXED 6                           | CUSIP: 31376KP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3015 | PA      | $3146.82       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1            | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12054 | PA      | $9886.04       | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5294 FN 03/54 FIXED 5                           | CUSIP: 31418E3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       593494 | PA      | $586613.43     | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970672 FN 11/38 FIXED 5.5                         | CUSIP: 31414M2D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18749 | PA      | $19295.93      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0317 FN 08/43 FIXED 4                           | CUSIP: 3138W9K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3192 | PA      | $3081.34       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CTRLP 2024-1                                                                     | SERIES 2024 1 CLN 2031 SERIES 2024 1 CLN 2031               | CUSIP: 15487CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43000000 | PA      | $43219661.20   | 0.09%             | 2031-10-25      | Floating      | 7.49%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8324 FR 05/53 FIXED 5.5                 | CUSIP: 3132DWG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28440358 | PA      | $28692066.04   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB3 2A                    | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93611 | PA      | $89529.80      | 0.00%             | 2034-06-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                                       | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A                 | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22700000 | PA      | $22705430.52   | 0.05%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-R1                                      | GS MORTGAGE BACKED SECURITIES GSMBS 2025 R1 PT 144A         | CUSIP: 36273QAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89770550 | PA      | $88294048.44   | 0.19%             | 2065-03-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                           | PROJECT FENNO EUR REVOLVER                                  | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      7786657 | PA      | $9054109.07    | 0.02%             | 2028-07-10      | Floating      | 0.99%                 | Yes           |                  3 | 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        |          535 | PA      | $535.97        | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008991 G2 10/26 FLOATING VAR                   | CUSIP: 36202K7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1038 | PA      | $1038.19       | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AK9821 GN 02/45 FIXED 3.5                         | CUSIP: 36183T4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       245229 | PA      | $231310.46     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A1                  | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       312198 | PA      | $307291.58     | 0.00%             | 2035-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $196292.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 732218 FN 06/43 FLOATING VAR                      | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       570994 | PA      | $576868.98     | 0.00%             | 2043-06-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4156 FN 09/52 FIXED VAR                         | CUSIP: 3140XKTN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26281030 | PA      | $24927684.99   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/43 3.625                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    332650000 | PA      | $284194850.44  | 0.60%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2006-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2006 AR1 2A1           | CUSIP: 36185MDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       827744 | PA      | $815397.19     | 0.00%             | 2036-04-19      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A2             | CUSIP: 17307GL22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       336427 | PA      | $340996.55     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC SR UNSECURED 02/29 4.2                            | CUSIP: 46656PAC8<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |       900000 | PA      | $889289.76     | 0.00%             | 2029-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                            | OPEN TEXT CORP SR SECURED 144A 12/27 6.9                    | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |      8600000 | PA      | $8832664.40    | 0.02%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 3A3           | CUSIP: 93363EAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3329766 | PA      | $3059195.83    | 0.01%             | 2046-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-127961.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 082860 G2 06/41 FLOATING VAR                   | CUSIP: 36225FFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1534 | PA      | $1543.45       | 0.00%             | 2041-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-2                                                   | LUMINENT MORTGAGE TRUST LUM 2006 2 A1A                      | CUSIP: 550279BA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34611 | PA      | $25229.58      | 0.00%             | 2046-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7048 FR 02/53 FIXED 5.5                 | CUSIP: 3133BUZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145639 | PA      | $146887.68     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC COMPANY GUAR 06/29 4.125                            | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4438803.29    | 0.01%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $44679.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LN TR 2004-4                                                 | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 4 M1               | CUSIP: 004375CG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246327 | PA      | $241898.01     | 0.00%             | 2035-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5                | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        47758 | PA      | $48415.12      | 0.00%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1323587.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05             | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     15500000 | PA      | $13581875.81   | 0.03%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3986 FN 04/35 FIXED 3.5                         | CUSIP: 31418DNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1538042 | PA      | $1489528.83    | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735348 FN 02/35 FLOATING VAR                      | CUSIP: 31402Q5H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       369933 | PA      | $377752.78     | 0.00%             | 2035-02-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260504                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-7897.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 992314 FN 10/38 FIXED 6                           | CUSIP: 31415XK34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          444 | PA      | $459.61        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 09/27 VAR                 | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     48200000 | PA      | $48538682.60   | 0.10%             | 2027-09-15      | Floating      | 5.93%                 | 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        |     13675991 | PA      | $12805668.89   | 0.03%             | 2037-03-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SENIOR ISSU 10/27 9.75                   | CUSIP: ACI3915T9<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      1122203 | PA      | $1635450.28    | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745174 FN 12/44 FLOATING VAR                      | CUSIP: 31403C2F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       380512 | PA      | $385144.18     | 0.00%             | 2044-12-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $33204.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK0498 FN 01/27 FIXED 3.5                         | CUSIP: 3138E4RU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2894 | PA      | $2880.03       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2018-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2018 BA A2A 144A           | CUSIP: 63940QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        37555 | PA      | $37542.30      | 0.00%             | 2059-12-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1742 FR 09/52 FIXED 4.5                 | CUSIP: 3133BN5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94478 | PA      | $91479.30      | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A2 144A                         | CUSIP: 32115BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2167142 | PA      | $1095290.39    | 0.00%             | 2037-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 03/33 5.375              | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     16000000 | PA      | $15680000.00   | 0.03%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 871976 FN 04/36 FIXED 6                           | CUSIP: 31409HXD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          106 | PA      | $107.64        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 2A5A             | CUSIP: 17307GC22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4851891 | PA      | $4641164.28    | 0.01%             | 2035-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-4                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 4 5M1              | CUSIP: 007036DW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2050196 | PA      | $1814393.84    | 0.00%             | 2035-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3             | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8594365 | PA      | $4612348.01    | 0.01%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2858 FN 01/39 FIXED 5.5                         | CUSIP: 31416YE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3072 | PA      | $3149.48       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1418871.44    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 970338 FN 02/38 FIXED 6                           | CUSIP: 31414MPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48916 | PA      | $50748.10      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A2             | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1491 | PA      | $1427.36       | 0.00%             | 2034-02-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 947087 FN 10/37 FIXED 6                           | CUSIP: 31413JUL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5075 | PA      | $5326.92       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                                  | AES CORP DISC COML PAPER                                    | CUSIP: 00809KDH8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2794503.60    | 0.01%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 991576 FN 11/38 FIXED 6                           | CUSIP: 31415WQ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21325 | PA      | $22009.11      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     20160000 | PA      | $19680685.32   | 0.04%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7306 FN 06/43 FIXED 3                           | CUSIP: 3138WVDL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214815 | PA      | $196591.49     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | GLOBAL PMTS INC                                             | CUSIP: 37961DD23<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2999306.70    | 0.01%             | 2026-04-02      | None          | 0.00%                 | 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        |      6956062 | PA      | $6852477.25    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831808 FN 09/36 FIXED 6                           | CUSIP: 31407JDM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101333 | PA      | $106360.24     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | 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        |          194 | PA      | $199.25        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 530186 GN 11/30 FIXED 9                           | CUSIP: 36212C6X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           88 | PA      | $91.29         | 0.00%             | 2030-11-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BO1489 GN 06/49 FIXED 4                           | CUSIP: 3617KGUN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1853010 | PA      | $1748374.95    | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0031 FR 10/27 FIXED 3.5                 | CUSIP: 3132CWA87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2904 | PA      | $2891.15       | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/29 VAR                                      | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     16700000 | PA      | $17472513.11   | 0.04%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 03/28 4.253                  | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      4200000 | PA      | $4185511.51    | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244             | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |       800000 | PA      | $795525.71     | 0.00%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 781252 GN 12/30 FIXED 8                           | CUSIP: 36225BL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          157 | PA      | $163.64        | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3115                                                                 | FREDDIE MAC FHR 3115 LZ                                     | CUSIP: 31396HL64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       236837 | PA      | $239538.20     | 0.00%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 XA1              | CUSIP: 059515BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       626312 | PA      | $606048.35     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 11/27 VAR                                  | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     26300000 | PA      | $25944195.45   | 0.06%             | 2027-11-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 GF              | CUSIP: 38382Y3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73553863 | PA      | $74159674.91   | 0.16%             | 2073-03-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3253 FN 07/26 FIXED 3.5                         | CUSIP: 31416YTK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          392 | PA      | $390.93        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 761825 FN 08/33 FIXED 5                           | CUSIP: 31403YLE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4028 | PA      | $4010.33       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 3A1             | CUSIP: 05949CCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577962 | PA      | $490922.33     | 0.00%             | 2035-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906236 FN 01/37 FLOATING VAR                      | CUSIP: 31411EY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2157 | PA      | $2216.90       | 0.00%             | 2037-01-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5753 FN 05/33 FIXED 3                           | CUSIP: 3140H7MB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200708 | PA      | $194114.18     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                          | MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75           | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |      3200000 | PA      | $3222604.00    | 0.01%             | 2028-03-31      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735228 FN 02/35 FIXED VAR                         | CUSIP: 31402QYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4665 | PA      | $4770.37       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT3164 FN 04/43 FIXED 3                           | CUSIP: 3138WQQS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7711 | PA      | $7031.09       | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB              | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58957 | PA      | $58993.96      | 0.00%             | 2065-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260521                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-9751.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2165                                                                 | FREDDIE MAC FHR 2165 PE                                     | CUSIP: 3133TLEK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          820 | PA      | $832.82        | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H06 FD              | CUSIP: 38376RSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       253763 | PA      | $255218.09     | 0.00%             | 2065-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4                | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      1051000 | PA      | $286949.37     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4990 FN 06/53 FIXED 5                           | CUSIP: 3140NMRL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       639029 | PA      | $631070.67     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2               | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |      9100000 | PA      | $5094601.14    | 0.01%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 627292 FN 04/32 FIXED 6                           | CUSIP: 31389J2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4559 | PA      | $4648.73       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $9735.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0682 FN 04/43 FIXED 3                           | CUSIP: 3138WMXL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41213 | PA      | $37748.89      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR                    | CUSIP: 404280ET2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      5000000 | PA      | $5014645.15    | 0.01%             | 2029-03-03      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 803597 FN 10/34 FLOATING VAR                      | CUSIP: 31405YX22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119015 | PA      | $121102.57     | 0.00%             | 2034-10-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ4427 G2 06/47 FIXED 3                        | CUSIP: 3618A64L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1214865 | PA      | $1087412.04    | 0.00%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080061 G2 04/27 FLOATING VAR                   | CUSIP: 36225CB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12963 | PA      | $12967.34      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       400000 | PA      | $356963.00     | 0.00%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261009                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $951179.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD2                                                     | ACE SECURITIES CORP. ACE 2006 SD2 M1                        | CUSIP: 00442MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2497056 | PA      | $1927914.12    | 0.00%             | 2045-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 06/51 3.65                 | CUSIP: 842400HF3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     15000000 | PA      | $10293221.70   | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7610 FN 05/46 FIXED 4                           | CUSIP: 3140F3N46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       738202 | PA      | $706127.16     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3533 FN 01/46 FIXED 4                           | CUSIP: 3140E74T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1049228 | PA      | $1008650.43    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918           | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     13500000 | PA      | $13676211.59   | 0.03%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AC8717 GN 03/43 FIXED 3.5                         | CUSIP: 36179JVJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3649 | PA      | $3430.27       | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                     | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59172 | PA      | $56122.97      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 03/27 3.75                   | CUSIP: BPSNB4II5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    447000000 | PA      | $588324335.06  | 1.25%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 654789 FN 08/32 FIXED 6                           | CUSIP: 31390SNE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          140 | PA      | $143.07        | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-57                                                               | FANNIE MAE FNR 1998 57 DT                                   | CUSIP: 31359UG25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22820 | PA      | $23065.71      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | STRIPS 11/41 0.00000                                        | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27800000 | PA      | $12833925.88   | 0.03%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM1 PT 144A       | CUSIP: 36271LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48081102 | PA      | $48898821.61   | 0.10%             | 2065-04-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 PT 144A        | CUSIP: 17326JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25740331 | PA      | $21807620.43   | 0.05%             | 2064-09-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3704 FN 07/34 FIXED VAR                         | CUSIP: 3140X7DJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121791 | PA      | $120793.69     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5033 FR 02/40 FIXED 3                   | CUSIP: 3133KYSW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1618464 | PA      | $1509736.85    | 0.00%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 842283 FN 09/35 FIXED 6                           | CUSIP: 31407VXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20735 | PA      | $21549.27      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH3888 G2 05/48 FIXED 4                        | CUSIP: 3617H1J99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1042796 | PA      | $988817.51     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-64644.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2005-RP1                                | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2005 RP1 1F 144A       | CUSIP: 74927UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10820537 | PA      | $9945988.81    | 0.02%             | 2034-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885283 FN 06/36 FIXED 6                           | CUSIP: 31410CRC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17910 | PA      | $18700.98      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080072 G2 05/27 FLOATING VAR                   | CUSIP: 36225CCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1935 | PA      | $1937.85       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745246 FN 02/34 FIXED VAR                         | CUSIP: 31403C5F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11502 | PA      | $11896.46      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2657 FR 09/26 FIXED 3                   | CUSIP: 31329K5S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10410 | PA      | $10363.81      | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP6229 GN 11/49 FIXED 3                           | CUSIP: 3617LC4N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2053873 | PA      | $1835983.21    | 0.00%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 8F 3A4                     | CUSIP: 362341WA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7396914 | PA      | $2259224.66    | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5211 FN 06/45 FIXED 4                           | CUSIP: 3138WEYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102523 | PA      | $98733.02      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5010 FN 05/53 FIXED 5.5                         | CUSIP: 31418ER85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40629682 | PA      | $40989270.76   | 0.09%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BN25                                                                   | BANK BANK 2020 BN25 A5                                      | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76896851 | PA      | $71185991.02   | 0.15%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 8F 4A1                     | CUSIP: 362341WE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       595988 | PA      | $192593.84     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3185                                                                 | FREDDIE MAC FHR 3185 GT                                     | CUSIP: 31396UBX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          381 | PA      | $379.56        | 0.00%             | 2026-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A        | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9956314 | PA      | $9861269.52    | 0.02%             | 2037-04-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922504 FN 04/37 FIXED 6                           | CUSIP: 31412D3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45128 | PA      | $46578.52      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1345 FR 11/33 FIXED 3.5                 | CUSIP: 3132ADP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       795625 | PA      | $781833.13     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 06/27 5.75                | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      4700000 | PA      | $4736664.32    | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 4A1             | CUSIP: 007036TK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       841098 | PA      | $596640.66     | 0.00%             | 2036-01-25      | Floating      | 5.69%                 | 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        |       512554 | PA      | $242566.35     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                                | CAPITAL ONE FINANCIAL CO SR UNSECURED 05/28 VAR             | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     18700000 | PA      | $18753966.33   | 0.04%             | 2028-05-10      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $39240416.24   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-58                                                               | FANNIE MAE FNR 1998 58 ZB                                   | CUSIP: 31359UYS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          999 | PA      | $1010.93       | 0.00%             | 2028-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                   | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1              | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       394636 | PA      | $340589.98     | 0.00%             | 2046-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 756143 FN 07/30 FIXED 8                           | CUSIP: 31403SBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5598 | PA      | $5677.34       | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 06/28 8.125          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $10232160.00   | 0.02%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1                 | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8282499 | PA      | $3090407.29    | 0.01%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5942 FN 10/45 FIXED 4                           | CUSIP: 3138WFS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3494659 | PA      | $3362568.40    | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/48 3                                     | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    116800000 | PA      | $86162812.21   | 0.18%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $112894.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D                | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1293784 | PA      | $674996.15     | 0.00%             | 2036-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 644473 FN 05/32 FIXED 6                           | CUSIP: 31390E6J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1099 | PA      | $1120.95       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1999-1                                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A               | CUSIP: 86358HGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6482 | PA      | $6355.23       | 0.00%             | 2029-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $173161.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                       | SANTANDER HOLDINGS USA SR UNSECURED 03/29 VAR               | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $5476532.42    | 0.01%             | 2029-03-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-104                                                              | FANNIE MAE FNR 2006 104 GF                                  | CUSIP: 31396LLX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72002 | PA      | $71421.61      | 0.00%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 638741 GN 04/37 FIXED 6                           | CUSIP: 36291US63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108027 | PA      | $113624.95     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895136 FN 07/36 FIXED 6                           | CUSIP: 31410RPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1104 | PA      | $1125.74       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-8058.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $182027.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4279 FN 09/43 FIXED 3                           | CUSIP: 3138X3XH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23567 | PA      | $21575.66      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                                          | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1               | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2033527 | PA      | $1938723.00    | 0.00%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002675 G2 11/28 FIXED 7                        | CUSIP: 36202C6L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5471 | PA      | $5634.49       | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2435 FN 05/28 FIXED 3                           | CUSIP: 3138WPV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2723 | PA      | $2684.89       | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/31 VAR              | CUSIP: 38141GC69<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     33300000 | PA      | $33292468.54   | 0.07%             | 2031-01-28      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| THE KOREA DEVELOPMENT BANK                                                       | KOREA DEVELOPMENT BANK SR UNSECURED 10/26 VAR               | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |      7450000 | PA      | $7445393.67    | 0.02%             | 2026-10-23      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                                   | LENDMARK FUNDING TRUST LFT 2021 1A A 144A                   | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       750000 | PA      | $734672.78     | 0.00%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-1                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 1 PT 144A          | CUSIP: 36274KDJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54600000 | PA      | $54254665.37   | 0.12%             | 2055-11-25      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3180 FN 11/32 FIXED 3.5                         | CUSIP: 31418CRA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200867 | PA      | $197763.24     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-RPL1                                    | GSMBS 2026 RPL1 PT 144A                                     | CUSIP: 990ACSUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53800000 | PA      | $50050633.88   | 0.11%             | 2075-10-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7882 FN 09/46 FIXED 3                           | CUSIP: 3138WHXL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22330 | PA      | $20182.44      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890361 FN 07/41 FIXED VAR                         | CUSIP: 31410LFA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81720 | PA      | $84057.55      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 04/32 VAR                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      5800000 | PA      | $5261165.91    | 0.01%             | 2032-04-19      | Floating      | 2.87%                 | 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        |       185435 | PA      | $134628.98     | 0.00%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                               | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 VAR              | CUSIP: 05565ECX1<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |     33500000 | PA      | $33605924.66   | 0.07%             | 2028-03-21      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC SR UNSECURED 02/33 4.75                           | CUSIP: 46656PAD6<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4870715.15    | 0.01%             | 2033-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-641382.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 07/29 VAR                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     48317000 | PA      | $49432302.28   | 0.11%             | 2029-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1            | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       186016 | PA      | $203081.18     | 0.00%             | 2033-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3           | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9688064 | PA      | $2572005.72    | 0.01%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $583638.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0107 FN 08/28 FIXED 3                           | CUSIP: 3138W9DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20504 | PA      | $20186.64      | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | 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        |         5415 | PA      | $5548.71       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL CQ5522 G2 10/46 FIXED 3                        | CUSIP: 3618A8D38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2109157 | PA      | $1898291.42    | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADANI TRANSMISSION STEP ONE LIMITED                                              | ADANI TRANS STEP ONE LTD SR SECURED 144A 08/26 4            | CUSIP: 00652XAA6<br>LEI: 335800Z8CGS7O7D72N41 | Long             | DBT              | CORP              | IN        |      8624000 | PA      | $8619761.74    | 0.02%             | 2026-08-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 865959 FN 03/36 FLOATING VAR                      | CUSIP: 31409BB48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67065 | PA      | $68698.89      | 0.00%             | 2036-03-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290508                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $566784.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 01/34 VAR                             | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     32100000 | PA      | $34304031.26   | 0.07%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545993 FN 11/32 FIXED VAR                         | CUSIP: 31385JRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1411 | PA      | $1452.75       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1            | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7175054 | PA      | $2277162.65    | 0.00%             | 2046-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                             | ERAC USA FINANCE LLC                                        | CUSIP: 26882SDQ6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |       300000 | PA      | $299173.08     | 0.00%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5908.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-152247.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A2 144A         | CUSIP: 210927AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44480000 | PA      | $45731444.80   | 0.10%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 802714 FN 09/34 FLOATING VAR                      | CUSIP: 31405XYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27556 | PA      | $28096.16      | 0.00%             | 2034-09-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535281 FN 04/30 FIXED VAR                         | CUSIP: 31384VUE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35522 | PA      | $36429.09      | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A1             | CUSIP: 61754HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4434723 | PA      | $1162028.22    | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED REGS 01/27 9.75            | CUSIP: U76673AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       912133 | PA      | $932738.53     | 0.00%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 922572 FN 12/36 FIXED 6                           | CUSIP: 31412D6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87298 | PA      | $89337.71      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $675410.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2              | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152423 | PA      | $148132.12     | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 05/37 5.625                       | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     29200000 | PA      | $31796991.09   | 0.07%             | 2037-05-30      | Fixed         | 5.62%                 | 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        |       627542 | PA      | $589755.87     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 144A 12/29 VAR                             | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      1000000 | PA      | $946856.71     | 0.00%             | 2029-12-13      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $829745.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                          | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D            | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1639752 | PA      | $845953.61     | 0.00%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3520 FN 06/53 FIXED 5.5                         | CUSIP: 3140NK4E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       557233 | PA      | $561671.02     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK SR UNSECURED 03/27 2.8                | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      6900000 | PA      | $6812436.38    | 0.01%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2921 FN 12/45 FIXED 4                           | CUSIP: 3140E7G79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       164290 | PA      | $158292.87     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR                    | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      2000000 | PA      | $2011485.58    | 0.00%             | 2029-03-03      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 737999 FN 09/33 FIXED 5.5                         | CUSIP: 31402T3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2555 | PA      | $2569.70       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7590 FN 05/46 FIXED 4                           | CUSIP: 3140F3NG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21742 | PA      | $20949.94      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2877 FN 01/28 FIXED VAR                         | CUSIP: 3138EKFT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12204 | PA      | $12129.68      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0038 FN 07/43 FIXED 3                           | CUSIP: 3138W9BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5049 | PA      | $4607.91       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1B 144A          | CUSIP: 78450CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10299885 | PA      | $10319150.68   | 0.02%             | 2052-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 002754 G2 05/29 FIXED 6.5                      | CUSIP: 36202DBX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2507 | PA      | $2605.26       | 0.00%             | 2029-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260527                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $461844.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8307 FR 03/53 FIXED 5                   | CUSIP: 3132DWGQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2998500 | PA      | $2973278.79    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                         | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506692 | PA      | $515480.86     | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 647903 FN 04/27 FLOATING VAR                      | CUSIP: 31390JX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           87 | PA      | $87.05         | 0.00%             | 2027-04-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 985153 FN 09/38 FIXED 6                           | CUSIP: 31415PMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140527 | PA      | $145856.34     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                       | AVIATION CAPITAL GROUP SR UNSECURED 144A 04/28 6.25         | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      8318000 | PA      | $8555936.47    | 0.02%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260408                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $254122.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR                  | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     39550000 | PA      | $39058027.27   | 0.08%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894912 FN 07/36 FIXED 6                           | CUSIP: 31410RGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54713 | PA      | $56521.86      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 240                                                           | FREDDIEMAC STRIP FHS 240 F22                                | CUSIP: 3128HVRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115201 | PA      | $114356.89     | 0.00%             | 2036-07-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3770 FN 02/28 FIXED VAR                         | CUSIP: 3138ELFL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          800 | PA      | $794.23        | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6085 FN 12/53 FIXED 5.5                         | CUSIP: 3140A6XP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5403640 | PA      | $5447749.38    | 0.01%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 01/29 6.25           | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     43100000 | PA      | $44773301.47   | 0.10%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/7.75000 04/07/25-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $-342635.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -58100000 | NC      | $-167054.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2483 FN 10/48 FIXED 4.5                         | CUSIP: 3140Q9XM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9370 | PA      | $9208.70       | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                           | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48033 | PA      | $45623.13      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 7 2A1                   | CUSIP: 07386HKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10672 | PA      | $10506.80      | 0.00%             | 2034-08-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                       | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9406000000 | PA      | $41079870.07   | 0.09%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH7815 FR 01/54 FIXED 6.5                 | CUSIP: 3133CLVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       393856 | PA      | $411425.51     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/18/24-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-7526499.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-RPL1                                    | GSMBS 2026 RPL1 SA 144A                                     | CUSIP: 990ACSUZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       290000 | PA      | $290935.38     | 0.00%             | 2075-10-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FL              | CUSIP: 38382YM75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39771139 | PA      | $40280794.44   | 0.09%             | 2073-01-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3336 FN 04/38 FIXED 3.5                         | CUSIP: 31418CV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       207986 | PA      | $200174.54     | 0.00%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885865 FN 06/36 FIXED 6                           | CUSIP: 31410DFE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2685 | PA      | $2747.06       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                                               | FORD MOTOR COMPANY SR UNSECURED 02/32 3.25                  | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     11800000 | PA      | $10253212.81   | 0.02%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 373358 FN 03/27 FIXED 7.5                         | CUSIP: 31377CWT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          120 | PA      | $120.26        | 0.00%             | 2027-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS1X                                                    | RMAC SECURITIES PLC RMACS 2006 NS1X A2C REGS                | CUSIP: B11W7VII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       837437 | PA      | $951786.61     | 0.00%             | 2044-06-12      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB8897 FN 04/43 FIXED 3                           | CUSIP: 31417F3F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       471432 | PA      | $431884.88     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 937665 FN 06/37 FIXED 6                           | CUSIP: 31412XFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35332 | PA      | $36982.95      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A C                       | CUSIP: ACI2Q4LQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      4302000 | PA      | $4987233.89    | 0.01%             | 2067-08-22      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-14                                                               | FANNIE MAE FNR 2001 14 Z                                    | CUSIP: 31359SWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          949 | PA      | $973.42        | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0365 FH 06/37 FLOATING VAR              | CUSIP: 3128S4MN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          675 | PA      | $695.02        | 0.00%             | 2037-06-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                       | DESARROLLADORA HOMEX SAB DE COMMON STOCK                    | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |       775108 | NS      | $43.25         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FLORIDA HURRICANE CATASTROPHE FD FIN COR                                         | FLORIDA ST BRD OF ADMIN FIN CO FLSGEN 07/34 FIXED 5.526     | CUSIP: 341271AH7<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |      5100000 | PA      | $5348053.80    | 0.01%             | 2034-07-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2940 FN 11/27 FIXED VAR                         | CUSIP: 3138EKHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12996 | PA      | $12912.26      | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4159                                                          | FREDDIE MAC FHR 4159 KF                                     | CUSIP: 3137AXXG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134791 | PA      | $132431.40     | 0.00%             | 2043-01-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $22676.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-35                                                        | FANNIE MAE FNR 2007 35 PF                                   | CUSIP: 31396VMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226244 | PA      | $223461.31     | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008894 G2 06/26 FLOATING VAR                   | CUSIP: 36202K3B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1384 | PA      | $1381.58       | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A             | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405876 | PA      | $405205.66     | 0.00%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BP0996 GN 08/49 FIXED 4                           | CUSIP: 3617L7C98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       440735 | PA      | $416458.85     | 0.00%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED REGS 05/60 3.8                 | CUSIP: ACI1M29S4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     47500000 | PA      | $30878638.50   | 0.07%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB3754 FN 05/54 FIXED 5.5                         | CUSIP: 3140ADE49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7131626 | PA      | $7178584.08    | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 967503 FN 01/38 FIXED 6                           | CUSIP: 31414JKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1880 | PA      | $1949.59       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | 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        |        14811 | PA      | $14847.86      | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HLDG S A COMMON STOCK                               | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       116110 | NS      | $2670530.00    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0682 G2 10/55 FIXED 3.5                      | CUSIP: 3618N5XL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       899999 | PA      | $826120.71     | 0.00%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897984 FN 07/36 FIXED 6                           | CUSIP: 31410UUH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1746 | PA      | $1789.79       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-57396.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34642 | PA      | $15496.65      | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG45 5Y ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $6359714.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4857 FN 03/46 FIXED 4                           | CUSIP: 3140F0MF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68573 | PA      | $65796.44      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A       | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7578069 | PA      | $5146293.26    | 0.01%             | 2037-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9315 FN 02/48 FIXED 3                           | CUSIP: 3140HBK56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180006 | PA      | $161645.95     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3439 FN 02/33 FIXED 3                           | CUSIP: 3140H4ZD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       569383 | PA      | $549976.31     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45            | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28568262 | PA      | $29205402.43   | 0.06%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-198900.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3945 FN 01/46 FIXED 4                           | CUSIP: 3140E8L30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       786471 | PA      | $755119.13     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2018-COR3                                                    | COMM MORTGAGE TRUST COMM 2018 COR3 A3                       | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45152284 | PA      | $44314745.25   | 0.09%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1079 FN 11/53 FIXED 5.5                         | CUSIP: 3140A1FV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70477 | PA      | $71068.78      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 A3            | CUSIP: 76113ACA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       297424 | PA      | $297028.35     | 0.00%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852347 FN 01/36 FIXED 6                           | CUSIP: 31408H5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29976 | PA      | $31362.27      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7350 FN 09/46 FIXED 4                           | CUSIP: 3140FFEY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82069 | PA      | $78762.40      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-97                                                               | FANNIE MAE FNR 2004 97 ZH                                   | CUSIP: 31394BS62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       281909 | PA      | $280803.28     | 0.00%             | 2035-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC 1997-53                                                         | FANNIE MAE FNR 1997 53 PI                                   | CUSIP: 31359QFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           44 | PA      | $1.27          | 0.00%             | 2027-08-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7080 FR 06/39 FIXED 3                   | CUSIP: 31329Q2M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139619 | PA      | $130812.22     | 0.00%             | 2039-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                          | FREDDIE MAC FHR 3868 FA                                     | CUSIP: 3137AAED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5017 | PA      | $4975.57       | 0.00%             | 2041-05-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1           | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124457 | PA      | $114793.50     | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $565680.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                             | VASA TRUST VASA 2021 VASA A 144A                            | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7550000 | PA      | $7419349.52    | 0.02%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | AMGEN INC SR UNSECURED 03/28 5.15                           | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     31160000 | PA      | $31630438.10   | 0.07%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                              | CONSTELLATION ENERGY                                        | CUSIP: 21038QD27<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4498911.00    | 0.01%             | 2026-04-02      | None          | 0.00%                 | 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        |        34042 | PA      | $34390.10      | 0.00%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5444 FN 08/54 FIXED 5.5                         | CUSIP: 31418FBN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1689679 | PA      | $1699118.19    | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2008-RR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A      | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136642 | PA      | $122368.89     | 0.00%             | 2037-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0761 FR 11/51 FIXED 3                   | CUSIP: 3132DMZ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       792009 | PA      | $698772.42     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 795134 FN 10/34 FLOATING VAR                      | CUSIP: 31405PLP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64470 | PA      | $65473.74      | 0.00%             | 2034-10-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A             | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1623590 | PA      | $1436949.85    | 0.00%             | 2047-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260617                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $520855.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-357169.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4486 FN 09/35 FIXED VAR                         | CUSIP: 3140X76Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43759 | PA      | $42378.38      | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB2 6A                    | CUSIP: 12669FTM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28393 | PA      | $28254.84      | 0.00%             | 2034-07-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| JAB HOLDINGS BV                                                                  | JAB HOLDINGS BV COMPANY GUAR 144A 11/30 2.2                 | CUSIP: 46653KAA6<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |       335000 | PA      | $299223.74     | 0.00%             | 2030-11-23      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 529145 GN 04/30 FIXED 8                           | CUSIP: 36212BZJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          963 | PA      | $987.16        | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5266 G2 06/48 FIXED 5                        | CUSIP: 36179TZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93043 | PA      | $93635.80      | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 1A1              | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1262640 | PA      | $556236.26     | 0.00%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-120                                                              | FANNIE MAE FNR 2003 120 ZH                                  | CUSIP: 31393UGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135048 | PA      | $141248.66     | 0.00%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 726951 FN 08/33 FIXED 5                           | CUSIP: 31402ETG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8281 | PA      | $8369.97       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C65842 FG 04/32 FIXED 7                   | CUSIP: 31287RP37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1051 | PA      | $1104.80       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8204 FR 06/54 FIXED 5.5                 | CUSIP: 3133WFDH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3093117 | PA      | $3113563.06    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B3 144A          | CUSIP: 52473LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65366082 | PA      | $28282916.57   | 0.06%             | 2056-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080408 G2 05/30 FLOATING VAR                   | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21315 | PA      | $21321.31      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                               | FANNIE MAE FNR 2007 42 AF                                   | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5208 | PA      | $5137.22       | 0.00%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 2A1A           | CUSIP: 93934FPT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115894 | PA      | $97391.20      | 0.00%             | 2046-05-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA4                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA4 A1                     | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5312514 | PA      | $1402174.98    | 0.00%             | 2046-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1387 FR 04/53 FIXED 5.5                 | CUSIP: 3133C1RG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5534750 | PA      | $5582132.96    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95               | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    269520000 | PA      | $84000490.36   | 0.18%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $80881.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260409                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $317974.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2007 5 1A1               | CUSIP: 88522TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7876695 | PA      | $4779536.51    | 0.01%             | 2047-09-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6743 FR 09/26 FIXED 3.5                 | CUSIP: 3132A7P47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          249 | PA      | $247.99        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT+T INC SR UNSECURED 04/31 4.4                             | CUSIP: 00206RNF5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     59500000 | PA      | $58915570.77   | 0.13%             | 2031-04-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A BR 144A                           | CUSIP: ACI1746S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     20861000 | PA      | $23533498.85   | 0.05%             | 2054-10-29      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260413                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-70972.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M2                | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1844434 | PA      | $1843919.75    | 0.00%             | 2036-06-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 814035 FN 02/35 FIXED 5                           | CUSIP: 31406MLQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          707 | PA      | $703.76        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253348 FN 06/30 FIXED 8.5                         | CUSIP: 31371JL51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          137 | PA      | $140.47        | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C                | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8544290 | PA      | $3588769.19    | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS LP                                                              | ANTARES HOLDINGS SR UNSECURED 144A 08/28 7.95               | CUSIP: 03666HAF8<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     20600000 | PA      | $21366468.32   | 0.05%             | 2028-08-11      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT1696 FN 04/28 FIXED 3.5                         | CUSIP: 3138WN3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24016 | PA      | $23823.17      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                    | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 03/31 2.05            | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $2693788.68    | 0.01%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-64885.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7682 FN 07/53 FIXED 4.5                         | CUSIP: 3140NQRC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       792816 | PA      | $771419.32     | 0.00%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 11/40 12.75                      | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 375303300000 | PA      | $99474044.40   | 0.21%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $2038.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 721044 FN 06/33 FLOATING VAR                      | CUSIP: 31401XBM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3430 | PA      | $3526.60       | 0.00%             | 2033-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5                 | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       888809 | PA      | $823901.68     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 984832 FN 07/38 FIXED 5.5                         | CUSIP: 31415PA99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24025 | PA      | $24729.93      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 3A2              | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       796966 | PA      | $724096.01     | 0.00%             | 2036-02-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7828 G2 01/52 FIXED 3                        | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1267941 | PA      | $1133569.55    | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3285 FN 08/45 FIXED 4                           | CUSIP: 3138YUUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       359129 | PA      | $345702.94     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A C 144A                                  | CUSIP: ACI12K0V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9470000 | PA      | $8034612.15    | 0.02%             | 2045-02-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9419 FN 07/31 FIXED VAR                         | CUSIP: 3138ERPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       288819 | PA      | $286014.73     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ7192 FN 07/43 FIXED 3                           | CUSIP: 3138MN7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62651 | PA      | $57376.21      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735580 FN 06/35 FIXED VAR                         | CUSIP: 31402RFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37898 | PA      | $38222.57      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1743 FN 09/40 FIXED VAR                         | CUSIP: 3138EH5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4847 | PA      | $5086.70       | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889685 FN 07/38 FIXED VAR                         | CUSIP: 31410KNA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61878 | PA      | $63736.04      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885823 FN 06/36 FIXED 6                           | CUSIP: 31410DD49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3051 | PA      | $3132.70       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 4A            | CUSIP: 36185N6Q8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       349629 | PA      | $315759.84     | 0.00%             | 2035-05-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     20275000 | PA      | $20505923.53   | 0.04%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                                        | FARM CREDIT BK OF TEXAS JR SUBORDINA 12/99 VAR              | CUSIP: 30767EAF6<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |      9300000 | NS      | $9559377.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15             | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18840037 | PA      | $17584195.50   | 0.04%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                                                 | FREDDIE MAC FHR 2091 ZD                                     | CUSIP: 3133TGU56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53614 | PA      | $54155.19      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3121 FN 09/47 FIXED 4                           | CUSIP: 31418CPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       271593 | PA      | $258326.43     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 06/29 5.45                | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     13300000 | PA      | $13429262.30   | 0.03%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $24005.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-7                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2021 7 A3 144A               | CUSIP: 46592NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2361858 | PA      | $1969460.47    | 0.00%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/51 1.875                                 | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    116025000 | PA      | $63772960.25   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080032 G2 01/27 FLOATING VAR                   | CUSIP: 36225CBA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           11 | PA      | $10.88         | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21             | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122345 | PA      | $85975.43      | 0.00%             | 2035-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3054 FN 07/45 FIXED 4                           | CUSIP: 3138YUMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24432 | PA      | $23493.78      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-284297.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 908691 FN 01/37 FIXED 6                           | CUSIP: 31411HRL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87992 | PA      | $90040.69      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 11/29 6.15                         | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1237740.14    | 0.00%             | 2029-11-09      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-245333.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0959 FH 05/36 FLOATING VAR              | CUSIP: 3128QJB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12174 | PA      | $12588.62      | 0.00%             | 2036-05-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                     | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11243880 | PA      | $7968184.70    | 0.02%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1551 FN 04/48 FIXED 4                           | CUSIP: 3140Q8WM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95223 | PA      | $91279.11      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3236                                                                 | FREDDIE MAC FHR 3236 IS                                     | CUSIP: 31397CB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2096437 | PA      | $178772.82     | 0.00%             | 2036-11-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535922 FN 03/31 FIXED VAR                         | CUSIP: 31384WLB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1273 | PA      | $1298.92       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                               | ORACLE CORP SR UNSECURED 09/55 5.95                         | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     11000000 | PA      | $9260816.40    | 0.02%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 660991 FN 07/32 FIXED 8                           | CUSIP: 31391AKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          196 | PA      | $200.11        | 0.00%             | 2032-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1                 | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2276 | PA      | $2349.57       | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | KEURIG DR PEPPER                                            | CUSIP: 49271KDU5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1395323.02    | 0.00%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946272 FN 09/37 FIXED 6                           | CUSIP: 31413HW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75893 | PA      | $78734.50      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 400975 FN 09/27 FIXED 8                           | CUSIP: 31378KMY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13538 | PA      | $13678.06      | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832741 FN 09/35 FIXED 6                           | CUSIP: 31407KEN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4155 | PA      | $4336.91       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1             | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       168946 | PA      | $115424.17     | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5119 FN 08/47 FIXED 3.5                         | CUSIP: 3140GTVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26372 | PA      | $24608.19      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 780827 GN 07/28 FIXED 6.5                         | CUSIP: 36225A4L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          553 | PA      | $560.80        | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9983 FN 02/42 FIXED VAR                         | CUSIP: 3138ESCV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74347 | PA      | $76659.63      | 0.00%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $318125.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $215270.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4740 FN 12/45 FIXED 4                           | CUSIP: 3140E9HS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1000 | PA      | $959.25        | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 833337 FN 08/35 FIXED 6                           | CUSIP: 31407KZA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3902 | PA      | $3979.15       | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A1A               | CUSIP: 12638PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15410392 | PA      | $3701414.23    | 0.01%             | 2037-04-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 586232 GN 10/34 FIXED 6                           | CUSIP: 36201LHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25721 | PA      | $26131.53      | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7768 G2 12/51 FIXED 3                        | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2238418 | PA      | $2001724.78    | 0.00%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886112 FN 07/36 FIXED 6.5                         | CUSIP: 31410DN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34867 | PA      | $36646.67      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-24007.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2025-HYB1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2025 HYB1 PT 144A            | CUSIP: 46594FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33776417 | PA      | $34559125.13   | 0.07%             | 2056-01-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260401                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $470.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 144A 09/27 VAR                             | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      1300000 | PA      | $1311180.13    | 0.00%             | 2027-09-18      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20270129                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $3028999.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G30391 FG 04/28 FIXED 4.5                 | CUSIP: 3128CUNG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5315 | PA      | $5311.19       | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4MA5 PIMCO SWAPTION 3.08 CALL USD 2026072              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1767700000 | NC      | $-1190722.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-7043302.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                                        | FANNIE MAE FNR 2013 34 WF                                   | CUSIP: 3136ADPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       749164 | PA      | $708772.74     | 0.00%             | 2043-04-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3             | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       275998 | PA      | $275970.76     | 0.00%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-61                                                               | FANNIE MAE FNR 2006 61 SE                                   | CUSIP: 31395N3P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163188 | PA      | $15836.45      | 0.00%             | 2036-07-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 543467 GN 12/30 FIXED 7.5                         | CUSIP: 36212TW42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          124 | PA      | $124.58        | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1           | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       551203 | PA      | $454155.14     | 0.00%             | 2035-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $2777.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3239 FN 01/48 FIXED 4                           | CUSIP: 31418CS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127129 | PA      | $121170.28     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 06/27 4.5                       | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      7800000 | PA      | $7769132.12    | 0.02%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 3A              | CUSIP: 61749LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7489539 | PA      | $5393785.76    | 0.01%             | 2036-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 02/27 4.875                | CUSIP: 842400JA2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      5100000 | PA      | $5113532.34    | 0.01%             | 2027-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3              | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3136263.80    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A R 144A          | CUSIP: 210927AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12240284 | PA      | $5489929.45    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1             | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114661 | PA      | $99421.48      | 0.00%             | 2045-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1252 FN 07/41 FIXED 4                           | CUSIP: 31419BMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       128277 | PA      | $123907.90     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T MOBILE USA INC COMPANY GUAR 02/28 2.05                    | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $959560.84     | 0.00%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A          | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1193084 | PA      | $1204650.07    | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5652 G2 12/48 FIXED 4.5                      | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7017519 | PA      | $6908686.55    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A5           | CUSIP: 12668BZF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       839994 | PA      | $390480.44     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A74236 FG 03/38 FIXED 7                   | CUSIP: 3128L7V53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2837 | PA      | $3034.57       | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903247 FN 10/36 FIXED 6                           | CUSIP: 31411BP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20256 | PA      | $21200.56      | 0.00%             | 2036-10-01      | 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        |         4164 | PA      | $3476.79       | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 844030 FN 11/35 FIXED 6                           | CUSIP: 31407XVX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71833 | PA      | $73253.56      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | 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        |      1077518 | PA      | $61205.52      | 0.00%             | 2041-10-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7977 FN 09/44 FIXED 4                           | CUSIP: 3138XX2K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10115 | PA      | $9746.86       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F               | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4295393 | PA      | $4312249.45    | 0.01%             | 2066-11-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1                  | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        86390 | PA      | $24307.29      | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $259443.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G00723 FG 05/27 FIXED 8.5                 | CUSIP: 31283GYU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          107 | PA      | $107.28        | 0.00%             | 2027-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080116 G2 09/27 FLOATING VAR                   | CUSIP: 36225CDW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8431 | PA      | $8476.66       | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $868936.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C32912 FG 11/29 FIXED 7.5                 | CUSIP: 31293YGV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          238 | PA      | $241.56        | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                                | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A             | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6250023 | PA      | $6279361.76    | 0.01%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $12103.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                    | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1774 | PA      | $1727.22       | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0619 FN 10/47 FIXED 4                           | CUSIP: 3140Q7VM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49467 | PA      | $47532.17      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6808 FR 02/52 FIXED 3                   | CUSIP: 3133KNR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1511916 | PA      | $1341135.15    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2341 FN 02/47 FIXED 4                           | CUSIP: 3140FMS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064311 | PA      | $1021220.18    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839307 FN 10/35 FLOATING VAR                      | CUSIP: 31407SNY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33116 | PA      | $34088.33      | 0.00%             | 2035-10-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $536213.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1             | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       667225 | PA      | $562491.84     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $8860860.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                     | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                    | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4080000 | PA      | $4071915.07    | 0.01%             | 2039-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A2 144A         | CUSIP: 21056EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29600000 | PA      | $30439216.24   | 0.06%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 843968 FN 11/35 FIXED 6                           | CUSIP: 31407XTZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9883 | PA      | $10233.33      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 02/36 FIXED 4.275     | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      1600000 | PA      | $1572900.00    | 0.00%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1560 FN 01/39 FIXED 4                           | CUSIP: 3138WAWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44093 | PA      | $42729.24      | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 01/28 5.842                | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     13500000 | PA      | $13798191.78   | 0.03%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A             | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5895890 | PA      | $5940550.07    | 0.01%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0849 FN 05/53 FIXED 5.5                         | CUSIP: 3140NG5K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       233266 | PA      | $235252.11     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885666 FN 10/36 FIXED 6                           | CUSIP: 31410C6B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36039 | PA      | $37386.31      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B8                                                 | BENCHMARK MORTGAGE TRUST BMARK 2018 B8 A5                   | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36036000 | PA      | $35461838.41   | 0.08%             | 2052-01-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8349 FN 04/46 FIXED VAR                         | CUSIP: 3138ETH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257886 | PA      | $247764.99     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 912277 FN 03/37 FIXED 6                           | CUSIP: 31411NQ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46755 | PA      | $48120.98      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRD7                              | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8900000 | PA      | $8910790.45    | 0.02%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| PFP 2026-13 LTD                                                                  | PFP III PFP 2026 13 A 144A                                  | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     28600000 | PA      | $28633026.14   | 0.06%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A B 144A                                  | CUSIP: ACI12K022<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     29232000 | PA      | $37828904.42   | 0.08%             | 2045-02-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                       | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A              | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6550000 | PA      | $6552242.39    | 0.01%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED REGS 09/28 3.201               | CUSIP: ACI1RDJR6<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      3100000 | PA      | $3458235.74    | 0.01%             | 2028-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-58614.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-LTV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 LTV2 A1 144A       | CUSIP: 36268SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92526261 | PA      | $80533737.59   | 0.17%             | 2052-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                              | STATE STREET BANK + TR SR UNSECURED 11/29 4.782             | CUSIP: 857449AE2<br>LEI: 571474TGEMMWANRLN572 | Long             | DBT              | CORP              | US        |      4650000 | PA      | $4726105.25    | 0.01%             | 2029-11-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX1748 FN 12/52 FIXED 4.5                         | CUSIP: 3140N55J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4316218 | PA      | $4192624.40    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | GLENCORE FUNDING LLC                                        | CUSIP: 37790BE49<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     23500000 | PA      | $23410911.50   | 0.05%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260429                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9647.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 837925 FN 08/35 FLOATING VAR                      | CUSIP: 31407Q4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106582 | PA      | $108737.00     | 0.00%             | 2035-08-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6094 FN 09/46 FIXED 4                           | CUSIP: 3140FDXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       602225 | PA      | $577099.45     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4405 FN 10/43 FIXED 3                           | CUSIP: 3138X33P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5440 | PA      | $4979.34       | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                                               | BOSTON GAS COMPANY SR UNSECURED 144A 08/27 3.15             | CUSIP: 100743AK9<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |      2900000 | PA      | $2854936.41    | 0.01%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A               | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     23296000 | PA      | $30866941.75   | 0.07%             | 2049-12-21      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                                     | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                        | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       492739 | PA      | $299874.62     | 0.00%             | 2036-04-25      | Variable      | 5.72%                 | 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        |        15736 | PA      | $16354.09      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONVENTION CTR AUTH RI REV                                                       | RHODE ISLAND ST CONVENTION CTR RISFAC 05/35 FIXED 6.06      | CUSIP: 212474GG9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       165000 | PA      | $177821.04     | 0.00%             | 2035-05-15      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4NA4 PIMCO SWAPTION 3.5 CALL USD 20260713              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1698600000 | NC      | $2458553.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                                  | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A                 | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14785900 | PA      | $12964528.83   | 0.03%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 22 3A1                     | CUSIP: 126694LW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       788853 | PA      | $650948.49     | 0.00%             | 2035-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| HANDSHAKE RE LTD                                                                 | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR                   | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $298260.00     | 0.00%             | 2030-01-08      | Floating      | 8.05%                 | 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        |        62001 | PA      | $58762.78      | 0.00%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260526                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $249186.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMAZONCOM INC                                                                    | AMAZON.COM INC SR UNSECURED 03/28 3.85                      | CUSIP: 023135DB9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       500000 | PA      | $498555.88     | 0.00%             | 2028-03-13      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1            | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1991410 | PA      | $1792824.05    | 0.00%             | 2037-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                      | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36115 | PA      | $35136.74      | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                                   | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71                 | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |     38300000 | PA      | $36360116.49   | 0.08%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| CIT GROUP HOME EQUITY LOAN TRUST 2002-1                                          | CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 MV1             | CUSIP: 12558MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27310 | PA      | $27327.79      | 0.00%             | 2030-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE7273 FR 08/52 FIXED 3                   | CUSIP: 3133BHCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1076751 | PA      | $955381.03     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES SR UNSECURED 11/31 3.6                       | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     15100000 | PA      | $13713842.95   | 0.03%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 781290 FN 06/34 FIXED 5.5                         | CUSIP: 31404W7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1497 | PA      | $1512.82       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A3            | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4127518 | PA      | $1489775.04    | 0.00%             | 2037-03-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A          | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4273951 | PA      | $4280847.20    | 0.01%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4249 FN 03/46 FIXED 4                           | CUSIP: 3140EYWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234590 | PA      | $224819.53     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5                 | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52662 | PA      | $53146.68      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 767726 FN 11/33 FIXED 6                           | CUSIP: 31404F4K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10137 | PA      | $10339.02      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/29 5.875           | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      9000000 | PA      | $9115710.12    | 0.02%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL AM0874 GN 04/45 FIXED 3.5                         | CUSIP: 36184K6K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99144 | PA      | $93152.01      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-8                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2021 8 A12 144A              | CUSIP: 46592TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9494081 | PA      | $9295337.24    | 0.02%             | 2051-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5                 | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23880501 | PA      | $24705337.32   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002 57                                                               | FANNIE MAE FNR 2002 57 ZF                                   | CUSIP: 31392D4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       642922 | PA      | $662492.44     | 0.00%             | 2032-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 253267 FN 05/30 FIXED 8.5                         | CUSIP: 31371JJL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2467 | PA      | $2572.48       | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST ELECTRIC & GAS CORP                                                  | NY STATE ELECTRIC + GAS SR UNSECURED 144A 10/30 1.95        | CUSIP: 649840CS2<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     18300000 | PA      | $16067512.55   | 0.03%             | 2030-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892333 FN 09/36 FIXED 6                           | CUSIP: 31410NLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20310 | PA      | $20935.31      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 940878 FN 06/37 FIXED 6                           | CUSIP: 31413BXF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28798 | PA      | $29919.52      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | 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        |        13350 | PA      | $13313.51      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6520 FN 05/46 FIXED 4                           | CUSIP: 3140F2G61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       442881 | PA      | $426508.69     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $2903436.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 622638 FN 03/31 FIXED 5                           | CUSIP: 31389DV79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12948 | PA      | $12897.87      | 0.00%             | 2031-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6739 FN 08/53 FIXED 5.5                         | CUSIP: 3140NPPZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4293114 | PA      | $4320505.76    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 543271 FN 07/30 FIXED 8.5                         | CUSIP: 31385FQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          294 | PA      | $297.20        | 0.00%             | 2030-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4             | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       809065 | PA      | $792372.80     | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR6 1A2            | CUSIP: 93363BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4100936 | PA      | $4022272.04    | 0.01%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer