# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007235
**Filing Date:** 2026-5
**Character Count:** 1491788
**Document Hash:** 37ec97a88a9c47e51aa5aa2e5efe0faf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007235.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007235

**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:** 261043424

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

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

## Series and Classes Contracts Data

### PIMCO Mortgage Opportunities and Bond Fund (Series ID: S000038441)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000118561 | Institutional Class | PMZIX           |
| C000118562 | I-2                 | PMZPX           |
| C000118565 | Class A             | PMZAX           |
| C000118566 | Class C             | PMZCX           |
| C000200465 | I-3                 | PMZNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Mortgage Opportunities and Bond Fund

- **b. EDGAR series identifier (if any):** S000038441

- **c. LEI of Series:** 549300PFV1F66T7RF111

**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:** $54441307905.59

**Total Liabilities:** $40785654036.08

**Net Assets:** $13655653869.51

**Delayed Delivery Securities:** $156194982.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1302052.318700 | **1-Year:** 2307153.801600 | **5-Year:** 5266887.333100 | **10-Year:** 497262.462600 | **30-Year:** 102392.537300

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

- **3-Month:** 38601.458900 | **1-Year:** 85361.051300 | **5-Year:** 350035.455100 | **10-Year:** 53198.873100 | **30-Year:** 3479.464300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000118565 | 0.42%                | 1.12%                | -1.28%               |
| Class ID C000118566 | 0.36%                | 1.06%                | -1.34%               |
| Class ID C000118562 | 0.45%                | 1.15%                | -1.25%               |
| Class ID C000200465 | 0.44%                | 1.14%                | -1.26%               |
| Class ID C000118561 | 0.45%                | 1.15%                | -1.25%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $27567418.32             | $-19577330.54                              |
| Month 2  | $24935445.82             | $97507194.40                               |
| Month 3  | $-50151626.78            | $-194448783.73                             |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FANNIE MAE REMICS 2016-64                                                 | FANNIE MAE FNR 2016 64 IA                                | CUSIP: 3136ATUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2592269 | PA      | $285168.49      | 0.00%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                             | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE C 144A      | CUSIP: 26210YAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7200000 | PA      | $7141411.44     | 0.05%             | 2043-10-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4119                                                   | FREDDIE MAC FHR 4119 KE                                  | CUSIP: 3137AUUR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1354471 | PA      | $1272372.86     | 0.01%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C B             | CUSIP: 83407XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3787000 | PA      | $3768738.71     | 0.03%             | 2034-10-25      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5122                                                   | FREDDIE MAC FHR 5122 BI                                  | CUSIP: 3137H1AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30002851 | PA      | $5887852.44     | 0.04%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.48000 02/07/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1782059.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 CF                                  | CUSIP: 3137HCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3512264 | PA      | $3496253.84     | 0.03%             | 2050-12-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9M8A5 PIMCO FPPSWAPTION 4.44 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    50900000 | NC      | $2545824.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U90316 FG 10/42 FIXED 4                | CUSIP: 3132H3K51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144742 | PA      | $140831.37      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                          | FREDDIE MAC FHR 3117 OK                                  | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26229 | PA      | $23099.75       | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC     | PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR           | CUSIP: 74042JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      904632 | PA      | $872970.06      | 0.01%             | 2038-03-22      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5039                                                   | FREDDIE MAC FHR 5039 JI                                  | CUSIP: 3137F63T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5495740 | PA      | $570832.08      | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS1                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A          | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      886415 | PA      | $872651.30      | 0.01%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4698                                                   | FREDDIE MAC FHR 4698 ES                                  | CUSIP: 3137F1XH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13840085 | PA      | $405205.86      | 0.00%             | 2047-07-15      | Floating      | 0.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BQ1266 GN 11/49 FIXED 3.5                      | CUSIP: 3617LKMP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      432738 | PA      | $398660.03      | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G07165 FG 12/41 FIXED 4.5              | CUSIP: 3128M9JJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1005387 | PA      | $996786.62      | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-13000.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-124                                                | FANNIE MAE FNR 2006 124 PO                               | CUSIP: 31396PFL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104719 | PA      | $87594.16       | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $14741560.56    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 160 IE           | CUSIP: 38380B5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      421081 | PA      | $23084.89       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A    | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      938181 | PA      | $940865.11      | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5393 FN 06/39 FIXED 5.5                      | CUSIP: 31418E7F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90096 | PA      | $91915.00       | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB1 A1 144A           | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8675817 | PA      | $8689993.38     | 0.06%             | 2053-03-25      | Floating      | 3.62%                 | 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      | $-13711.53      | -0.00%            |  |  |  | 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        |      471723 | PA      | $428591.67      | 0.00%             | 2036-02-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2596 FR 10/54 FIXED 6.5              | CUSIP: 3142GS3E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4698919 | PA      | $4936617.58     | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4860 FN 12/49 FIXED 3                        | CUSIP: 3140QCMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13066 | PA      | $11692.16       | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE9075 FN 05/37 FIXED 4                        | CUSIP: 3140FVCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      814297 | PA      | $801751.36      | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | 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        |      243406 | PA      | $231646.60      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5411                                                   | FREDDIE MAC FHR 5411 IB                                  | CUSIP: 3137HCRW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50625384 | PA      | $8014838.72     | 0.06%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SC52 PIMCO CDSOPT PUT USD 102.32812500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -215000000 | NC      | $-891519.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                                 | FANNIE MAE FNR 2014 47 BI                                | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      333523 | PA      | $16892.35       | 0.00%             | 2054-08-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2218 FR 05/55 FIXED 6                | CUSIP: 31426LPC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5779899 | PA      | $6008900.30     | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZS9810 FR 03/46 FIXED 4.5              | CUSIP: 3132AA3T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      218626 | PA      | $215809.18      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE5598 FN 12/36 FIXED 4                        | CUSIP: 3140FRGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      375641 | PA      | $366318.31      | 0.00%             | 2036-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D A 144A                         | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      519897 | PA      | $520030.71      | 0.00%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-1                                                  | FANNIE MAE FNR 2022 1 WI                                 | CUSIP: 3136BLLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14485157 | PA      | $1210669.43     | 0.01%             | 2062-02-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                          | FREDDIE MAC FHR 2614 SY                                  | CUSIP: 31393QP30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4938 | PA      | $4973.42        | 0.00%             | 2033-05-15      | Floating      | 5.86%                 | 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        |       83851 | PA      | $56114.91       | 0.00%             | 2037-07-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0278 FN 04/55 FIXED 6.5                      | CUSIP: 3140Y6JY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19250512 | PA      | $20283985.43    | 0.15%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1       | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A5         | CUSIP: 04544RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9200000 | PA      | $8646050.52     | 0.06%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                         | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A2 144A       | CUSIP: 57643QBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1895111 | PA      | $1172006.63     | 0.01%             | 2035-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1062 FN 09/55 FIXED 6.5                      | CUSIP: 3140Y7FC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4626724 | PA      | $4908657.92     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-22CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 22CB 1A1       | CUSIP: 12667FRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6566082 | PA      | $6655345.48     | 0.05%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-27                                                 | FANNIE MAE FNR 2018 27 PO                                | CUSIP: 3136B1L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1482035 | PA      | $1244814.23     | 0.01%             | 2048-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AX2796 FN 10/44 FIXED 4                        | CUSIP: 3138Y4DA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42568 | PA      | $40994.70       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5446                                                   | FREDDIE MAC FHR 5446 FB                                  | CUSIP: 3137HFB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3703471 | PA      | $3730951.33     | 0.03%             | 2054-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4820                                                          | FREDDIE MAC FHR 4820 ES                                  | CUSIP: 3137FHHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1075587 | PA      | $130682.01      | 0.00%             | 2048-03-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3292                                                   | FREDDIE MAC FHR 3292 SB                                  | CUSIP: 31397FRP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      311342 | PA      | $26867.23       | 0.00%             | 2037-03-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 PT 144A     | CUSIP: 17332KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   117949238 | PA      | $102655656.52   | 0.75%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBRWA4 PIMCO SWAPTION 2.75 CALL USD 2026050           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   136400000 | NC      | $14458.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2026-21                                                 | FANNIE MAE FNR 2026 21 YF                                | CUSIP: 3136G5FC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13500000 | PA      | $13461855.75    | 0.10%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 8 A1 144A       | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5128938 | PA      | $5127688.95     | 0.04%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2025-1                                  | JP MORGAN SEASONED MORTGAGE TR JPSMT 2025 1 A4 144A      | CUSIP: 46659PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11055227 | PA      | $10334245.92    | 0.08%             | 2063-01-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2006-3                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 3 1A1            | CUSIP: 02660UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6357262 | PA      | $5253978.09     | 0.04%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782435 GN 09/38 FIXED 4.5                      | CUSIP: 36241KV47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      369550 | PA      | $368100.62      | 0.00%             | 2038-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8453 FR 08/54 FIXED 5.5              | CUSIP: 3132DWMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5332951 | PA      | $5364398.77     | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H16 FK           | CUSIP: 38380QKP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1957789 | PA      | $1952471.69     | 0.01%             | 2070-09-20      | Floating      | 4.23%                 | 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      | $-3961.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AE2153 G2 05/43 FIXED 3.5                   | CUSIP: 36180UMA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41502 | PA      | $38373.56       | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A B             | CUSIP: 30165BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9861628 | PA      | $9873951.53     | 0.07%             | 2029-04-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                       | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A            | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2419190 | PA      | $2431776.46     | 0.02%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                             | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A                | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12391809 | PA      | $12403837.47    | 0.09%             | 2033-04-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-47                                                 | FANNIE MAE FNR 2015 47 GI                                | CUSIP: 3136APDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68335 | PA      | $3038.29        | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-21                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 21 FJ            | CUSIP: 38383VX37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11094844 | PA      | $11037956.58    | 0.08%             | 2053-02-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2533 FR 05/49 FIXED 4                | CUSIP: 31427PY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10651052 | PA      | $10127136.77    | 0.07%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B B 144A       | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      969445 | PA      | $976090.05      | 0.01%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-90                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 90 KI            | CUSIP: 38378TA91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23897 | PA      | $283.87         | 0.00%             | 2041-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-172                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 172 IO           | CUSIP: 38380B5X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      351039 | PA      | $6702.07        | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-39                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 39 ZE            | CUSIP: 38379LDY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         170 | PA      | $116.89         | 0.00%             | 2045-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL3 A1 144A    | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4872683 | PA      | $4762656.77     | 0.03%             | 2054-11-25      | 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        |     5340038 | PA      | $4830620.59     | 0.04%             | 2047-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 GE                                | CUSIP: 3136ASTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45686 | PA      | $28897.22       | 0.00%             | 2043-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 375                                                    | FREDDIEMAC STRIP FHS 375 C1                              | CUSIP: 3133Q5AA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30751893 | PA      | $4841455.33     | 0.04%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0123 FN 12/54 FIXED VAR                      | CUSIP: 3140W0D51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1801290 | PA      | $1753730.52     | 0.01%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                   | FREDDIE MAC FHR 4851 KO                                  | CUSIP: 3137FKAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1076066 | PA      | $867877.47      | 0.01%             | 2057-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA4303 FR 01/38 FIXED 3.61             | CUSIP: 3132WYAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1732565 | PA      | $1657244.01     | 0.01%             | 2038-01-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A2               | CUSIP: 466247YN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1926720 | PA      | $1561048.25     | 0.01%             | 2035-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1527 FN 01/55 FIXED 4.5                      | CUSIP: 3140B1VV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      772014 | PA      | $750470.63      | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2026-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2026 H02 FA           | CUSIP: 38384L2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    52663447 | PA      | $53113687.63    | 0.39%             | 2076-01-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9706 FN 08/40 FIXED 4.5                      | CUSIP: 31418XYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81612 | PA      | $80316.69       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-92                                                 | FANNIE MAE FNR 2014 92 SB                                | CUSIP: 3136AMEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      386620 | PA      | $20652.21       | 0.00%             | 2045-01-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-63                                                 | FANNIE MAE FNR 2013 63 GB                                | CUSIP: 3136AENU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2661787 | PA      | $2599833.64     | 0.02%             | 2028-06-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9683 FN 10/28 FIXED 5.57                     | CUSIP: 3140LLXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3683312 | PA      | $3702678.53     | 0.03%             | 2028-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4999                                                   | FREDDIE MAC FHR 4999 SA                                  | CUSIP: 3137FV4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12007364 | PA      | $1433285.43     | 0.01%             | 2050-06-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A4 144A      | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2667309 | PA      | $2684510.93     | 0.02%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                 | FANNIE MAE FNR 2025 18 FA                                | CUSIP: 3136BU7K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2366123 | PA      | $2380485.67     | 0.02%             | 2053-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-22                                                 | FANNIE MAE FNR 2021 22 GI                                | CUSIP: 3136BFSJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5475910 | PA      | $839904.88      | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH4379 FN 05/47 FIXED 4                        | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      508048 | PA      | $486846.40      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZA5379 FR 05/48 FIXED 4                | CUSIP: 31329N6Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4499712 | PA      | $4311962.78     | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2535 FR 03/55 FIXED 5.5              | CUSIP: 31427PY99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3831267 | PA      | $3888838.27     | 0.03%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-42                                                 | FANNIE MAE FNR 2021 42 EI                                | CUSIP: 3136BGAW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14698020 | PA      | $1960493.88     | 0.01%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM1 TRUST                                                       | MFRA TRUST MFRA 2021 NQM1 M1 144A                        | CUSIP: 55283FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8966000 | PA      | $7961009.13     | 0.06%             | 2065-04-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                         | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A1 144A     | CUSIP: 81379RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6006576 | PA      | $5381515.77     | 0.04%             | 2037-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A          | CUSIP: 93364AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440239 | PA      | $390876.67      | 0.00%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2432 FR 08/55 FIXED 5.5              | CUSIP: 31427PV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1020357 | PA      | $1043163.88     | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9898000 | PA      | $-7974849.48    | -0.06%            | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                               | WATR ISSUER TRUST WATR 2025 2 B 144A                     | CUSIP: 94260AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7399000 | PA      | $7321574.94     | 0.05%             | 2050-09-16      | Fixed         | 5.04%                 | No            |                  3 | 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        |      655285 | PA      | $683496.50      | 0.01%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5067 FR 03/54 FIXED 5.5              | CUSIP: 3132DSTY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      718332 | PA      | $732428.91      | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-35                                                 | FANNIE MAE FNR 2018 35 IO                                | CUSIP: 3136B1C77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7051954 | PA      | $1178102.26     | 0.01%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 2A2        | CUSIP: 92922F7D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128145 | PA      | $118399.80      | 0.00%             | 2035-12-25      | Floating      | 4.53%                 | 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        |     9707680 | PA      | $443064.34      | 0.00%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A                          | LA HIPOTECARIA SA LHIPO 2014 1A A1 144A                  | CUSIP: 50346EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     6714620 | PA      | $6496562.12     | 0.05%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H19                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H19 FM           | CUSIP: 38382YKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2219921 | PA      | $2230741.76     | 0.02%             | 2071-12-20      | Floating      | 4.49%                 | 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        |     4933000 | PA      | $4892061.53     | 0.04%             | 2054-03-11      | Fixed         | 6.27%                 | No            |                  3 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A         | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1219968.00     | 0.01%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-6                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 6 A11 144A     | CUSIP: 161922BA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28222362 | PA      | $28329466.00    | 0.21%             | 2056-04-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A      | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1429046 | PA      | $1429747.03     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 PO                                  | CUSIP: 31398LQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15711 | PA      | $13131.76       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0868 G2 01/56 FIXED 3.5                   | CUSIP: 3618N56E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12000000 | PA      | $11014951.91    | 0.08%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A7        | CUSIP: 02149VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      752369 | PA      | $320117.74      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8627 FN 07/54 FIXED VAR                      | CUSIP: 3140XQSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2553097 | PA      | $2682978.25     | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                       | ELEVATION CLO LTD AWPT 2018 3A A2R2 144A                 | CUSIP: 28623VAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2201848.90     | 0.02%             | 2035-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCA3A2 PIMCO SWAPTION 4.75 PUT USD 20260630           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   124300000 | NC      | $111596.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   313000000 | NC      | $2624911.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-314                                                      | FREDDIEMAC STRIP FHS 314 S2                              | CUSIP: 31325UUE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6744682 | PA      | $666900.77      | 0.00%             | 2043-09-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004834 G2 10/40 FIXED 4.5                   | CUSIP: 36202FLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1327477 | PA      | $1317073.10     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q47617 FG 04/47 FIXED 3.5              | CUSIP: 3132WMPB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      853501 | PA      | $798143.04      | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2030                                                          | FREDDIE MAC FHR 2030 A                                   | CUSIP: 3133TCXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         662 | PA      | $655.77         | 0.00%             | 2028-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-7                                             | COUNTRYWIDE HOME LOANS CWHL 2007 7 A3                    | CUSIP: 12544TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4080851 | PA      | $1802249.32     | 0.01%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H01 FC           | CUSIP: 38380QUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4430153 | PA      | $4394216.73     | 0.03%             | 2070-11-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4274                                                   | FREDDIE MAC FHR 4274 MS                                  | CUSIP: 3137B5V67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2077059 | PA      | $235779.84      | 0.00%             | 2043-11-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-68                                                 | FANNIE MAE FNR 2025 68 FA                                | CUSIP: 3136BWL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24512367 | PA      | $24704783.71    | 0.18%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2021-15                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 15 AX4 144A          | CUSIP: 46654TCA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    35404485 | PA      | $1055630.75     | 0.01%             | 2052-06-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-22                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 22 ZC            | CUSIP: 38383MRW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7031280 | PA      | $4615289.48     | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WN2416 FR 05/30 FIXED 4.19             | CUSIP: 3132XGVJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20500000 | PA      | $20406693.02    | 0.15%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4181                                                   | FREDDIE MAC FHR 4181 GI                                  | CUSIP: 3137B0KH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      686203 | PA      | $26499.71       | 0.00%             | 2032-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7115 FN 02/54 FIXED VAR                      | CUSIP: 3140XN3Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27026 | PA      | $27452.57       | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5181                                                   | FREDDIE MAC FHR 5181 BI                                  | CUSIP: 3137H4T91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41356848 | PA      | $4390885.55     | 0.03%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IJ                                  | CUSIP: 3137H3BS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4237670 | PA      | $970075.47      | 0.01%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC     | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR            | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      192030 | PA      | $183868.32      | 0.00%             | 2037-03-22      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A       | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1608132 | PA      | $1634812.83     | 0.01%             | 2050-05-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF           | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1922786 | PA      | $1975929.41     | 0.01%             | 2071-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-1 ISSUER TRUST                                    | STREAM INNOVATIONS ISSUER TRUS STRE 2024 1A A 144A       | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2246101 | PA      | $2314335.31     | 0.02%             | 2044-07-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -15935000 | PA      | $-13400339.06   | -0.10%            | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7117 FR 10/54 FIXED 6                | CUSIP: 3132DU4A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      992804 | PA      | $1032872.05     | 0.01%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC2 21A4       | CUSIP: 07387UGS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3470438 | PA      | $1239208.89     | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ9921 FN 03/48 FIXED 4                        | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      508837 | PA      | $486567.60      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QO3622 FR 05/40 FIXED 5.5              | CUSIP: 3133WNAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      608441 | PA      | $621141.55      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0565 FR 01/55 FIXED 6                | CUSIP: 31427MTX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    80384624 | PA      | $83653237.79    | 0.61%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI8177 FR 06/54 FIXED 7                | CUSIP: 3133WFCN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1801211 | PA      | $1909726.95     | 0.01%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BA7937 GN 06/47 FIXED 4                        | CUSIP: 3617ALZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133770 | PA      | $126980.27      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-1                                                  | FANNIE MAE FNR 2015 1 PI                                 | CUSIP: 3136AMLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1752316 | PA      | $291882.44      | 0.00%             | 2045-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 DI                                  | CUSIP: 3137FUP57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3831953 | PA      | $764340.20      | 0.01%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0324 FR 02/55 FIXED 5.5              | CUSIP: 31427MLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      337560 | PA      | $344527.71      | 0.00%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3492 FN 10/38 FIXED 4                        | CUSIP: 31418C3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9985014 | PA      | $9783446.44     | 0.07%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6841 FN 01/54 FIXED VAR                      | CUSIP: 3140XNS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6149977 | PA      | $6381474.58     | 0.05%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5179                                                   | FREDDIE MAC FHR 5179 IO                                  | CUSIP: 3137H4YX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30529597 | PA      | $4966594.46     | 0.04%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-141                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 141 TK           | CUSIP: 38379Q4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      981487 | PA      | $646443.26      | 0.00%             | 2045-06-20      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 363                                                    | FREDDIEMAC STRIP FHS 363 C6                              | CUSIP: 31325XBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1147923 | PA      | $169090.88      | 0.00%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54461 FG 02/48 FIXED 4                | CUSIP: 3132XW5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2743058 | PA      | $2634612.65     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-38                                                 | FANNIE MAE FNR 2014 38 IH                                | CUSIP: 3136AKPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      351873 | PA      | $46558.37       | 0.00%             | 2044-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2870 FN 08/55 FIXED VAR                      | CUSIP: 3140W3FL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12225912 | PA      | $12890186.49    | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2522 G2 01/45 FIXED 4                     | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      873398 | PA      | $839093.82      | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4043                                                   | FREDDIE MAC FHR 4043 QI                                  | CUSIP: 3137APTE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55681 | PA      | $478.15         | 0.00%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-31                                                 | FANNIE MAE FNR 2018 31 SD                                | CUSIP: 3136B1XV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2699441 | PA      | $341218.79      | 0.00%             | 2048-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-50                                                 | FANNIE MAE FNR 2016 50 PI                                | CUSIP: 3136ATDT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2594273 | PA      | $569985.09      | 0.00%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RBSGC MTGE PASS THRU CERT 2007-B                                          | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A1          | CUSIP: 74927XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20236976 | PA      | $2989916.12     | 0.02%             | 2037-01-25      | Floating      | 4.09%                 | 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        |    22057078 | PA      | $10777057.40    | 0.08%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H19                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H19 FB           | CUSIP: 38380QNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8119525 | PA      | $8096043.80     | 0.06%             | 2070-11-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A           | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4032359 | PA      | $4044318.49     | 0.03%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6086 FN 10/53 FIXED VAR                      | CUSIP: 3140XMXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4827371 | PA      | $5082311.48     | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-SD1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD1 M1 144A      | CUSIP: 1266712J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1252948 | PA      | $1235526.44     | 0.01%             | 2032-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A           | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    38556167 | PA      | $38250235.81    | 0.28%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1972 FN 06/55 FIXED VAR                      | CUSIP: 3140W2FN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5453410 | PA      | $5746164.66     | 0.04%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9OQA1 PIMCO FPPSWAPTION 4.4 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    64500000 | NC      | $3960803.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                        | CARVAL CLO LTD CARVL 2019 2A AR2 144A                    | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15617509 | PA      | $15607573.33    | 0.11%             | 2032-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 116                             | CUSIP: 31325XKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      577497 | PA      | $98626.70       | 0.00%             | 2047-10-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BI1270 GN 08/48 FIXED 4                        | CUSIP: 3617HAMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      527223 | PA      | $513630.52      | 0.00%             | 2048-08-15      | Fixed         | 4.00%                 | 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        |    59425000 | PA      | $49074371.92    | 0.36%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA9495 FN 01/54 FIXED 6.5                      | CUSIP: 3140YXRR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      639409 | PA      | $677749.28      | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                     | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                      | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4701262 | PA      | $4714170.66     | 0.03%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 DF           | CUSIP: 38382Y2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   100696441 | PA      | $102136299.82   | 0.75%             | 2073-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHR-5023                                                                  | FREDDIE MAC FHR 5023 BI                                  | CUSIP: 3137FWUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17490603 | PA      | $2248296.38     | 0.02%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX6964 G2 11/46 FIXED 3.5                   | CUSIP: 36196JWZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      400357 | PA      | $372471.27      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8298 FN 04/54 FIXED 6                        | CUSIP: 3140QUGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5144610 | PA      | $5338277.77     | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI2867 FR 03/54 FIXED 6                | CUSIP: 3133W9FG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2045698 | PA      | $2128530.78     | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A       | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2287666 | PA      | $2291825.11     | 0.02%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QO2196 FR 06/39 FIXED 5.5              | CUSIP: 3133WLNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      459598 | PA      | $471511.37      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5712 G2 01/49 FIXED 5                     | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6309 | PA      | $6364.28        | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | 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        |   751537000 | PA      | $725235249.18   | 5.31%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN8717 FN 03/28 FIXED 3.02                     | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6617000 | PA      | $6495622.25     | 0.05%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-13                                                 | FANNIE MAE FNR 2017 13 SC                                | CUSIP: 3136AVFR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11774538 | PA      | $1323029.49     | 0.01%             | 2047-02-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-17                                                 | FANNIE MAE FNR 2013 17 WI                                | CUSIP: 3136ACHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      675208 | PA      | $53714.72       | 0.00%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H01 FL           | CUSIP: 38380LPU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1710418 | PA      | $1709517.50     | 0.01%             | 2068-12-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2012-R1                                      | MORGAN STANLEY REREMIC TRUST MSRR 2012 R1 1B 144A        | CUSIP: 61757SAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8051603 | PA      | $7714076.27     | 0.06%             | 2037-02-26      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                  | ANTHRACITE LTD SER 2004 HY1 CL D 144A                    | CUSIP: 03702YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5912389 | PA      | $59.12          | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-6A                                     | TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1BF 144A     | CUSIP: 87331AAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18786431 | PA      | $17471380.90    | 0.13%             | 2036-12-05      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0389 FN 01/35 FLOATING VAR                   | CUSIP: 31418MNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74216 | PA      | $75970.17       | 0.00%             | 2035-01-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                        | FANNIE MAE FNR 2020 37 IA                                | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1848420 | PA      | $348797.69      | 0.00%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32600000 | NC      | $1940951.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9244 FN 12/54 FIXED 6.5                      | CUSIP: 3140AXHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      210292 | PA      | $218941.38      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                                                   | FREDDIE MAC FHR 4142 QI                                  | CUSIP: 3137AX6D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20828 | PA      | $651.44         | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A4         | CUSIP: 02151JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2434461 | PA      | $2073521.47     | 0.02%             | 2047-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA0894 FN 12/37 FIXED 4                        | CUSIP: 3140Q77G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70260 | PA      | $68962.91       | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A  | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8269369 | PA      | $7435139.77     | 0.05%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                       | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A         | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6252115 | PA      | $6256930.12     | 0.05%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-18                                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 18 CO            | CUSIP: 38375JD69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      289710 | PA      | $279524.81      | 0.00%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8029 FN 05/55 FIXED 6                        | CUSIP: 3140B84P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      851012 | PA      | $887009.75      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/14/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $843267.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005085 G2 06/41 FIXED 6                     | CUSIP: 36202FUJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42122 | PA      | $43416.63       | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A5       | CUSIP: 02146XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8003395 | PA      | $3299901.38     | 0.02%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3798 FN 11/55 FIXED VAR                      | CUSIP: 3140W4GG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2392740 | PA      | $2489118.83     | 0.02%             | 2055-11-01      | Fixed         | 6.00%                 | 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        |      682000 | PA      | $888566.53      | 0.01%             | 2049-12-21      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-16XS                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 16XS M1         | CUSIP: 863579WV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4434436 | PA      | $4020740.26     | 0.03%             | 2035-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5167                                                   | FREDDIE MAC FHR 5167 WI                                  | CUSIP: 3137H3MA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32874180 | PA      | $2853113.92     | 0.02%             | 2046-12-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H12 FB           | CUSIP: 38383KZE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15985912 | PA      | $16193988.99    | 0.12%             | 2074-07-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BQ7172 GN 10/49 FIXED 3.5                      | CUSIP: 3617LR6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16894 | PA      | $15563.78       | 0.00%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                                                   | CROWN CASTLE TOWERS LLC ASSET BACKED 144A 07/48 4.241    | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $497012.85      | 0.00%             | 2048-07-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H16 DF           | CUSIP: 38380LG64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1111537 | PA      | $1113288.04     | 0.01%             | 2069-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-101                                                | FANNIE MAE FNR 2013 101 AS                               | CUSIP: 3136AGYM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8610449 | PA      | $1301011.29     | 0.01%             | 2043-10-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0261 G2 03/55 FIXED 6.5                   | CUSIP: 3618N5JF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      228019 | PA      | $237122.69      | 0.00%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE8092 FN 08/55 FIXED 5.5                      | CUSIP: 3140BL7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      992473 | PA      | $1012390.11     | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3        | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B         | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      813779 | PA      | $568877.57      | 0.00%             | 2037-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-68                                                 | FANNIE MAE FNR 2019 68 US                                | CUSIP: 3136B6R21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10732405 | PA      | $1402179.04     | 0.01%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1580 FR 12/54 FIXED 5.5              | CUSIP: 31425VXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1421447 | PA      | $1439068.71     | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A5         | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2781393 | PA      | $2062556.20     | 0.02%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2503 FR 06/55 FIXED 6.5              | CUSIP: 31427PX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2948762 | PA      | $3108114.11     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                   | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    74942809 | PA      | $68808517.52    | 0.50%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-151                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 151 PI           | CUSIP: 38378UUL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      393280 | PA      | $50779.61       | 0.00%             | 2043-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4156                                                   | FREDDIE MAC FHR 4156 SA                                  | CUSIP: 3137AXTT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      990728 | PA      | $80597.72       | 0.00%             | 2033-01-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP BRC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-15506.02      | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2024-1           | FREDDIE MAC   SLST SLST 2024 1 WF 144A                   | CUSIP: 35564CE45<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    38576650 | PA      | $39047679.09    | 0.29%             | 2034-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2021 NQM1 M1 144A    | CUSIP: 36262EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17128000 | PA      | $14518210.07    | 0.11%             | 2061-07-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005115 G2 07/41 FIXED 4.5                   | CUSIP: 36202FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2798982 | PA      | $2775746.63     | 0.02%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AO3522 FN 10/40 FIXED 4.5                      | CUSIP: 3138LT4G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56712 | PA      | $55885.86       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                      | ACRES PLC ACRES 2025 FL3 A 144A                          | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    26900000 | PA      | $26996632.87    | 0.20%             | 2040-08-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3493 FN 05/35 FIXED VAR                      | CUSIP: 3140X63B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4710405 | PA      | $4618458.41     | 0.03%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-1                                         | JP MORGAN MORTGAGE TRUST JPMMT 2022 1 AX4 144A           | CUSIP: 46654WCC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    59567939 | PA      | $1476903.66     | 0.01%             | 2052-07-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 EI                                  | CUSIP: 3137F7XZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18281877 | PA      | $1846034.44     | 0.01%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5470                                                   | FREDDIE MAC FHR 5470 FA                                  | CUSIP: 3137HHCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    58033910 | PA      | $58233952.66    | 0.43%             | 2054-11-25      | Floating      | 4.76%                 | 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        |     5411574 | PA      | $4706656.65     | 0.03%             | 2056-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FD           | CUSIP: 38376RLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38622 | PA      | $38684.10       | 0.00%             | 2065-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H20 BF           | CUSIP: 38375UP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      404547 | PA      | $407257.39      | 0.00%             | 2067-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QK1765 FR 07/45 FIXED 6                | CUSIP: 3133D46A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      823339 | PA      | $844225.77      | 0.01%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-428                                                       | FANNIEMAE STRIP FNS 428 C20                              | CUSIP: 31423YJU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17867291 | PA      | $3262674.37     | 0.02%             | 2048-11-25      | Fixed         | 3.50%                 | 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        |     1161620 | PA      | $1344329.54     | 0.01%             | 2031-10-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 42314                                                  | FREDDIE MAC FHR 4314 FC                                  | CUSIP: 3137B9F34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1246451 | PA      | $1235249.55     | 0.01%             | 2044-03-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0201 FN 07/54 FIXED 7                        | CUSIP: 3140AMGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      913593 | PA      | $967426.98      | 0.01%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 1A3A       | CUSIP: 07386UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16151093 | PA      | $2578751.30     | 0.02%             | 2046-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-2A                                                   | REACH FINANCIAL LLC REACH 2025 2A A 144A                 | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9195491 | PA      | $9234424.24     | 0.07%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A          | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368935 | PA      | $314984.56      | 0.00%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QF5678 FR 01/53 FIXED 6                | CUSIP: 3133BTJX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      722487 | PA      | $742034.35      | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5476 FN 09/39 FIXED 5.5                      | CUSIP: 31418FCN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106010 | PA      | $108150.74      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0377 FN 04/59 FIXED 3                        | CUSIP: 3140FXM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26178733 | PA      | $22790481.63    | 0.17%             | 2059-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5172                                                   | FREDDIE MAC FHR 5172 KI                                  | CUSIP: 3137H4PS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32288493 | PA      | $6109760.99     | 0.04%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 07/26 0.00000                              | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13203000 | PA      | $13056650.29    | 0.10%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2              | CUSIP: 3137HA4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27615000 | PA      | $27925740.55    | 0.20%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                                   | FREDDIE MAC FHR 4438 WI                                  | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      464598 | PA      | $25343.87       | 0.00%             | 2038-11-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GSMSC PASS-THROUGH TRUST 2009-6R                                          | GS MORTGAGE SECURITIES CORP. GSMSC 2009 6R 1A2 144A      | CUSIP: 36190NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2965570 | PA      | $2691578.87     | 0.02%             | 2037-06-26      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD4884 FR 02/54 FIXED 6                | CUSIP: 3132DSM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46342368 | PA      | $48520820.68    | 0.36%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-96                                                 | FANNIE MAE FNR 2020 96 IB                                | CUSIP: 3136BDWU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9814140 | PA      | $1645197.22     | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | 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        |       66798 | PA      | $41301.25       | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 345                                                    | FREDDIEMAC STRIP FHS 345 C13                             | CUSIP: 31325VRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3050279 | PA      | $498953.80      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | 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        |       80050 | PA      | $76163.30       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-45                                                 | FANNIE MAE FNR 2013 45 IK                                | CUSIP: 3136AD3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      153731 | PA      | $13011.20       | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                    | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A3 144A      | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2100000 | PA      | $2093769.93     | 0.02%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-5                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A        | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      851268 | PA      | $852887.25      | 0.01%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                                                   | FREDDIE MAC FHR 4394 WI                                  | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140491 | PA      | $7578.99        | 0.00%             | 2041-08-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                   | FREDDIE MAC FHR 5000 IA                                  | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3842310 | PA      | $598901.66      | 0.00%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4795                                                   | FREDDIE MAC FHR 4795 SL                                  | CUSIP: 3137F5RR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      988497 | PA      | $129632.13      | 0.00%             | 2048-06-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BT9206 GN 04/50 FIXED 3.5                      | CUSIP: 3617MYGP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      179089 | PA      | $164991.86      | 0.00%             | 2050-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4238                                                   | FREDDIE MAC FHR 4238 PS                                  | CUSIP: 3137B4EG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2201554 | PA      | $301623.21      | 0.00%             | 2043-08-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH1527 FR 09/53 FIXED 5                | CUSIP: 3133CDVU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2065217 | PA      | $2055515.50     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5080                                                   | FREDDIE MAC FHR 5080 IQ                                  | CUSIP: 3137FXV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4301774 | PA      | $874493.84      | 0.01%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-41                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 41 GS            | CUSIP: 38374UU41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      565482 | PA      | $29990.77       | 0.00%             | 2039-06-16      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A C             | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $10027264.00    | 0.07%             | 2030-01-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 329                                             | FANNIEMAE STRIP FNS 329 1                                | CUSIP: 3136FAWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         257 | PA      | $231.94         | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC4 M2         | CUSIP: 07384YKJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73373 | PA      | $43972.15       | 0.00%             | 2033-09-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.47600 10/21/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1691392.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 NQM1 A1 144A    | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8915835 | PA      | $8969749.32     | 0.07%             | 2069-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8AVA6 PIMCO FPPSWAPTION 4.098 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35100000 | NC      | $1419082.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -161850000 | PA      | $-155958564.51  | -1.14%            | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3         | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2074771 | PA      | $1477462.95     | 0.01%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBGAA2 PIMCO SWAPTION 3.324 CALL USD 202607           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   181400000 | NC      | $781307.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-68                                                 | FANNIE MAE FNR 2016 68 WF                                | CUSIP: 3136ATR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      637475 | PA      | $631725.05      | 0.00%             | 2046-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A3           | CUSIP: 57644UAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8854428 | PA      | $2912762.52     | 0.02%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5562 FN 11/32 FIXED 4.27                     | CUSIP: 3140Q1FC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9730000 | PA      | $9666081.49     | 0.07%             | 2032-11-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                               | WATR 2026 1 C 144A                                       | CUSIP: 990ADAAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4545000 | PA      | $4550905.14     | 0.03%             | 2051-04-19      | Fixed         | 5.81%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD0250 FR 06/48 FIXED 4                | CUSIP: 3132DMH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268309 | PA      | $257189.56      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $15800.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U50008 FG 08/30 FIXED 4.5              | CUSIP: 3132FPAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45120 | PA      | $45079.43       | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9656 FN 12/54 FIXED 5.5                      | CUSIP: 3140QVWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9904174 | PA      | $10135649.95    | 0.07%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA1729 FR 11/49 FIXED 3.5              | CUSIP: 3133KG4N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9590553 | PA      | $8960415.58     | 0.07%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAQTA1 PIMCO SWAPTION 3.632 PUT USD 2026041           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -96300000 | NC      | $-796988.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAQUA9 PIMCO SWAPTION 3.132 CALL USD 202604           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    92400000 | NC      | $8085.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-73                                                 | FANNIE MAE FNR 2014 73 MS                                | CUSIP: 3136ALMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1784873 | PA      | $182409.87      | 0.00%             | 2044-11-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0735 FN 07/55 FIXED 6.5                      | CUSIP: 3140Y6Y95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5544996 | PA      | $5876230.82     | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A A 144A                 | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2325921 | PA      | $2330006.15     | 0.02%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                                                 | FANNIE MAE FNR 2014 45 SA                                | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      387115 | PA      | $28234.01       | 0.00%             | 2044-08-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4040                                                   | FREDDIE MAC FHR 4040 PO                                  | CUSIP: 3137AQ7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13538 | PA      | $12411.79       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-5                                                  | FANNIE MAE FNR 2024 5 DI                                 | CUSIP: 3136BQ3W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21245263 | PA      | $3812757.78     | 0.03%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD3321 FN 02/55 FIXED 6.5                      | CUSIP: 3140B3VP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      629116 | PA      | $655957.75      | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC3467 FN 09/54 FIXED 6.5                      | CUSIP: 3140AQZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      304742 | PA      | $317140.62      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4930                                                          | FREDDIE MAC FHR 4930 SG                                  | CUSIP: 3137FPV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11130031 | PA      | $1784303.10     | 0.01%             | 2049-11-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA4661 FN 02/56 FIXED VAR                      | CUSIP: 3140W5FB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28731305 | PA      | $28647967.83    | 0.21%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BI6280 G2 11/48 FIXED 5                     | CUSIP: 3617HF6R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      568938 | PA      | $566255.09      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1050 FN 09/55 FIXED 6.5                      | CUSIP: 3140Y7EY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3015486 | PA      | $3192902.81     | 0.02%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7070 FN 04/51 FIXED VAR                      | CUSIP: 3140XA2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48670286 | PA      | $43733925.96    | 0.32%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2806 FR 09/55 FIXED 5.5              | CUSIP: 31427QDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      801705 | PA      | $820368.92      | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H09 FA           | CUSIP: 38384LGY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20580580 | PA      | $20737189.95    | 0.15%             | 2075-04-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-2A                                                 | T MOBILE US TRUST TMUST 2024 2A A 144A                   | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7700000 | PA      | $7714632.31     | 0.06%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5034                                                   | FREDDIE MAC FHR 5034 MI                                  | CUSIP: 3137F6K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    93573125 | PA      | $12546677.62    | 0.09%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                         | CIM TRUST CIM 2023 R4 A1 144A                            | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2046746 | PA      | $2035286.47     | 0.01%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                      | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 C 144A         | CUSIP: 78437XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6911804 | PA      | $6927590.91     | 0.05%             | 2031-04-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF           | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3719937 | PA      | $3752395.14     | 0.03%             | 2074-04-20      | Floating      | 4.46%                 | 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        |    29900000 | PA      | $29881674.29    | 0.22%             | 2043-08-20      | Floating      | 5.13%                 | 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        |     3282605 | PA      | $3288515.45     | 0.02%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC24A9 PIMCO SWAPTION 3.45 CALL USD 2026060           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -89100000 | NC      | $-222794.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 2A12          | CUSIP: 05950NBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11021 | PA      | $11067.46       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9367 FN 08/33 FIXED 4.58                     | CUSIP: 3140LLMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7368000 | PA      | $7453372.21     | 0.05%             | 2033-08-01      | Fixed         | 4.58%                 | 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        |   116200000 | PA      | $99922922.46    | 0.73%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    43200000 | NC      | $2341487.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A             | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3875247 | PA      | $3867401.33     | 0.03%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                                                 | FANNIE MAE FNR 2012 77 IO                                | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      462342 | PA      | $21145.58       | 0.00%             | 2052-07-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2016 4 M1 144A            | CUSIP: 89172UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      221174 | PA      | $220179.27      | 0.00%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8541 FN 05/33 FIXED 4.74                     | CUSIP: 3140LKP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2117875 | PA      | $2154762.96     | 0.02%             | 2033-05-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                         | OSCAR US FUNDING TRUST OSCAR 2024 2A A3 144A             | CUSIP: 68784BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2200000 | PA      | $2208407.96     | 0.02%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 5A1        | CUSIP: 45661HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109389 | PA      | $85958.15       | 0.00%             | 2036-09-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.00000 12/21/22-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $27591556.52    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0649 FN 03/48 FIXED 4                        | CUSIP: 3140H1WK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7367192 | PA      | $7056623.29     | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-86                                                        | FANNIE MAE FNR 2009 86 BO                                | CUSIP: 31398FRR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1246 | PA      | $1123.96        | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-10                                                 | FANNIE MAE FNR 2013 10 QI                                | CUSIP: 3136ACCD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268092 | PA      | $24104.58       | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A     | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6255698 | PA      | $6112007.90     | 0.04%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3241 FN 03/50 FIXED VAR                      | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19456501 | PA      | $17410537.44    | 0.13%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 B 144A        | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3731990 | PA      | $3782453.90     | 0.03%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2021 NQM1 B2 144A    | CUSIP: 36262EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2039000 | PA      | $1710432.89     | 0.01%             | 2061-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CIBC                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -27759290 | PA      | $-27817738.70   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5166 FN 10/53 FIXED 6                        | CUSIP: 31418EW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5316131 | PA      | $5438985.32     | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCQ6 PIMCO CDSOPT PUT USD 102.23437500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -225500000 | NC      | $-728658.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53876 FG 01/48 FIXED 4                | CUSIP: 3132XWJW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1390367 | PA      | $1337111.68     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD3349 FN 02/40 FIXED 5.5                      | CUSIP: 3140B3WK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100159 | PA      | $102274.36      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1591 FR 12/54 FIXED 6.5              | CUSIP: 31425VXV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      457263 | PA      | $476762.03      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3594 FN 09/55 FIXED VAR                      | CUSIP: 3140W37G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8908011 | PA      | $9426723.07     | 0.07%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                       | DOLP TRUST DOLP 2021 NYC D 144A                          | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19360000 | PA      | $16449781.57    | 0.12%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-38                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 38 A1          | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400023 | PA      | $376653.85      | 0.00%             | 2035-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P E 144A      | CUSIP: 61772WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8200000 | PA      | $7232619.76     | 0.05%             | 2038-12-15      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 426                                         | FANNIEMAE STRIP FNS 426 C23                              | CUSIP: 31422MZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11210570 | PA      | $1119780.43     | 0.01%             | 2052-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5351 FR 06/45 FIXED 6                | CUSIP: 3133KY5L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1952073 | PA      | $1993043.16     | 0.01%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-29                                                 | FANNIE MAE FNR 2019 29 WC                                | CUSIP: 3136B4UL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1667114 | PA      | $190420.56      | 0.00%             | 2048-06-25      | Variable      | 2.42%                 | 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        |     3926935 | PA      | $3634086.70     | 0.03%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4610                                                   | FREDDIE MAC FHR 4610 GI                                  | CUSIP: 3137BRHU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2486092 | PA      | $310753.34      | 0.00%             | 2045-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-55                                                 | FANNIE MAE FNR 2016 55 IP                                | CUSIP: 3136ATHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15198077 | PA      | $2336710.38     | 0.02%             | 2046-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C11                             | CUSIP: 31325YXN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22821179 | PA      | $4543153.85     | 0.03%             | 2052-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4146                                                   | FREDDIE MAC FHR 4146 US                                  | CUSIP: 3137AXGY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1144532 | PA      | $911843.58      | 0.01%             | 2042-12-15      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                   | FREDDIE MAC FHR 5060 IP                                  | CUSIP: 3137F87A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5796514 | PA      | $1052660.82     | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783294 G2 03/41 FIXED 4.5                   | CUSIP: 36241LUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1340831 | PA      | $1316020.78     | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE9727 FN 05/37 FIXED 4                        | CUSIP: 3140FVYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      515482 | PA      | $506674.48      | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 354                                                    | FREDDIEMAC STRIP FHS 354 C8                              | CUSIP: 31325WVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6211743 | PA      | $910063.58      | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                                                 | FANNIE MAE FNR 2015 50 SB                                | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10771204 | PA      | $594938.84      | 0.00%             | 2045-07-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2005-2A                                     | TABERNA PREFERED FUNDING LTD TBRNA 2005 2A A1B 144A      | CUSIP: 87330UAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1124946 | PA      | $1085573.09     | 0.01%             | 2035-11-05      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032443<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15100000 | PA      | $14538070.26    | 0.11%             | 2041-04-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-78                                                 | FANNIE MAE FNR 2022 78 FC                                | CUSIP: 3136BPHH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    74748954 | PA      | $74979599.22    | 0.55%             | 2052-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 B 144A      | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19760000 | PA      | $19812059.70    | 0.15%             | 2030-12-10      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004363 G2 02/39 FIXED 5.5                   | CUSIP: 36202EZ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9894 | PA      | $9849.73        | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004946 G2 02/41 FIXED 4.5                   | CUSIP: 36202FP75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1548401 | PA      | $1535946.05     | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7985 FN 02/47 FIXED 4                        | CUSIP: 3140FT2T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128760 | PA      | $123207.22      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                             | BWAY MORTGAGE TRUST BWAY 2021 1450 C 144A                | CUSIP: 12430YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5651290.20     | 0.04%             | 2036-09-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9QYA7 PIMCO FPPSWAPTION 4.55875 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    59900000 | NC      | $3434067.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-68                                                        | FANNIE MAE FNR 2009 68 SA                                | CUSIP: 31396QD71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43309 | PA      | $4102.93        | 0.00%             | 2039-09-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -156500000 | NC      | $-927293.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5003                                                   | FREDDIE MAC FHR 5003 DS                                  | CUSIP: 3137FVJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5409404 | PA      | $696664.20      | 0.01%             | 2050-08-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY5183 FN 06/53 FIXED 5                        | CUSIP: 3140NMXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1372513 | PA      | $1374866.94     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0262 FN 05/58 FIXED 3                        | CUSIP: 3140FXJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15358882 | PA      | $13370721.43    | 0.10%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A            | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1505475 | PA      | $1443292.09     | 0.01%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                         | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 1A         | CUSIP: 3137G1BK2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     1440523 | PA      | $1241714.87     | 0.01%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-87                                                 | FANNIE MAE FNR 2017 87 SB                                | CUSIP: 3136AYV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2591806 | PA      | $417282.56      | 0.00%             | 2047-11-25      | Floating      | 2.42%                 | 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        |      285725 | PA      | $206329.38      | 0.00%             | 2037-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8              | CREDIT BASED ASSET SERVICING A CBASS 2004 CB8 M1         | CUSIP: 59020UPR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18475 | PA      | $18461.24       | 0.00%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9EUA8 PIMCO SWAPTION 2.5 CALL USD 20260529           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   192500000 | NC      | $27104.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A           | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4520408 | PA      | $3606822.21     | 0.03%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 2A3        | CUSIP: 02150ECA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4090812 | PA      | $1780957.70     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                        | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A         | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7180783 | PA      | $7203946.95     | 0.05%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 2 A1           | CUSIP: 542514FT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      788994 | PA      | $771968.68      | 0.01%             | 2034-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4315                                                   | FREDDIE MAC FHR 4315 KS                                  | CUSIP: 3137B8JG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1330934 | PA      | $162131.14      | 0.00%             | 2041-08-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                          | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4               | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $539830.38      | 0.00%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8D7A7 PIMCO FPPSWAPTION 4.26 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $2587821.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                      | BX TRUST BX 2021 MC D 144A                               | CUSIP: 05608GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11732500 | PA      | $11590243.44    | 0.08%             | 2034-04-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 SJ                                  | CUSIP: 3137HFYB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32281792 | PA      | $2605450.49     | 0.02%             | 2054-10-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UB9XA3 PIMCO SWAPTION 3.15 CALL USD 2026060           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   173000000 | NC      | $265624.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A     | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4974025 | PA      | $4987361.27     | 0.04%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ7687 FR 11/54 FIXED 5.5              | CUSIP: 3133CYRG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3982246 | PA      | $4067377.35     | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C17                             | CUSIP: 3142G9U73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35439416 | PA      | $4724009.29     | 0.03%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4413 FN 12/47 FIXED VAR                      | CUSIP: 3140J83X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1563157 | PA      | $1538496.97     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST-2006-2                                       | SAXON ASSET SECURITIES TRUST SAST 2006 2 M1              | CUSIP: 80556XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1913952 | PA      | $1849748.77     | 0.01%             | 2036-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMM MTGE INC 2006-4                                      | BANC OF AMERICA COMMERCIAL MOR BACM 2006 4 C             | CUSIP: 05950WAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208678 | PA      | $206748.12      | 0.00%             | 2046-07-10      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A7           | CUSIP: 93935HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4903802 | PA      | $1271201.89     | 0.01%             | 2036-09-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                                 | FANNIE MAE FNR 2013 54 NI                                | CUSIP: 3136AEVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      587609 | PA      | $54926.25       | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-135                                                       | FANNIE MAE FNR 2010 135 MF                               | CUSIP: 31398SG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      498260 | PA      | $495611.55      | 0.00%             | 2040-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA3936 G2 09/46 FIXED 3                     | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      462941 | PA      | $419964.55      | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-60                                                 | FANNIE MAE FNR 2012 60 EB                                | CUSIP: 3136A6MK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1121025 | PA      | $1059886.65     | 0.01%             | 2042-06-25      | Fixed         | 4.00%                 | 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        |       16008 | PA      | $14894.99       | 0.00%             | 2044-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034         | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2            | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31686454 | PA      | $30785911.99    | 0.23%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9CVA1 PIMCO FPPSWAPTION 4.63 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35800000 | NC      | $1986982.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2368 FN 09/48 FIXED 4                        | CUSIP: 3140Q9T29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      240298 | PA      | $230244.81      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0196 FR 11/53 FIXED 6.5              | CUSIP: 3142GQGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2923886 | PA      | $3070379.17     | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A8        | CUSIP: 02147LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34946 | PA      | $18373.74       | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C9                              | CUSIP: 31325XWS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3644484 | PA      | $604515.91      | 0.00%             | 2049-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7840 FN 02/47 FIXED 4                        | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      502374 | PA      | $481515.26      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H06 FC           | CUSIP: 38382Y2C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40570825 | PA      | $40732272.55    | 0.30%             | 2071-03-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A3X 144A          | CUSIP: 46653QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    69677282 | PA      | $2076675.65     | 0.02%             | 2052-05-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2011-H01                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H01 AF           | CUSIP: 38375BJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88016 | PA      | $87967.25       | 0.00%             | 2060-11-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-AGS                                    | COMMONBOND STUDENT LOAN TRUST CBSLT 2020 AGS A 144A      | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3406755 | PA      | $3063443.30     | 0.02%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8820 FN 06/28 FIXED 4.32                     | CUSIP: 3140LKYS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3139448 | PA      | $3153673.91     | 0.02%             | 2028-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-14                                                 | FANNIE MAE FNR 2016 14 IO                                | CUSIP: 3136ARNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      942862 | PA      | $115096.95      | 0.00%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WN5207 FR 01/30 FIXED 4.95             | CUSIP: 3132XKYD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10710000 | PA      | $10812335.66    | 0.08%             | 2030-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0012 FN 11/54 FIXED VAR                      | CUSIP: 3140W0AN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7510180 | PA      | $7720222.14     | 0.06%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                                        | FANNIE MAE FNR 2006 30 HI                                | CUSIP: 31395B6Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      574597 | PA      | $64951.23       | 0.00%             | 2036-05-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-4                                                  | FANNIE MAE FNR 2022 4 PI                                 | CUSIP: 3136BLJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9784313 | PA      | $1183803.99     | 0.01%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3673 FR 01/56 FIXED 5.5              | CUSIP: 31427RCK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19325766 | PA      | $19764114.97    | 0.14%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A     | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16379254 | PA      | $15891387.95    | 0.12%             | 2059-07-25      | Fixed         | 2.75%                 | 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        |     4288371 | PA      | $5680029.56     | 0.04%             | 2049-12-21      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/21/23-3Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $643386.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-51                                                 | FANNIE MAE FNR 2023 51 BI                                | CUSIP: 3136BQPY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34291642 | PA      | $6574630.22     | 0.05%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-63                                                 | FANNIE MAE FNR 2021 63 CI                                | CUSIP: 3136BGT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8716621 | PA      | $1871634.53     | 0.01%             | 2050-04-25      | Fixed         | 3.50%                 | 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      | $691238.31      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3287 FN 11/47 FIXED 4                        | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      376098 | PA      | $360402.28      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                         | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A         | CUSIP: 3137G1BL0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     1620380 | PA      | $1428503.39     | 0.01%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A       | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1937536 | PA      | $1953783.24     | 0.01%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2026-NPL1                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL1 A1 144A    | CUSIP: 69383TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5359992 | PA      | $5320593.10     | 0.04%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3838 FN 05/49 FIXED VAR                      | CUSIP: 3140XKHQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15148189 | PA      | $14588646.15    | 0.11%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2A                                                  | FIRST HELP FINANCIAL LLC FHF 2023 2A A2 144A             | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1643814 | PA      | $1657583.83     | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-59                                                 | FANNIE MAE FNR 2016 59 BI                                | CUSIP: 3136ATPP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1571428 | PA      | $362949.90      | 0.00%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 424                                                    | FREDDIEMAC STRIP FHS 424 C5                              | CUSIP: 3133Q6X25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38608417 | PA      | $8512693.03     | 0.06%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-10                                                 | JP MORGAN REREMIC JPMRR 2009 10 2A2 144A                 | CUSIP: 46634AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1663904 | PA      | $1574288.00     | 0.01%             | 2036-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-28                                                 | FANNIE MAE FNR 2018 28 CA                                | CUSIP: 3136B1P32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      631191 | PA      | $560968.50      | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AA1052 G2 06/42 FIXED 3.5                   | CUSIP: 36177XEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37626 | PA      | $34713.94       | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2404 FR 05/55 FIXED 6                | CUSIP: 31426LU69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1626475 | PA      | $1667050.12     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A2          | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1458408 | PA      | $1458949.00     | 0.01%             | 2028-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2021-A                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2021 A AFX 144A      | CUSIP: 83405YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6584067 | PA      | $5863800.91     | 0.04%             | 2043-08-17      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3862 FN 01/38 FIXED 3                        | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3958285 | PA      | $3726563.43     | 0.03%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A           | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18937934 | PA      | $18967885.91    | 0.14%             | 2064-10-27      | Variable      | 4.55%                 | 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        |      317592 | PA      | $312647.50      | 0.00%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-LGCY                                                        | BX TRUST BX 2021 LGCY A 144A                             | CUSIP: 12434DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4995867.00     | 0.04%             | 2036-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C40                             | CUSIP: 31325YRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   125032812 | PA      | $18904269.71    | 0.14%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3123 FN 04/37 FIXED VAR                      | CUSIP: 3140J7PH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2220843 | PA      | $2194171.14     | 0.02%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-123                                                | FANNIE MAE FNR 2012 123 ES                               | CUSIP: 3136A9YV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1678265 | PA      | $1426435.25     | 0.01%             | 2042-11-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-82                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 82 TS            | CUSIP: 38379NMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      967317 | PA      | $499770.60      | 0.00%             | 2044-01-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3016 FR 10/55 FIXED 6                | CUSIP: 31427QK68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14540284 | PA      | $15136335.61    | 0.11%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2644 FR 09/55 FIXED 6.5              | CUSIP: 31427P5E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10150641 | PA      | $10702155.53    | 0.08%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF1 TRUST 2026-RCF1                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 RCF1 A1 144A    | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      951214 | PA      | $946619.77      | 0.01%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8644 G2 02/53 FIXED 3.5                   | CUSIP: 36179XS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      379689 | PA      | $352648.77      | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA83A9 PIMCO FPPSWAPTION 4.693 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    53400000 | NC      | $3088901.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                              | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2467000 | PA      | $2460291.90     | 0.02%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3005                                                   | FREDDIE MAC FHR 3005 SU                                  | CUSIP: 31395WJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85855 | PA      | $89799.01       | 0.00%             | 2033-10-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 LI                                | CUSIP: 3136ASUL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3140196 | PA      | $509210.11      | 0.00%             | 2046-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC7809 FN 04/46 FIXED 4                        | CUSIP: 3140F3VB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4721 | PA      | $4516.84        | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 2A3           | CUSIP: 23243WAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9055054 | PA      | $8748656.55     | 0.06%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5196                                                   | FREDDIE MAC FHR 5196 DI                                  | CUSIP: 3137H5WD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    59684394 | PA      | $9606215.20     | 0.07%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 7A1         | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2637 | PA      | $2655.61        | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A       | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2653218 | PA      | $2704439.84     | 0.02%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZN4377 FR 04/49 FIXED 4.5              | CUSIP: 3131YA2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295950 | PA      | $290143.63      | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                         | CIM TRUST CIM 2025 R1 A1 144A                            | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2255342 | PA      | $2233482.44     | 0.02%             | 2099-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MV7        | CUSIP: 46630LBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2683898 | PA      | $2960235.89     | 0.02%             | 2036-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                              | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1621000 | PA      | $1613967.32     | 0.01%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A3 144A       | CUSIP: 70687FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6302619 | PA      | $6321424.89     | 0.05%             | 2029-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP3                                                      | RAAC SERIES RAAC 2007 SP3 A2                             | CUSIP: 74978FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3660773 | PA      | $3709562.07     | 0.03%             | 2047-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-2PL                                                   | ACHV ABS TRUST ACHV 2024 2PL A 144A                      | CUSIP: 00092HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      780015 | PA      | $782946.47      | 0.01%             | 2031-10-27      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8D6A8 PIMCO FPPSWAPTION 4.26 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $3756945.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-84                                                 | FANNIE MAE FNR 2013 84 SD                                | CUSIP: 3136AF5K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1952748 | PA      | $1586910.91     | 0.01%             | 2043-06-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASX                                                      | VASA TRUST VASA 2021 VASX B REGS                         | CUSIP: U9223AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2419134.00     | 0.02%             | 2039-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FD           | CUSIP: 38380LCX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194971 | PA      | $194434.46      | 0.00%             | 2068-05-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3706                                                   | FREDDIE MAC FHR 3706 SK                                  | CUSIP: 3137A1AD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      798066 | PA      | $31004.08       | 0.00%             | 2040-08-15      | Floating      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2247 FR 01/55 FIXED 5.5              | CUSIP: 31427PP99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4325098 | PA      | $4423086.21     | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | 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      | $15951201.85    | 0.12%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GLOBAL MORTGAGE SECURITIZATION LTD 2005-A                                 | GLOBAL MORTGAGE SECURITIZATION GMSL 2005 A A2 144A       | CUSIP: 378961AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      300661 | PA      | $292928.96      | 0.00%             | 2032-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                                   | FREDDIE MAC FHR 5510 FA                                  | CUSIP: 3137HJMM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15111952 | PA      | $15219631.11    | 0.11%             | 2055-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5591 FN 01/40 FIXED 5.5                      | CUSIP: 31418FF93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90743 | PA      | $92574.71       | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A A2A2 144A      | CUSIP: 78448YAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      487083 | PA      | $483486.40      | 0.00%             | 2053-01-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-7                                           | JP MORGAN MORTGAGE TRUST JPMMT 2021 7 AX4 144A           | CUSIP: 46592NBV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    39895943 | PA      | $431502.55      | 0.00%             | 2051-11-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                             | FANNIEMAE STRIP FNS 418 C23                              | CUSIP: 31395Q3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21241457 | PA      | $3061608.67     | 0.02%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 226                             | CUSIP: 31325XPK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      207333 | PA      | $9397.94        | 0.00%             | 2034-05-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 D 144A        | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      559542 | PA      | $566189.57      | 0.00%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-6                                                  | FANNIE MAE FNR 2015 6 AI                                 | CUSIP: 3136AMVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148790 | PA      | $7581.73        | 0.00%             | 2034-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2269 FR 05/54 FIXED 5.5              | CUSIP: 3142GSQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1157359 | PA      | $1164360.77     | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-30                                                        | FANNIE MAE FNR 2007 30 OE                                | CUSIP: 31396VJP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      289210 | PA      | $238300.01      | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                        | BAIN CAPITAL CREDIT CLO  LIMIT BCC 2019 4A A1RR 144A     | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    31000000 | PA      | $31007576.71    | 0.23%             | 2035-04-23      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5262                                                   | FREDDIE MAC FHR 5262 FA                                  | CUSIP: 3137H95T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    56657795 | PA      | $56302001.00    | 0.41%             | 2052-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY0125 FN 05/53 FIXED 5.5                      | CUSIP: 3140NGD72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1899676 | PA      | $1933228.01     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 786378 G2 06/49 FIXED 5                     | CUSIP: 3622AB6P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6045839 | PA      | $6132818.41     | 0.04%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                       | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A            | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2800000 | PA      | $2847348.56     | 0.02%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-70                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 70 IJ            | CUSIP: 38378TNC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      423321 | PA      | $57475.58       | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U97VA2 PIMCO FPPSWAPTION 4.3075 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24900000 | NC      | $1590587.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6513 FN 08/54 FIXED 6.5                      | CUSIP: 3140AGGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1597654 | PA      | $1683874.54     | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3223                                                   | FREDDIE MAC FHR 3223 SI                                  | CUSIP: 31397BZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      492228 | PA      | $21266.70       | 0.00%             | 2032-04-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YRA8 PIMCO FPPSWAPTION 4.458 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   121400000 | NC      | $6134985.42     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2179 FR 08/54 FIXED 5.5              | CUSIP: 3133CSM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5145648 | PA      | $5247296.29     | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2528                                                          | FREDDIE MAC FHR 3326 OG                                  | CUSIP: 31397JJW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32488 | PA      | $28909.33       | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8462 FR 09/54 FIXED 5.5              | CUSIP: 3132DWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2587777 | PA      | $2602232.43     | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A               | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4390237 | PA      | $4417669.56     | 0.03%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL TA5545 FR 01/56 FIXED 5                | CUSIP: 3142JUET3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7190311 | PA      | $7169454.75     | 0.05%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-20                                                 | FANNIE MAE FNR 2019 20 QI                                | CUSIP: 3136B4NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3207812 | PA      | $525364.27      | 0.00%             | 2049-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3769 FN 11/55 FIXED VAR                      | CUSIP: 3140W4FK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28363087 | PA      | $29621390.54    | 0.22%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4804                                                   | FREDDIE MAC FHR 4804 WS                                  | CUSIP: 3137FGM51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1808584 | PA      | $218104.01      | 0.00%             | 2048-05-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-17                                                 | FANNIE MAE FNR 2016 17 CS                                | CUSIP: 3136ARWA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      468967 | PA      | $22303.92       | 0.00%             | 2046-04-25      | Floating      | 1.94%                 | No            |                  2 | 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        |       49514 | PA      | $48915.25       | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4123                                                   | FREDDIE MAC FHR 4123 IP                                  | CUSIP: 3137AUXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1416607 | PA      | $216143.00      | 0.00%             | 2042-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2                                 | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 2 A 144A        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $5422064.40     | 0.04%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783576 G2 12/41 FIXED 4.5                   | CUSIP: 36241L6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2522497 | PA      | $2501510.04     | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U97WA1 PIMCO FPPSWAPTION 4.3075 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24900000 | NC      | $1149757.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2703 FR 05/55 FIXED 6                | CUSIP: 31426MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1523672 | PA      | $1583606.04     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 377                                             | FANNIEMAE STRIP FNS 377 1                                | CUSIP: 3136FC5M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16528 | PA      | $14036.49       | 0.00%             | 2036-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB7525 FN 07/54 FIXED 6.5                      | CUSIP: 3140AHLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      814889 | PA      | $861841.67      | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                         | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A          | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7082631 | PA      | $7126770.51     | 0.05%             | 2069-07-25      | Variable      | 5.80%                 | 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        |     3937000 | PA      | $3993225.87     | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7204 FR 11/54 FIXED 5.5              | CUSIP: 3132DVAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      558383 | PA      | $571426.25      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5383                                                   | FREDDIE MAC FHR 5383 AI                                  | CUSIP: 3137HBGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37150922 | PA      | $1423515.59     | 0.01%             | 2048-08-15      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                                 | FANNIE MAE FNR 2024 77 FG                                | CUSIP: 3136BTQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    88445100 | PA      | $88752066.88    | 0.65%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-41                                                        | FANNIE MAE FNR 2008 41 S                                 | CUSIP: 31397LLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      480785 | PA      | $57402.62       | 0.00%             | 2036-11-25      | Floating      | 3.02%                 | 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        |    99736000 | PA      | $101550714.47   | 0.74%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR8765 FN 03/51 FIXED 3                        | CUSIP: 3140L7W32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      730948 | PA      | $653616.34      | 0.00%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 AI                                  | CUSIP: 3137HCXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22620596 | PA      | $991275.24      | 0.01%             | 2050-03-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4                | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1238897 | PA      | $1211204.87     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX5455 FN 01/53 FIXED 6                        | CUSIP: 3140NABZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1119046 | PA      | $1149324.91     | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNR-2021-69                                                               | FANNIE MAE FNR 2021 69 HS                                | CUSIP: 3136BJJB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6980262 | PA      | $20928.92       | 0.00%             | 2051-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 2A1            | CUSIP: 61748HVH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93758 | PA      | $88938.01       | 0.00%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4326                                                   | FREDDIE MAC FHR 4326 HZ                                  | CUSIP: 3137BABQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9176648 | PA      | $7191030.61     | 0.05%             | 2054-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8042 FN 05/55 FIXED 6                        | CUSIP: 3140B85C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1075721 | PA      | $1116930.94     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9B8A9 PIMCO FPPSWAPTION 4.43 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34900000 | NC      | $1736365.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX5670 FN 01/53 FIXED 6                        | CUSIP: 3140NAJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1561224 | PA      | $1602838.27     | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | 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        |      181000 | PA      | $173217.57      | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1           | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5204147 | PA      | $4968534.32     | 0.04%             | 2036-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2          | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      932544 | PA      | $914480.22      | 0.01%             | 2034-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 626789 GN 04/35 FIXED 5                        | CUSIP: 36291FKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64324 | PA      | $65378.58       | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A     | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $958634.75      | 0.01%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-53                                                 | FANNIE MAE FNR 2010 53 ZJ                                | CUSIP: 31398R3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103132 | PA      | $99971.98       | 0.00%             | 2040-07-25      | 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      | $427170.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA           | CUSIP: 38379FDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      647857 | PA      | $28546.44       | 0.00%             | 2042-06-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY9977 FR 08/55 FIXED 6.5              | CUSIP: 31426VCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      720038 | PA      | $763910.96      | 0.01%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                             | LUX 2023 LION LUX 2023 LION A 144A                       | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8300000 | PA      | $8351436.76     | 0.06%             | 2040-08-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4                | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1165495 | PA      | $1118268.23     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | FED FUND 30DAY    MAY26 XCBT 20260529                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2398 | NC      | $-3868451.09    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3619 FN 05/47 FIXED 4                        | CUSIP: 3140FPAV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25647163 | PA      | $24587650.16    | 0.18%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 1A1         | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2192680 | PA      | $1925342.28     | 0.01%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                    | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6           | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3080000 | PA      | $3093898.19     | 0.02%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4                                  | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M2          | CUSIP: 32027NXE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6738686 | PA      | $6629458.46     | 0.05%             | 2035-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN4368 FN 02/49 FIXED 5                        | CUSIP: 3140JL2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1826955 | PA      | $1838417.67     | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                   | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      266913 | PA      | $277569.24      | 0.00%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                 | FANNIE MAE FNR 2024 38 AF                                | CUSIP: 3136BR5A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1927736 | PA      | $1929861.74     | 0.01%             | 2047-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 433                                             | FANNIEMAE STRIP FNS 433 C13                              | CUSIP: 31423XYP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4033017 | PA      | $515791.77      | 0.00%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   345600000 | NC      | $824186.88      | 0.01%             |  |  |  | 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        |      689206 | PA      | $340693.23      | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5010                                                   | FREDDIE MAC FHR 5010 JI                                  | CUSIP: 3137FVQG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16010615 | PA      | $2679073.85     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB7673 FN 01/33 FIXED 2.5                      | CUSIP: 31417EQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2410309 | PA      | $2294982.25     | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 D 144A    | CUSIP: 46653DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $2179947.60     | 0.02%             | 2036-03-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2798675.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2640 FR 06/55 FIXED 6.5              | CUSIP: 31427P5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2432152 | PA      | $2575245.06     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN4325 FN 01/49 FIXED 4.5                      | CUSIP: 3140JLYX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1372616 | PA      | $1350261.36     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-50                                                 | FANNIE MAE FNR 2013 50 TS                                | CUSIP: 3136AD5T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3152961 | PA      | $2849130.76     | 0.02%             | 2033-01-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                      | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A      | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6216076 | PA      | $6131610.83     | 0.04%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-409                                                      | FREDDIEMAC STRIP FHS 409 C27                             | CUSIP: 3142G6NP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21113251 | PA      | $4581032.91     | 0.03%             | 2053-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-32                                                 | FANNIE MAE FNR 2018 32 SC                                | CUSIP: 3136B1A38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3063272 | PA      | $380484.36      | 0.00%             | 2048-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4153                                                   | FREDDIE MAC FHR 4153 BA                                  | CUSIP: 3137AXQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1774063 | PA      | $1739374.92     | 0.01%             | 2028-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3298 FR 11/55 FIXED 5.5              | CUSIP: 31427QUY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2068072 | PA      | $2108656.55     | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0248 FN 04/37 FIXED 4                        | CUSIP: 3140GNH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      710188 | PA      | $699418.31      | 0.01%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0836 FN 01/55 FIXED 6                        | CUSIP: 3140B04W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1411084 | PA      | $1454576.90     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                             | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   373700000 | PA      | $387294951.88   | 2.84%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF6 A1 144A    | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1876426 | PA      | $1837713.38     | 0.01%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-9                                                  | FANNIE MAE FNR 2024 9 AI                                 | CUSIP: 3136BRGW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41207833 | PA      | $6830358.98     | 0.05%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8FNA4 PIMCO FPPSWAPTION 4.245 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $3782079.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3208                                                          | FREDDIE MAC FHR 3208 FG                                  | CUSIP: 31397A6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      150640 | PA      | $149750.70      | 0.00%             | 2036-08-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 3AV3          | CUSIP: 12666TAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3627007 | PA      | $3506127.63     | 0.03%             | 2046-09-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                      | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A4         | CUSIP: 04542BKB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5194807 | PA      | $5340914.17     | 0.04%             | 2034-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-74                                                 | FANNIE MAE FNR 2024 74 IL                                | CUSIP: 3136BS3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20885822 | PA      | $4479954.42     | 0.03%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0968 FN 12/31 FIXED 4.5                      | CUSIP: 31418ACE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6070 | PA      | $6061.33        | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                        | FANNIE MAE FNR 2007 14 OP                                | CUSIP: 31396PE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1788 | PA      | $1575.78        | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9CWA0 PIMCO FPPSWAPTION 4.63 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35800000 | NC      | $2002924.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                     | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4            | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      663760 | PA      | $662386.17      | 0.00%             | 2036-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF3 A1 144A    | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      614557 | PA      | $606032.21      | 0.00%             | 2054-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 813718 FN 01/35 FLOATING VAR                   | CUSIP: 31406MAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      137323 | PA      | $141685.03      | 0.00%             | 2035-01-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 BF                                  | CUSIP: 3137HCXW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1000488 | PA      | $1003849.26     | 0.01%             | 2049-04-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                                 | FANNIE MAE FNR 2016 76 CS                                | CUSIP: 3136ATY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157999 | PA      | $6799.11        | 0.00%             | 2046-10-25      | Floating      | 1.87%                 | 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        |     1030770 | PA      | $964817.71      | 0.01%             | 2051-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG7048 FR 07/53 FIXED 5                | CUSIP: 3133C7ZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1279909 | PA      | $1269259.43     | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                                   | FREDDIE MAC FHR 4136 SE                                  | CUSIP: 3137AWM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      977436 | PA      | $122053.14      | 0.00%             | 2042-11-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 770823 G2 01/42 FIXED 4.5                   | CUSIP: 36176ND40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103328 | PA      | $101189.25      | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | 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        |     7037000 | PA      | $7015559.11     | 0.05%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4748                                                   | FREDDIE MAC FHR 4748 DF                                  | CUSIP: 3137FCZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1479970 | PA      | $1442168.88     | 0.01%             | 2047-08-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL1 A1 144A    | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1791857 | PA      | $1743867.14     | 0.01%             | 2069-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8067 FN 05/55 FIXED 6                        | CUSIP: 3140B86D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      829497 | PA      | $862174.45      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-172                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 172 GF           | CUSIP: 38383BXZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2951247 | PA      | $2962008.64     | 0.02%             | 2055-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2004-WCW1                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW1 M3              | CUSIP: 70069FAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128292 | PA      | $126452.98      | 0.00%             | 2034-09-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-143                                                | FANNIE MAE FNR 2012 143 AI                               | CUSIP: 3136AAS48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1146667 | PA      | $87208.18       | 0.00%             | 2033-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 4A          | CUSIP: 74958XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74505 | PA      | $64809.57       | 0.00%             | 2037-04-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-9                                           | JP MORGAN MORTGAGE TRUST JPMMT 2024 9 A11 144A           | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6255362 | PA      | $6271232.95     | 0.05%             | 2055-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G08789 FG 11/47 FIXED 4                | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1966391 | PA      | $1891876.79     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                   | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   120289417 | PA      | $111318843.33   | 0.82%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCO X MORTGAGE LLC 2025-5                                                 | RCO MORTGAGE LLC RCO 2025 5 A1 144A                      | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4399459 | PA      | $4391059.57     | 0.03%             | 2030-10-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-8                                                  | FANNIE MAE FNR 2015 8 AS                                 | CUSIP: 3136AMUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14362770 | PA      | $1740115.65     | 0.01%             | 2045-03-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1216 FN 10/55 FIXED 5.5                      | CUSIP: 3140Y7K64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5973603 | PA      | $6089154.04     | 0.04%             | 2055-10-01      | Fixed         | 5.50%                 | 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        |     1770324 | PA      | $1765017.57     | 0.01%             | 2050-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                        | BAIN CAPITAL CREDIT CLO LIMIT BCC 2021 3A AR 144A        | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11600000 | PA      | $11607771.54    | 0.09%             | 2034-07-24      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A          | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15035000 | PA      | $14962644.06    | 0.11%             | 2035-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A Z 144A                       | CUSIP: ACI2SNZ44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     7775000 | PA      | $8801368.13     | 0.06%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                          | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A    | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28500000 | PA      | $28518434.09    | 0.21%             | 2034-07-20      | Floating      | 4.76%                 | 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     | 0.03%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5080                                                   | FREDDIE MAC FHR 5080 IP                                  | CUSIP: 3137FXV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3260162 | PA      | $560343.26      | 0.00%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES3                                       | TOWD POINT MORTGAGE TRUST TPMT 2025 CES3 A1A 144A        | CUSIP: 891949BU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15896915 | PA      | $15890713.80    | 0.12%             | 2065-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-101                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 101 IK           | CUSIP: 38384CBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18425912 | PA      | $2073512.05     | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A3 144A          | CUSIP: 36270YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2875577 | PA      | $2878848.79     | 0.02%             | 2028-07-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H09 FL           | CUSIP: 38380QAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      436760 | PA      | $444736.41      | 0.00%             | 2070-05-20      | Floating      | 4.93%                 | 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        |    85420192 | PA      | $86193526.79    | 0.63%             | 2055-12-25      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8550 FN 05/33 FIXED 4.49                     | CUSIP: 3140LKQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4005000 | PA      | $4017845.36     | 0.03%             | 2033-05-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H18 NA           | CUSIP: 38375BUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60762 | PA      | $60785.70       | 0.00%             | 2062-08-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 423                                             | FANNIEMAE STRIP FNS 423 C5                               | CUSIP: 31397VXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7800680 | PA      | $1165938.75     | 0.01%             | 2047-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                             | CUSIP: 21H032639<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   271000000 | PA      | $248690813.88   | 1.82%             | 2056-03-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A3 144A     | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11575505 | PA      | $11586480.65    | 0.08%             | 2029-01-10      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAS3A5 PIMCO SWAPTION 4.104 PUT USD 2027101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24500000 | NC      | $59177.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3752                                                   | FREDDIE MAC FHR 3752 XL                                  | CUSIP: 3137A2XC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115061 | PA      | $114184.23      | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4731                                                   | FREDDIE MAC FHR 4731 TK                                  | CUSIP: 3137FBQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      339275 | PA      | $270369.45      | 0.00%             | 2042-10-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4130                                                   | FREDDIE MAC FHR 4130 AI                                  | CUSIP: 3137AVY43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      742673 | PA      | $11228.10       | 0.00%             | 2027-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2607 FR 05/55 FIXED 6                | CUSIP: 31426L3R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2569601 | PA      | $2668039.70     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WELLS FARGO REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -1012449995 | PA      | $-1014576140.01 | -7.43%            |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                               | OCEAN TRAILS CLO OCTR 2020 10A BR2 144A                  | CUSIP: 67516CAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1400000 | PA      | $1401400.62     | 0.01%             | 2034-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-80                                                 | FANNIE MAE FNR 2012 80 HI                                | CUSIP: 3136A7VH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2043297 | PA      | $142248.81      | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A      | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3300000 | PA      | $3339520.14     | 0.02%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WELLS FARGO REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -14233623 | PA      | $-14251604.88   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A        | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2306502 | PA      | $2318986.38     | 0.02%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7107 FN 09/53 FIXED 5.5                      | CUSIP: 3140QS3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5475850 | PA      | $5629246.66     | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-AR8                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR8 A1         | CUSIP: 94985YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1769979 | PA      | $1638603.90     | 0.01%             | 2037-11-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 63 ZJ            | CUSIP: 38383RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4516331 | PA      | $2904794.64     | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                          | FREDDIE MAC FHR 3136 CO                                  | CUSIP: 31396NGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         803 | PA      | $706.57         | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                          | FREDDIE MAC FHR 2400 PO                                  | CUSIP: 31339NBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1655 | PA      | $1552.53        | 0.00%             | 2032-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 C 144A        | CUSIP: 69545GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6999265 | PA      | $7013716.85     | 0.05%             | 2032-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 252                             | CUSIP: 31325XQG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      345328 | PA      | $47864.25       | 0.00%             | 2049-05-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BRIGHTSPIRE CAPITAL, INC 26-FL3                                           | BRIGHTSPIRE CAPITAL  INC BRSP 2026 FL3 A 144A            | CUSIP: 116686AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    20800000 | PA      | $20761968.45    | 0.15%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018                                                    | FANNIE MAE FNR 2018 25 SA                                | CUSIP: 3136B1VD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4553888 | PA      | $562598.67      | 0.00%             | 2048-04-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                        | INDIGO CREDIT MANAGEMENT INDI 2A B 144A                  | CUSIP: ACI2RZXL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2315522.84     | 0.02%             | 2038-07-15      | Floating      | 4.12%                 | 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        |    81816425 | PA      | $69051712.91    | 0.51%             | 2064-09-25      | Variable      | 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        |    76849215 | PA      | $78156197.63    | 0.57%             | 2065-04-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1767 FN 02/55 FIXED 6                        | CUSIP: 3140B16D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      670130 | PA      | $690784.13      | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 SN                                  | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7793229 | PA      | $929183.58      | 0.01%             | 2050-05-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   128700000 | PA      | $113061913.97   | 0.83%             | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 4 M1             | CUSIP: 126670WV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2807043 | PA      | $2799073.23     | 0.02%             | 2036-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 AO                                  | CUSIP: 31398LQK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42902 | PA      | $37052.82       | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                      | GSAMP TRUST GSAMP 2005 HE4 M4                            | CUSIP: 362341KF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4400000 | PA      | $4195670.16     | 0.03%             | 2045-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 20 NS            | CUSIP: 38381RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18702557 | PA      | $338867.89      | 0.00%             | 2049-02-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 SX                                  | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   101435156 | PA      | $3920864.37     | 0.03%             | 2048-11-15      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3           | CUSIP: 759950GV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6712116 | PA      | $2856469.04     | 0.02%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-37                                                 | FANNIE MAE FNR 2017 37 IA                                | CUSIP: 3136AWGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1028540 | PA      | $174120.04      | 0.00%             | 2046-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -37892479 | PA      | $-37972053.21   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2507.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 60 SQ            | CUSIP: 38376UFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1104018 | PA      | $76352.25       | 0.00%             | 2040-02-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A        | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1059148 | PA      | $1062984.49     | 0.01%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1361 FN 04/55 FIXED VAR                      | CUSIP: 3140W1QP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3621798 | PA      | $3704039.56     | 0.03%             | 2055-04-01      | Fixed         | 5.50%                 | 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        |      601717 | PA      | $602336.78      | 0.00%             | 2031-07-15      | Floating      | 4.99%                 | 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        |     1129150 | PA      | $1131888.66     | 0.01%             | 2036-11-15      | Floating      | 5.14%                 | 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        |         186 | PA      | $40712.68       | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | 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        |       11005 | PA      | $10519.62       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD2255 FR 01/53 FIXED 6                | CUSIP: 3132DPQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16472810 | PA      | $16911054.19    | 0.12%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54304 FG 02/48 FIXED 4.5              | CUSIP: 3132XWYA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      491796 | PA      | $484771.45      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                      | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 2A3        | CUSIP: 40431JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3182504 | PA      | $2881690.58     | 0.02%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                          | NAVIENT STUDENT LOAN TRUST NAVSL 2019 D A2B 144A         | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      823309 | PA      | $824215.82      | 0.01%             | 2059-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                          | NELNET STUDENT LOAN TRUST NSLT 2026 A A1B 144A           | CUSIP: 64032UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16265749 | PA      | $16351791.72    | 0.12%             | 2061-02-21      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A B 144A           | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6100000 | PA      | $6128937.79     | 0.04%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2005-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 1 AF5           | CUSIP: 759950FF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5226935 | PA      | $5219490.39     | 0.04%             | 2035-05-25      | Variable      | 5.95%                 | 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        |     1655143 | PA      | $1652615.57     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-203-215                                                  | FREDDIEMAC STRIP FHS 215 PO                              | CUSIP: 3128CVPV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77164 | PA      | $72992.69       | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV1 TRUST                                                      | GCAT GCAT 2024 INV1 2A2 144A                             | CUSIP: 36831BBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4887865 | PA      | $5009688.76     | 0.04%             | 2054-01-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-ECC1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 ECC1 M1          | CUSIP: 126673AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      780555 | PA      | $774751.34      | 0.01%             | 2034-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-4                                                  | FANNIE MAE FNR 2013 4 JC                                 | CUSIP: 3136ACGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1845449 | PA      | $1811966.69     | 0.01%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                              | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR B 144A        | CUSIP: 12564NAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4939375.00     | 0.04%             | 2038-11-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0306 FR 09/36 FIXED 4.49             | CUSIP: 3132WRKH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      522610 | PA      | $514187.78      | 0.00%             | 2036-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-3                                            | CSAB MORTGAGE BACKED TRUST CSAB 2006 3 A1A               | CUSIP: 12628KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56650 | PA      | $6745.24        | 0.00%             | 2036-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC23A0 PIMCO SWAPTION 4.75 PUT USD 20261207           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   166300000 | NC      | $781792.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FB           | CUSIP: 38376RMD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      509946 | PA      | $511331.39      | 0.00%             | 2065-11-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-145                                                | FANNIE MAE FNR 2012 145 TZ                               | CUSIP: 3136AAZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         303 | PA      | $212.01         | 0.00%             | 2043-01-25      | Fixed         | 3.00%                 | 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      | $-19287513.59   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2304 G2 10/44 FIXED 4                     | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      528928 | PA      | $508201.51      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | 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        |     1291367 | PA      | $1295014.17     | 0.01%             | 2066-08-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H05 FJ           | CUSIP: 38380QF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      833979 | PA      | $836224.15      | 0.01%             | 2071-03-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3233                                                   | FREDDIE MAC FHR 3233 OP                                  | CUSIP: 31397BYN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2449 | PA      | $2058.17        | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4104                                                   | FREDDIE MAC FHR 4104 F                                   | CUSIP: 3137ATT36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      913159 | PA      | $898223.38      | 0.01%             | 2042-09-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                   | ICG US CLO LTD ICG 2015 2RA A1R 144A                     | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3786355 | PA      | $3789266.19     | 0.03%             | 2033-01-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                             | FANNIEMAE STRIP FNS 440 C54                              | CUSIP: 31424U8J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   144784932 | PA      | $31191049.76    | 0.23%             | 2053-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA9185 FN 06/54 FIXED 6.5                      | CUSIP: 3140YXF30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      630261 | PA      | $668862.57      | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 1A1A        | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16710332 | PA      | $7699992.33     | 0.06%             | 2035-10-19      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8543 FN 07/54 FIXED VAR                      | CUSIP: 3140XQP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10400955 | PA      | $10970994.48    | 0.08%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                  | FANNIE MAE FNR 2013 6 ES                                 | CUSIP: 3136ABL84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1229441 | PA      | $1075236.78     | 0.01%             | 2033-02-25      | Floating      | 0.37%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-INV2                                          | SEQUOIA MORTGAGE TRUST SEMT 2026 INV2 A26F 144A          | CUSIP: 81750PBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    73800000 | PA      | $73981850.58    | 0.54%             | 2056-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                             | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                  | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5093400 | PA      | $4182343.25     | 0.03%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   119400000 | NC      | $6257025.66     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0421 FR 02/55 FIXED 6                | CUSIP: 31427MPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15507131 | PA      | $16161160.35    | 0.12%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB5778 FN 12/52 FIXED 6                        | CUSIP: 3140QRM42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17565761 | PA      | $18023339.87    | 0.13%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4779 FN 10/42 FIXED 4                        | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54958 | PA      | $53685.13       | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1729 FR 06/54 FIXED 6.5              | CUSIP: 3142GR4P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      929295 | PA      | $961939.91      | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                                   | FREDDIE MAC FHR 4068 DS                                  | CUSIP: 3137ARMT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4460380 | PA      | $471864.45      | 0.00%             | 2042-06-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4573                                                   | FREDDIE MAC FHR 4573 IO                                  | CUSIP: 3137BP6Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4769700 | PA      | $679184.25      | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | 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        |     2697178 | PA      | $1916062.64     | 0.01%             | 2037-03-25      | Floating      | 5.84%                 | 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        |       11100 | PA      | $10697.34       | 0.00%             | 2034-05-25      | Floating      | 6.43%                 | 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        |      557899 | PA      | $561962.95      | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3954                                                   | FREDDIE MAC FHR 3954 PD                                  | CUSIP: 3137AJ3V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      508130 | PA      | $483204.79      | 0.00%             | 2041-07-15      | Fixed         | 2.00%                 | 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        |    35800000 | PA      | $35547729.57    | 0.26%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9212 FN 08/33 FIXED 5.11                     | CUSIP: 3140LLGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1066089 | PA      | $1105474.98     | 0.01%             | 2033-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2259                                                          | FREDDIE MAC FHR 2259 PO                                  | CUSIP: 3133TQAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4305 | PA      | $4024.93        | 0.00%             | 2030-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2381 FR 06/51 FIXED 3                | CUSIP: 3133ALUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      653589 | PA      | $585396.76      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2596 FR 01/55 FIXED 6                | CUSIP: 31425W3E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1386907 | PA      | $1425698.50     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-6                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 6 1A           | CUSIP: 54251RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7952506 | PA      | $5689874.86     | 0.04%             | 2036-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-96                                                 | FANNIE MAE FNR 2021 96 GI                                | CUSIP: 3136BKYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25271719 | PA      | $4416874.79     | 0.03%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                        | BX TRUST BX 2021 BXMF D 144A                             | CUSIP: 05609RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2864903 | PA      | $2862138.63     | 0.02%             | 2026-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF9                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF9 M1           | CUSIP: 32027NVZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4988028 | PA      | $6074171.58     | 0.04%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                              | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A               | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2087715 | PA      | $2090384.41     | 0.02%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                            | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                  | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21200000 | PA      | $21218017.67    | 0.16%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010         | BANC OF CALIFORNIA MULTIFAMILY FHMS Q010 APT3            | CUSIP: 3137FMUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      867434 | PA      | $861825.21      | 0.01%             | 2046-10-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                      | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4        | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5095196 | PA      | $5137910.06     | 0.04%             | 2035-12-25      | Floating      | 4.87%                 | 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        |     2300000 | PA      | $2277420.90     | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 B            | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9500000 | PA      | $9558419.30     | 0.07%             | 2029-09-17      | Fixed         | 4.93%                 | 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        |     1861660 | PA      | $1859532.91     | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9758 FN 01/55 FIXED 5.5                      | CUSIP: 3140AXZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      989947 | PA      | $1004573.66     | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5835 FN 08/45 FIXED 6                        | CUSIP: 31418FPV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      817116 | PA      | $837995.97      | 0.01%             | 2045-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD4488 FN 04/55 FIXED 6                        | CUSIP: 3140B47A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4346070 | PA      | $4508092.90     | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-2X                                            | SLM STUDENT LOAN TR 04 2 ASSET BACKED REGS 07/39 VAR     | CUSIP: B00KKMII6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      558150 | PA      | $609264.29      | 0.00%             | 2039-07-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2018-DA                                        | NAVIENT STUDENT LOAN TRUST NAVSL 2018 DA A2A 144A        | CUSIP: 63940UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1270938 | PA      | $1265267.76     | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                           | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A     | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5500000 | PA      | $5501803.23     | 0.04%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM2 A1 144A    | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4937737 | PA      | $4948598.61     | 0.04%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8509 FN 12/46 FIXED 3                        | CUSIP: 3138WJN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4943297 | PA      | $4504629.67     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | 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      | $-9544.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2643 FR 09/55 FIXED 6.5              | CUSIP: 31427P5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6270400 | PA      | $6614837.70     | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD6458 FN 06/40 FIXED 4.5                      | CUSIP: 31418UE83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60918 | PA      | $60775.31       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-75                                                 | FANNIE MAE FNR 2020 75 WI                                | CUSIP: 3136BCJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36033060 | PA      | $5635794.06     | 0.04%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                | FANNIE MAE FNR 2012 138 AI                               | CUSIP: 3136AAEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      264620 | PA      | $2971.36        | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4999                                                   | FREDDIE MAC FHR 4999 DS                                  | CUSIP: 3137FV3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8134895 | PA      | $777397.42      | 0.01%             | 2043-03-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| AYRESOME CDO I LTD                                                        | AYRESOME CDO LTD AYRES 2005 1A A3 144A                   | CUSIP: 05473WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2266377 | PA      | $545517.03      | 0.00%             | 2045-12-08      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT7698 FN 06/43 FIXED 4                        | CUSIP: 3138WVRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15173 | PA      | $14653.00       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C45                             | CUSIP: 31325YRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    97426310 | PA      | $16343585.97    | 0.12%             | 2052-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4134                                                   | FREDDIE MAC FHR 4134 SC                                  | CUSIP: 3137AW2L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      297157 | PA      | $156659.00      | 0.00%             | 2042-11-15      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54654 FG 03/48 FIXED 4                | CUSIP: 3132XXE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      149231 | PA      | $143184.11      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -47000000 | NC      | $-147829.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5184                                                   | FREDDIE MAC FHR 5184 LI                                  | CUSIP: 3137H4UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14634382 | PA      | $2753359.51     | 0.02%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR-2020-46                                                               | FANNIE MAE FNR 2020 46 AI                                | CUSIP: 3136BAXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15170780 | PA      | $2285672.13     | 0.02%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 244                                                    | FREDDIEMAC STRIP FHS 244 PO                              | CUSIP: 3128HWJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      114444 | PA      | $101244.23      | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS4                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS4 M4          | CUSIP: 76110WU95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2272912 | PA      | $2246136.42     | 0.02%             | 2035-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                                 | FANNIE MAE FNR 2020 47 SA                                | CUSIP: 3136BATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16012766 | PA      | $1882020.38     | 0.01%             | 2050-07-25      | Floating      | 2.32%                 | 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        |     3074823 | PA      | $3081892.79     | 0.02%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9502.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 22                                              | FANNIEMAE STRIP FNS 422 65                               | CUSIP: 31397VQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101770 | PA      | $16689.87       | 0.00%             | 2045-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9690 FN 10/28 FIXED 4.9                      | CUSIP: 3140LLXU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3038149 | PA      | $3086187.25     | 0.02%             | 2028-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-19                                            | GSAA HOME EQUITY TRUST GSAA 2006 19 A3A                  | CUSIP: 362244AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5870825 | PA      | $1980377.18     | 0.01%             | 2036-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES11                                            | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES11 A1A 144A     | CUSIP: 749423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13356809 | PA      | $13290858.54    | 0.10%             | 2055-11-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA6599 G2 04/50 FIXED 3                     | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11584978 | PA      | $10381011.51    | 0.08%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 C 144A      | CUSIP: 14687WAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8558000 | PA      | $8574141.24     | 0.06%             | 2030-12-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8166 FN 03/37 FIXED 4                        | CUSIP: 3140FUCC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      613486 | PA      | $597646.24      | 0.00%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                     | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A       | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2179899 | PA      | $2225726.69     | 0.02%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 LI                                  | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44005210 | PA      | $10197085.33    | 0.07%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA3 1A1        | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      213886 | PA      | $196695.12      | 0.00%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8UEA1 PIMCO SWAPTION 5.0 PUT USD 20260331            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    93000000 | NC      | $9.30           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-5                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 1A4           | CUSIP: 17307GXW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      241736 | PA      | $225700.65      | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5526                                                   | FREDDIE MAC FHR 5526 AI                                  | CUSIP: 3137HKSQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24259916 | PA      | $5424189.77     | 0.04%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0279 FN 04/55 FIXED 6.5                      | CUSIP: 3140Y6JZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22609868 | PA      | $23838355.43    | 0.17%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL4308 FR 02/56 FIXED 5                | CUSIP: 31427RYE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15339629 | PA      | $15295134.95    | 0.11%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H08 KF           | CUSIP: 38383KYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6686322 | PA      | $6766416.49     | 0.05%             | 2074-05-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3805                                                   | FREDDIE MAC FHR 3805 SC                                  | CUSIP: 3137A7D56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77059 | PA      | $62526.12       | 0.00%             | 2041-02-15      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/22/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3876243.61     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A      | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2671000 | PA      | $380557.94      | 0.00%             | 2036-05-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-12                                                 | FANNIE MAE FNR 2018 12 IO                                | CUSIP: 3136B03F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7968798 | PA      | $1728319.09     | 0.01%             | 2048-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1747 FN 01/55 FIXED 5.5                      | CUSIP: 3140B15H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      490722 | PA      | $497971.90      | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4864 FN 01/43 FIXED 4                        | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      325233 | PA      | $317882.20      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D C 144A                         | CUSIP: 22411JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8700000 | PA      | $8712232.20     | 0.06%             | 2031-01-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4203                                                   | FREDDIE MAC FHR 4203 US                                  | CUSIP: 3137B2EV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      632617 | PA      | $540200.39      | 0.00%             | 2033-05-15      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U98VA0 PIMCO FPPSWAPTION 4.285 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35400000 | NC      | $2283685.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS0167 FN 08/33 FIXED 4                        | CUSIP: 3138W9FH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329322 | PA      | $323679.68      | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2144 FR 02/54 FIXED 6.5              | CUSIP: 31427PL28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3489311 | PA      | $3662206.32     | 0.03%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-26                                                 | FANNIE MAE FNR 2017 26 LS                                | CUSIP: 3136AWDP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4391010 | PA      | $572399.76      | 0.00%             | 2047-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-53                                                 | FANNIE MAE FNR 2021 53 NI                                | CUSIP: 3136BGNB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22091929 | PA      | $3677981.44     | 0.03%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A  | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8790539 | PA      | $7819086.19     | 0.06%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005082 G2 06/41 FIXED 4.5                   | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6243104 | PA      | $6157128.98     | 0.05%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-90                                                 | FANNIE MAE FNR 2017 90 IW                                | CUSIP: 3136AYRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5193535 | PA      | $769759.22      | 0.01%             | 2047-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-88                                                 | FANNIE MAE FNR 2016 88 PI                                | CUSIP: 3136AUTM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3249928 | PA      | $437547.26      | 0.00%             | 2046-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN           | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45426 | PA      | $45434.75       | 0.00%             | 2067-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $124011.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004747 G2 07/40 FIXED 5                     | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3094 | PA      | $3154.66        | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                    | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE C 144A       | CUSIP: 36258BAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3355968 | PA      | $3313928.85     | 0.02%             | 2036-12-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0892 FN 04/37 FIXED 4                        | CUSIP: 3140GN7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      983911 | PA      | $969823.14      | 0.01%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                   | FREDDIE MAC   STACR STACR 2022 DNA3 M1B 144A             | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10900000 | PA      | $11100488.06    | 0.08%             | 2042-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H12 FC           | CUSIP: 38383KZF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7685773 | PA      | $7806910.12     | 0.06%             | 2074-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C21                              | CUSIP: 31424QKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9090262 | PA      | $1134128.38     | 0.01%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0715 FN 12/40 FIXED VAR                      | CUSIP: 31419AYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      977020 | PA      | $944366.37      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9749 FN 01/55 FIXED 5.5                      | CUSIP: 3140AXZP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1931308 | PA      | $1971877.52     | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                                 | FANNIE MAE FNR 2015 19 IP                                | CUSIP: 3136ANJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6727795 | PA      | $1126574.66     | 0.01%             | 2045-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -645750000 | PA      | $-647891855.89  | -4.74%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 AF           | CUSIP: 38383KEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7106046 | PA      | $7230925.09     | 0.05%             | 2073-08-20      | Floating      | 4.79%                 | 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        |        3010 | PA      | $40029.63       | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                  | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A2 144A     | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2617604.60     | 0.02%             | 2036-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5588 FN 12/32 FIXED 4.35                     | CUSIP: 3140Q1F62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6018000 | PA      | $6000758.31     | 0.04%             | 2032-12-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-110                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 110 IO           | CUSIP: 38376GTH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      607257 | PA      | $1367.66        | 0.00%             | 2050-05-16      | Variable      | 0.30%                 | 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        |     4573064 | PA      | $4456544.07     | 0.03%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-105                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 105 WF           | CUSIP: 38381NKM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46013956 | PA      | $46278411.69    | 0.34%             | 2055-06-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK6297 FN 03/42 FIXED 4                        | CUSIP: 3138EA7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37408 | PA      | $36178.69       | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | 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        |     1797801 | PA      | $1617940.62     | 0.01%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3149                                                          | FREDDIE MAC FHR 3149 OD                                  | CUSIP: 31396RH59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54740 | PA      | $48231.68       | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0726 FN 01/55 FIXED VAR                      | CUSIP: 3140W0YY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13407310 | PA      | $14157057.72    | 0.10%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                   | ACHV ABS TRUST ACHV 2025 1PL A 144A                      | CUSIP: 00112MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      679496 | PA      | $680793.88      | 0.00%             | 2032-04-26      | Fixed         | 4.76%                 | 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        |      767271 | PA      | $783174.94      | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57000000 | NC      | $2926608.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2020-PJ6                         | GS MORTGAGE BACKED SECURITIES GSMBS 2020 PJ6 AX4 144A    | CUSIP: 36260RAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    14895924 | PA      | $197292.05      | 0.00%             | 2051-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7X                                            | SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS   | CUSIP: 763369II8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      468291 | PA      | $510881.49      | 0.00%             | 2033-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN5883 FN 03/49 FIXED 5                        | CUSIP: 3140JNRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      503768 | PA      | $503512.32      | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5321 G2 07/48 FIXED 4.5                   | CUSIP: 36179T4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      325392 | PA      | $316960.05      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES1                                       | TOWD POINT MORTGAGE TRUST TPMT 2026 CES1 A1 144A         | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8988737 | PA      | $8939264.04     | 0.07%             | 2066-01-25      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 RF4 A 144A      | CUSIP: 86359DQB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      447452 | PA      | $398086.53      | 0.00%             | 2035-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AW5306 G2 11/46 FIXED 3.5                   | CUSIP: 36195T3P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      690990 | PA      | $643128.43      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A       | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2524560 | PA      | $2532554.69     | 0.02%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZS9809 FR 09/45 FIXED 4.5              | CUSIP: 3132AA3S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      629279 | PA      | $621752.76      | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM3 A1 144A    | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6403950 | PA      | $6449647.67     | 0.05%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-4A                                            | MARLETTE FUNDING TRUST MFT 2023 4A A 144A                | CUSIP: 57108UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1243615 | PA      | $1250833.63     | 0.01%             | 2033-12-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SNE1 PIMCO CDSOPT CALL USD 94.81250000 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -86000000 | NC      | $-103578.40     | -0.00%            |  |  |  | No            |                  2 | 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        |    19300000 | PA      | $19322286.87    | 0.14%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5096                                                   | FREDDIE MAC FHR 5096 NI                                  | CUSIP: 3137FYS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28668345 | PA      | $4701935.46     | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0776 FN 06/31 FIXED 4.5                      | CUSIP: 31417Y2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16280 | PA      | $16288.83       | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5129                                                   | FREDDIE MAC FHR 5129 CI                                  | CUSIP: 3137H1NP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49772391 | PA      | $6804856.45     | 0.05%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                             | FANNIEMAE STRIP FNS 440 C36                              | CUSIP: 31424U7Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    74863475 | PA      | $11343887.25    | 0.08%             | 2052-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1         | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8958 | PA      | $9095.25        | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                         | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A       | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3683383.85     | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA           | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      687760 | PA      | $38582.41       | 0.00%             | 2042-06-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD6416 FN 04/55 FIXED 6.5                      | CUSIP: 3140B7DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6010375 | PA      | $6219183.83     | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVII LTD                                                 | SOUND POINT CLO LTD SNDPT 2020 2A AR 144A                | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10400000 | PA      | $10414142.54    | 0.08%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A        | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4247375 | PA      | $4252311.22     | 0.03%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G67722 FG 03/49 FIXED 5                | CUSIP: 3132XCSK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14146616 | PA      | $14272177.79    | 0.10%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H07 FA           | CUSIP: 38382YY98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31775555 | PA      | $32151901.85    | 0.24%             | 2073-03-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-6 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 6 A1 144A       | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7720631 | PA      | $7709829.82     | 0.06%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A R 144A                       | CUSIP: ACI2SPFW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      312679 | PA      | $398141.21      | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5174                                                   | FREDDIE MAC FHR 5174 IN                                  | CUSIP: 3137H4MC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15423944 | PA      | $2187544.11     | 0.02%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 SA                                  | CUSIP: 3137HFY66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    45215508 | PA      | $3084859.67     | 0.02%             | 2054-09-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5560 FN 11/32 FIXED 4.28                     | CUSIP: 3140Q1FA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11129000 | PA      | $11062590.36    | 0.08%             | 2032-11-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A B2RR 144A                  | CUSIP: ACI1W2W16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1700000 | PA      | $1875242.67     | 0.01%             | 2031-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5159                                                   | FREDDIE MAC FHR 5159 AI                                  | CUSIP: 3137H3RQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19892794 | PA      | $3205003.69     | 0.02%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A       | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10000000 | PA      | $10011345.40    | 0.07%             | 2036-10-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 337                                                    | FREDDIEMAC STRIP FHS 337 S1                              | CUSIP: 31325VL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2050858 | PA      | $208119.98      | 0.00%             | 2044-09-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A3          | CUSIP: 02151GAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5772980 | PA      | $802189.64      | 0.01%             | 2037-10-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON A 144A      | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3175251 | PA      | $3183816.04     | 0.02%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0550 FR 12/54 FIXED 6                | CUSIP: 31425UTG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      586403 | PA      | $604904.04      | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | 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        |     1622409 | PA      | $1606195.43     | 0.01%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                     | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M1              | CUSIP: 61744CJT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1523900 | PA      | $1476902.06     | 0.01%             | 2034-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAPVA0 PIMCO SWAPTION 3.26 CALL USD 2026040           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -4700000 | NC      | $-352.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-50                                                 | FANNIE MAE FNR 2007 50 WS                                | CUSIP: 31396V6E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180323 | PA      | $14939.71       | 0.00%             | 2037-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA2 2A         | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1156909 | PA      | $1023173.79     | 0.01%             | 2047-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A63043 FG 07/37 FIXED 5.5              | CUSIP: 3128KTLY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      285083 | PA      | $293486.41      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-39                                                 | FANNIE MAE FNR 2023 39 AI                                | CUSIP: 3136BQFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   275295592 | PA      | $34644738.97    | 0.25%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-126                                                | FANNIE MAE FNR 2013 126 CS                               | CUSIP: 3136AHQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      281813 | PA      | $20060.54       | 0.00%             | 2041-09-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8211 FN 05/28 FIXED 4.55                     | CUSIP: 3140LKDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1272000 | PA      | $1282119.40     | 0.01%             | 2028-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-209                                                      | FREDDIEMAC STRIP FHS 209 PO                              | CUSIP: 3128CVC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44184 | PA      | $40210.41       | 0.00%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 B 144A        | CUSIP: 69545GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    18898015 | PA      | $18912789.35    | 0.14%             | 2032-10-15      | Fixed         | 5.33%                 | 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        |      301859 | PA      | $302749.12      | 0.00%             | 2066-10-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5392                                                   | FREDDIE MAC FHR 5392 GI                                  | CUSIP: 3137HBX25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    90917497 | PA      | $10415499.38    | 0.08%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-88                                                        | FANNIE MAE FNR 2004 88 HJ                                | CUSIP: 31394BPY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268712 | PA      | $9499.52        | 0.00%             | 2034-10-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H18 F            | CUSIP: 38376R6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95371 | PA      | $95946.66       | 0.00%             | 2067-08-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-6                                                  | FANNIE MAE FNR 2015 6 IN                                 | CUSIP: 3136AMXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3623693 | PA      | $148887.39      | 0.00%             | 2043-06-25      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C48                              | CUSIP: 31424QLX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   177958165 | PA      | $22863782.09    | 0.17%             | 2052-06-25      | Fixed         | 2.00%                 | 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      | $9734.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC5676 FN 11/54 FIXED 6                        | CUSIP: 3140ATJW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      800312 | PA      | $830408.25      | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 922855 FN 11/36 FIXED 5.5                      | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27826 | PA      | $28486.07       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4615                                                          | FREDDIE MAC FHR 4615 AF                                  | CUSIP: 3137BRYG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1456070 | PA      | $1437994.10     | 0.01%             | 2038-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5183 G2 05/48 FIXED 4.5                   | CUSIP: 36179TXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      209488 | PA      | $204059.82      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3224                                                   | FREDDIE MAC FHR 3224 SI                                  | CUSIP: 31397BY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      326009 | PA      | $26891.05       | 0.00%             | 2036-10-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM D 144A     | CUSIP: 05549RAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9060000 | PA      | $8173379.34     | 0.06%             | 2037-07-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK8736 FN 01/49 FIXED 4.5                      | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1025055 | PA      | $1005826.45     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A      | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1711841 | PA      | $1427436.95     | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/35 4.25                               | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11170000 | PA      | $11129857.81    | 0.08%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2983 FN 05/49 FIXED VAR                      | CUSIP: 3140X6J51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40310288 | PA      | $38794323.00    | 0.28%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AZ8592 GN 04/47 FIXED 4                        | CUSIP: 36197MRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      487136 | PA      | $462556.79      | 0.00%             | 2047-04-15      | Fixed         | 4.00%                 | 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        |    78533784 | PA      | $84860842.17    | 0.62%             | 2055-02-25      | Fixed         | 9.60%                 | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2024-1                                       | VEROS AUTO RECEIVABLES TRUST VEROS 2024 1 A 144A         | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      116768 | PA      | $116896.45      | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | 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        |    28244908 | PA      | $27567439.06    | 0.20%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA           | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    43600762 | PA      | $44204209.18    | 0.32%             | 2073-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BQ0651 GN 11/49 FIXED 3.5                      | CUSIP: 3617LJWL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      179683 | PA      | $165475.86      | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9372 FN 10/54 FIXED VAR                      | CUSIP: 3140XRMW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      685014 | PA      | $709078.03      | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-83                                                 | FANNIE MAE FNR 2013 83 UO                                | CUSIP: 3136AFU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      404965 | PA      | $210576.18      | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-8                                             | COUNTRYWIDE HOME LOANS CWHL 2007 8 1A16                  | CUSIP: 12545AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      256235 | PA      | $104181.70      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5056                                                   | FREDDIE MAC FHR 5056 SA                                  | CUSIP: 3137F74P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6449620 | PA      | $948871.36      | 0.01%             | 2050-12-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                                 | FANNIE MAE FNR 2020 99 QI                                | CUSIP: 3136BDHS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10027628 | PA      | $1686458.46     | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ3965 FR 04/55 FIXED 5.5              | CUSIP: 3142GUMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3506759 | PA      | $3576310.18     | 0.03%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 5110                                                          | FREDDIE MAC FHR 5110 KI                                  | CUSIP: 3137H02V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23290875 | PA      | $4032959.38     | 0.03%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES3                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES3 A1A 144A      | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7353944 | PA      | $7400338.08     | 0.05%             | 2055-03-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-94                                                 | FANNIE MAE FNR 2018 94 LT                                | CUSIP: 3136B3XP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38348 | PA      | $30697.82       | 0.00%             | 2043-01-25      | Floating      | 1.08%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                      | ATLX TRUST ATLX 2024 RPL1 A1 144A                        | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173444 | PA      | $168869.49      | 0.00%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5115                                                   | FREDDIE MAC FHR 5115 IM                                  | CUSIP: 3137H0ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7514486 | PA      | $1379442.51     | 0.01%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP5                                             | ACE SECURITIES CORP. ACE 2006 ASP5 A2B                   | CUSIP: 004422AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4956208 | PA      | $1648838.55     | 0.01%             | 2036-10-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4126 G2 12/46 FIXED 3                     | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5104772 | PA      | $4622896.80     | 0.03%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3298                                                   | FREDDIE MAC FHR 3298 OE                                  | CUSIP: 31397GG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59270 | PA      | $53505.80       | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A       | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2273905 | PA      | $2235281.86     | 0.02%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                        | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1 144A         | CUSIP: 92541AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7232210 | PA      | $7255249.89     | 0.05%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-106                                                | FANNIE MAE FNR 2006 106 TO                               | CUSIP: 31396LNJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      327257 | PA      | $302911.40      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2871 FN 09/55 FIXED VAR                      | CUSIP: 3140W3FM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8260377 | PA      | $8694322.92     | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-2 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 2 A1 144A       | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2750922 | PA      | $2746492.19     | 0.02%             | 2030-05-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4467 FN 10/34 FIXED 3.5                      | CUSIP: 3140QB6D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2453122 | PA      | $2403125.03     | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5383                                                   | FREDDIE MAC FHR 5383 AF                                  | CUSIP: 3137HBGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11107080 | PA      | $11204835.35    | 0.08%             | 2048-08-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 1 A11 144A      | CUSIP: 17332CBX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7063652 | PA      | $7101285.51     | 0.05%             | 2054-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                          | FREDDIE MAC FHR 4836 SN                                  | CUSIP: 3137FJB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1696674 | PA      | $214112.84      | 0.00%             | 2048-10-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                                 | FANNIE MAE FNR 2024 88 FD                                | CUSIP: 3136BT6B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3984410 | PA      | $4018326.84     | 0.03%             | 2054-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL B70790 FG 06/39 FIXED 4                | CUSIP: 3129882X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      349088 | PA      | $345406.99      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.25000 03/18/20-30Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1143958.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5648                                                   | FREDDIE MAC FHR 5648 CF                                  | CUSIP: 3137HQXV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36600000 | PA      | $36414441.66    | 0.27%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1          | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      804250 | PA      | $782487.32      | 0.01%             | 2037-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE3                                              | ACE SECURITIES CORP. ACE 2007 HE3 A1                     | CUSIP: 00442GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4635231 | PA      | $976032.70      | 0.01%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4076                                                   | FREDDIE MAC FHR 4076 SD                                  | CUSIP: 3137ASG24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      775144 | PA      | $121702.94      | 0.00%             | 2042-07-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 B 144A        | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3357253 | PA      | $3369658.58     | 0.02%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2023 3A D 144A           | CUSIP: 36267PAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3690000 | PA      | $3770718.01     | 0.03%             | 2029-05-15      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD. 2020-11A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 11A A 144A      | CUSIP: 03330KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    22339843 | PA      | $21746685.33    | 0.16%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                 | FANNIE MAE FNR 2025 18 SM                                | CUSIP: 3136BVKJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69713668 | PA      | $5906497.49     | 0.04%             | 2054-09-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                  | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                  | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5004874.60     | 0.04%             | 2034-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2022-45                                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 45 ZQ            | CUSIP: 38383MP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3030852 | PA      | $1925810.26     | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI0028 FN 07/41 FIXED 4.5                      | CUSIP: 3138ADA62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      145073 | PA      | $142605.83      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A           | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3985049 | PA      | $4021342.73     | 0.03%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                      | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A2 144A     | CUSIP: 039962AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1080429 | PA      | $1083768.70     | 0.01%             | 2029-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2323 G2 10/44 FLOATING VAR                | CUSIP: 36179QSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      477885 | PA      | $490500.31      | 0.00%             | 2044-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A3          | CUSIP: 590238AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4177358 | PA      | $1582753.86     | 0.01%             | 2047-04-25      | Floating      | 4.17%                 | 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        |     1568623 | PA      | $1619166.96     | 0.01%             | 2033-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A1                            | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4873138 | PA      | $2601320.10     | 0.02%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 781932 GN 03/35 FIXED 6.5                      | CUSIP: 36241KED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174601 | PA      | $179993.19      | 0.00%             | 2035-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI4104 FR 04/54 FIXED 6                | CUSIP: 3133WARZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3329296 | PA      | $3464103.53     | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                       | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 C              | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20000000 | PA      | $20099444.00    | 0.15%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H17                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H17 FB           | CUSIP: 38383KBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5664310 | PA      | $5745624.67     | 0.04%             | 2073-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING 2022-1A LLC                                        | OXFORD FINANCE FUNDING TRUST OXFIN 2022 1A A2 144A       | CUSIP: 69145BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6791325 | PA      | $6628468.45     | 0.05%             | 2030-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4003 G2 10/46 FIXED 3                     | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      783255 | PA      | $710522.51      | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX4341 G2 10/46 FIXED 3.5                   | CUSIP: 36196FZE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19566 | PA      | $18210.86       | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-24                                                 | FANNIE MAE FNR 2013 24 PI                                | CUSIP: 3136AB2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2691990 | PA      | $175726.93      | 0.00%             | 2033-03-25      | Fixed         | 3.00%                 | 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        |    51276000 | PA      | $50966259.12    | 0.37%             | 2054-03-11      | Fixed         | 4.85%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 BI                                  | CUSIP: 3137FUNQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12207691 | PA      | $1751703.49     | 0.01%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 FL           | CUSIP: 38382YV75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1519435 | PA      | $1538028.16     | 0.01%             | 2073-01-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A       | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2599900 | PA      | $2605602.94     | 0.02%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2007-2                                   | MASTR ASSET SECURITIZATION TRU MASTR 2007 2 A3           | CUSIP: 57646NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      416859 | PA      | $206903.67      | 0.00%             | 2038-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0519 FR 12/54 FIXED 5.5              | CUSIP: 31425USH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2179491 | PA      | $2214756.76     | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5021 FN 05/43 FIXED 4.5                      | CUSIP: 31418ESK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      160351 | PA      | $159911.97      | 0.00%             | 2043-05-01      | Fixed         | 4.50%                 | 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      | $-10674.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                      | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A     | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41208 | PA      | $40814.48       | 0.00%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5457                                                   | FREDDIE MAC FHR 5457 GF                                  | CUSIP: 3137HH4K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26180348 | PA      | $26269119.86    | 0.19%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-893293.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE1                                              | ACE SECURITIES CORP. ACE 2005 HE1 M5                     | CUSIP: 004421KY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6969249 | PA      | $6717576.15     | 0.05%             | 2035-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2004-OPT1                                   | MASTR ASSET BACKED SECURITIES MABS 2004 OPT1 M1          | CUSIP: 57643LCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      705144 | PA      | $755812.28      | 0.01%             | 2034-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U93SA5 PIMCO FPPSWAPTION 4.31 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34800000 | NC      | $1609308.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H14                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H14 FB           | CUSIP: 38383KG48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27052831 | PA      | $27404039.15    | 0.20%             | 2074-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4088                                                   | FREDDIE MAC FHR 4088 ZJ                                  | CUSIP: 3137ASRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1183322 | PA      | $1138019.83     | 0.01%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 205                                                    | FREDDIEMAC STRIP FHS 205 PO                              | CUSIP: 3128CU3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56454 | PA      | $53575.23       | 0.00%             | 2029-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL2 A1 144A    | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1820749 | PA      | $1774294.33     | 0.01%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A             | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2748457 | PA      | $2765305.49     | 0.02%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE4406 G2 01/48 FIXED 3.5                   | CUSIP: 3617BX3P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      355545 | PA      | $330771.20      | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8N9A3 PIMCO FPPSWAPTION 4.073 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    51300000 | NC      | $2040667.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5003                                                   | FREDDIE MAC FHR 5003 BS                                  | CUSIP: 3137FVJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6767938 | PA      | $863946.90      | 0.01%             | 2050-08-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3746.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                      | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A    | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26340755 | PA      | $25526398.52    | 0.19%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 SA 144A     | CUSIP: 36273PAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      725744 | PA      | $611921.41      | 0.00%             | 2071-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4797                                                   | FREDDIE MAC FHR 4797 SB                                  | CUSIP: 3137F5U72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1352887 | PA      | $170220.09      | 0.00%             | 2048-06-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ6642 FN 03/36 FIXED 4.65                     | CUSIP: 3140Q2LY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5134000 | PA      | $5121522.38     | 0.04%             | 2036-03-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0299 FN 04/47 FIXED 4                        | CUSIP: 3140GNKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      682412 | PA      | $654797.73      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 397                                                    | FREDDIEMAC STRIP FHS 397 C52                             | CUSIP: 3142G4N23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13487133 | PA      | $2732996.92     | 0.02%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 PI                                  | CUSIP: 3137F9CZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18933625 | PA      | $3312895.86     | 0.02%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -117100000 | NC      | $-386453.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 D 144A                     | CUSIP: 942611AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5800000 | PA      | $5832291.73     | 0.04%             | 2050-06-17      | Fixed         | 6.77%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                  | FANNIE MAE FNR 2022 3 DS                                 | CUSIP: 3136BLFD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60780535 | PA      | $49657.70       | 0.00%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R4                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 8A4 144A     | CUSIP: 05990RCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3179215 | PA      | $641210.87      | 0.00%             | 2035-01-27      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8409 FN 03/47 FIXED 4                        | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40897 | PA      | $39173.56       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-S1                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 S1 A1          | CUSIP: 466275AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      633496 | PA      | $610101.70      | 0.00%             | 2047-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-69                                                        | FANNIE MAE FNR 2005 69 AO                                | CUSIP: 31394EP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90327 | PA      | $79301.06       | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    43200000 | NC      | $2498886.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                           | ANGEL OAK MORTGAGE TRUST AOMT 2023 7 A1 144A             | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6589526 | PA      | $6557266.51     | 0.05%             | 2067-11-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BV6439 FN 11/55 FIXED 5.5                      | CUSIP: 3140MLEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2423555 | PA      | $2486676.63     | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A        | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2889069 | PA      | $2895737.08     | 0.02%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5273                                                   | FREDDIE MAC FHR 5273 FA                                  | CUSIP: 3137H9FR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    45462561 | PA      | $45602767.83    | 0.33%             | 2052-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8821 FN 06/28 FIXED 4.32                     | CUSIP: 3140LKYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2312399 | PA      | $2322877.23     | 0.02%             | 2028-06-01      | Fixed         | 4.32%                 | 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        |       59148 | PA      | $38908.33       | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5188 FN 03/55 FIXED 6                        | CUSIP: 3140B5XS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1064609 | PA      | $1108866.87     | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 367                                                    | FREDDIEMAC STRIP FHS 367 C22                             | CUSIP: 31325X2Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7540469 | PA      | $1254456.06     | 0.01%             | 2050-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4122                                                   | FREDDIE MAC FHR 4122 MZ                                  | CUSIP: 3137AV2A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3196 | PA      | $2222.46        | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4              | CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV3        | CUSIP: 12498QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3640326 | PA      | $2527393.84     | 0.02%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A2 144A    | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2770000 | PA      | $2387596.51     | 0.02%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2B         | CUSIP: 81376GAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2205710 | PA      | $1587094.34     | 0.01%             | 2036-09-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4293024.81     | 0.03%             |  |  |  | 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        |     2309541 | PA      | $2672802.14     | 0.02%             | 2033-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 426                                         | FANNIEMAE STRIP FNS 426 C26                              | CUSIP: 31422MZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8770356 | PA      | $1143937.14     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 3A2 144A      | CUSIP: 12642YBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2504915 | PA      | $1245265.62     | 0.01%             | 2047-01-26      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL12 LLC                                                       | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL12 A1 144A   | CUSIP: 69383CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3383901 | PA      | $3362974.04     | 0.02%             | 2055-11-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6501 FN 11/53 FIXED VAR                      | CUSIP: 3140XNGK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96387 | PA      | $98763.37       | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M1             | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      227200 | PA      | $226617.06      | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9NOA5 PIMCO FPPSWAPTION 4.4 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    74200000 | NC      | $4556458.76     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -53500000 | NC      | $-54254.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS4009 FN 12/39 FIXED 3.5                      | CUSIP: 3138WDN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      653247 | PA      | $622160.29      | 0.00%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 TRUST                                                     | PRKCM TRUST PRKCM 2023 AFC4 A1 144A                      | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2875028 | PA      | $2900621.63     | 0.02%             | 2058-11-25      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                               | WATR ISSUER TRUST WATR 2025 2 A 144A                     | CUSIP: 94260AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    23236400 | PA      | $22981526.55    | 0.17%             | 2050-09-16      | Fixed         | 4.79%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/27 2.25                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    21700000 | PA      | $21245656.25    | 0.16%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5536 FN 11/39 FIXED 5.5                      | CUSIP: 31418FEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      829772 | PA      | $846525.33      | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA0892 FN 12/37 FIXED 4                        | CUSIP: 3140Q77E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      745349 | PA      | $731527.94      | 0.01%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2562 FN 08/55 FIXED VAR                      | CUSIP: 3140W2Z46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13737367 | PA      | $14233405.46    | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A        | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8750000 | PA      | $8737126.13     | 0.06%             | 2038-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KU983 PIMCO FLOOR USD 0.0325 USD SOFR COMP           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   880000000 | NC      | $2474824.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5076 G2 03/48 FIXED 3                     | CUSIP: 36179TT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44695 | PA      | $40384.52       | 0.00%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                               | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                 | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25800000 | PA      | $25965594.72    | 0.19%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030652<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -971605000 | PA      | $-852712202.89  | -6.24%            | 2056-05-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV B 144A        | CUSIP: 12660WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $2828732.40     | 0.02%             | 2038-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                      | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M6          | CUSIP: 863576DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162911 | PA      | $162940.33      | 0.00%             | 2035-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 726705 G2 12/41 FIXED 4.5                   | CUSIP: 3620ADKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      394485 | PA      | $386992.83      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 295                                                    | FREDDIEMAC STRIP FHS 295 IO                              | CUSIP: 31283DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      863926 | PA      | $60721.35       | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2006-2                                         | IMPAC SECURED ASSETS CORP. IMSA 2006 2 1A2C              | CUSIP: 45256VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1080396 | PA      | $978195.30      | 0.01%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-87                                                 | FANNIE MAE FNR 2017 87 IO                                | CUSIP: 3136AYT86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1883442 | PA      | $306491.42      | 0.00%             | 2047-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2774                                                          | FREDDIE MAC FHR 2774 XO                                  | CUSIP: 31394XGU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1461 | PA      | $1436.63        | 0.00%             | 2032-12-15      | None          | 0.00%                 | 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        |    28291603 | PA      | $29268798.79    | 0.21%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5183                                                   | FREDDIE MAC FHR 5183 EI                                  | CUSIP: 3137H4ZD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9211536 | PA      | $1118392.89     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3584 FN 11/55 FIXED VAR                      | CUSIP: 3140W36W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5221009 | PA      | $5427716.82     | 0.04%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2026-INV3                                                  | PMT LOAN TRUST PMTLT 2026 INV3 A36 144A                  | CUSIP: 69383WBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29700000 | PA      | $29773445.13    | 0.22%             | 2057-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 367                                                    | FREDDIEMAC STRIP FHS 367 C23                             | CUSIP: 31325X3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8126811 | PA      | $1173530.40     | 0.01%             | 2050-06-15      | Fixed         | 3.50%                 | 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      | $-10073.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF5 A1 144A    | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      593533 | PA      | $584115.96      | 0.00%             | 2054-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                   | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   189571924 | PA      | $174054899.39   | 1.27%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 OP                                  | CUSIP: 31398LQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      318194 | PA      | $273983.60      | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5160                                                   | FREDDIE MAC FHR 5160 HI                                  | CUSIP: 3137H3WD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4530523 | PA      | $553164.57      | 0.00%             | 2051-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5071                                                   | FREDDIE MAC FHR 5071 IN                                  | CUSIP: 3137F9R52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6554310 | PA      | $1607791.28     | 0.01%             | 2050-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON B 144A      | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5503101 | PA      | $5538149.15     | 0.04%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-45                                                 | FANNIE MAE FNR 2016 45 AS                                | CUSIP: 3136ASXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3348020 | PA      | $372985.51      | 0.00%             | 2046-07-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                                 | FANNIE MAE FNR 2020 99 IQ                                | CUSIP: 3136BDFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3249208 | PA      | $562172.51      | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A     | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2093207 | PA      | $2097474.49     | 0.02%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                     | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A                | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4100000 | PA      | $4105428.52     | 0.03%             | 2035-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5550 FN 12/32 FIXED 4.3                      | CUSIP: 3140Q1EY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   378000000 | PA      | $374927177.52   | 2.75%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 1A7       | CUSIP: 02147RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      975738 | PA      | $930234.84      | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QA4675 FR 11/49 FIXED 3                | CUSIP: 31346YFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      426426 | PA      | $381681.37      | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BM1222 G2 05/49 FIXED 3.5                   | CUSIP: 3617JRLB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1049024 | PA      | $963372.75      | 0.01%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5              | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10093194 | PA      | $10324489.33    | 0.08%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5003                                                   | FREDDIE MAC FHR 5003 AS                                  | CUSIP: 3137FVHZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5678156 | PA      | $777942.59      | 0.01%             | 2050-08-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5          | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68970 | PA      | $73536.50       | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-35                                                        | FANNIE MAE FNR 2005 35 DZ                                | CUSIP: 31394CV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25998 | PA      | $26379.51       | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8229 FN 06/30 FIXED 4.5                      | CUSIP: 3140LKEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1647000 | PA      | $1661823.31     | 0.01%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                       | TOWD POINT MORTGAGE TRUST TPMT 2024 CES6 A1 144A         | CUSIP: 891947AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7004947 | PA      | $7035108.43     | 0.05%             | 2064-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 HF           | CUSIP: 38382Y3K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    66673535 | PA      | $67488472.04    | 0.49%             | 2073-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5607                                                   | FREDDIE MAC FHR 5607 FA                                  | CUSIP: 3137HNZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      431726 | PA      | $433268.54      | 0.00%             | 2055-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3 TRUST                                                      | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL3 A1 144A    | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5443947 | PA      | $5303028.55     | 0.04%             | 2065-04-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0333 FN 01/55 FIXED VAR                      | CUSIP: 3140W0LP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1355044 | PA      | $1375683.74     | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888528 FN 06/35 FLOATING VAR                   | CUSIP: 31410GD91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7116 | PA      | $7306.29        | 0.00%             | 2035-06-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 426                                         | FANNIEMAE STRIP FNS 426 C37                              | CUSIP: 31422MZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16484887 | PA      | $2134783.63     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3818 FN 01/53 FIXED VAR                      | CUSIP: 3140XKG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17544704 | PA      | $18012350.20    | 0.13%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL8032 FN 01/46 FIXED VAR                      | CUSIP: 3138EQ4S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      634621 | PA      | $610632.81      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | 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        |     8787891 | PA      | $8829143.27     | 0.06%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BO3004 GN 06/49 FIXED 3.5                      | CUSIP: 3617KJKR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51650 | PA      | $47564.14       | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | 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        |      121021 | PA      | $119075.07      | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A B 144A         | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1965010 | PA      | $1920917.68     | 0.01%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA SA 2019-1A                                                 | LA HIPOTECARIA SA LHIPO 2019 1A AAA 144A                 | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20661881 | PA      | $18929300.88    | 0.14%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  3 | 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        |       30663 | PA      | $29459.56       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | 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        |     4469185 | PA      | $4103368.90     | 0.03%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-3 TRUST                                     | HOME PARTNERS OF AMERICA TRUST HPA 2021 3 A 144A         | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2212064 | PA      | $2079067.15     | 0.02%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FA           | CUSIP: 38383KZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    85448139 | PA      | $86769406.26    | 0.64%             | 2074-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA                         | NAVIENT STUDENT LOAN TRUST NAVSL 2020 DA A 144A          | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3090848 | PA      | $2953579.54     | 0.02%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                    | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A         | CUSIP: 36185N6M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7061 | PA      | $6755.75        | 0.00%             | 2035-05-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0428 FR 08/54 FIXED 6.5              | CUSIP: 31427MPN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8565557 | PA      | $9048896.77     | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H15 FB           | CUSIP: 38384AV59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8165777 | PA      | $8256588.26     | 0.06%             | 2073-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 156 FV           | CUSIP: 38383BFW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3379945 | PA      | $3386943.93     | 0.02%             | 2055-09-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                              | BEAR STEARNS ALT A TRUST BALTA 2005 3 2A3                | CUSIP: 07386HRX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9013 | PA      | $8536.67        | 0.00%             | 2035-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-85                                                 | FANNIE MAE FNR 2016 85 SG                                | CUSIP: 3136AUBW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3851056 | PA      | $413993.57      | 0.00%             | 2046-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                            | CHASE AUTO OWNER TRUST CHAOT 2024 3A A3 144A             | CUSIP: 16144LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11698697 | PA      | $11800758.73    | 0.09%             | 2029-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-74                                                 | FANNIE MAE FNR 2024 74 IG                                | CUSIP: 3136BTGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17726646 | PA      | $3779625.78     | 0.03%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004371 G2 02/39 FIXED 6                     | CUSIP: 36202E2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21724 | PA      | $22839.45       | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-27                                                 | FANNIE MAE FNR 2022 27 WI                                | CUSIP: 3136BM5J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10242725 | PA      | $705738.12      | 0.01%             | 2052-06-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7935 G2 03/52 FIXED 2                     | CUSIP: 36179WY85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7582980 | PA      | $6273204.07     | 0.05%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                   | FREDDIE MAC FHR 5060 BI                                  | CUSIP: 3137F8YX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2496694 | PA      | $285315.92      | 0.00%             | 2051-01-25      | Fixed         | 2.00%                 | 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        |      742274 | PA      | $746499.27      | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBG9A4 PIMCO SWAPTION 3.624 PUT USD 2026070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -190500000 | NC      | $-1774488.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                     | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                   | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2843141 | PA      | $2225844.78     | 0.02%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A              | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4600000 | PA      | $4606348.05     | 0.03%             | 2034-10-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 2 1A2                   | CUSIP: 81744LAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31132 | PA      | $29633.92       | 0.00%             | 2036-06-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-66                                                 | FANNIE MAE FNR 2023 66 AI                                | CUSIP: 3136BQA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   123915507 | PA      | $28362152.93    | 0.21%             | 2053-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8556 FN 12/29 FIXED 4.56                     | CUSIP: 3140LKQJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4972624 | PA      | $5026328.06     | 0.04%             | 2029-12-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A  | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11249723 | PA      | $10005727.68    | 0.07%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8792 FN 08/54 FIXED VAR                      | CUSIP: 3140XQXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15700463 | PA      | $16099831.76    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-33                                                 | FANNIE MAE FNR 2024 33 UF                                | CUSIP: 3136BSDZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49911130 | PA      | $50243573.13    | 0.37%             | 2054-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-32                                                 | FANNIE MAE FNR 2018 32 SA                                | CUSIP: 3136B1C28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4458393 | PA      | $3582977.96     | 0.03%             | 2048-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                 | FANNIE MAE FNR 2012 46 LS                                | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1583700 | PA      | $1608205.82     | 0.01%             | 2041-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 26-1                                            | TOWD POINT MORTGAGE TRUST TPMT 2026 1 A1A 144A           | CUSIP: 891959AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16046906 | PA      | $15842072.17    | 0.12%             | 2066-01-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7211 FN 02/54 FIXED VAR                      | CUSIP: 3140XPAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17763265 | PA      | $18598259.61    | 0.14%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBONA1 PIMCO SWAPTION 2.5 CALL USD 20270728           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   900500000 | NC      | $3446303.55     | 0.03%             |  |  |  | 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        |     2387000 | PA      | $3162748.54     | 0.02%             | 2049-12-21      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3860 FN 12/55 FIXED VAR                      | CUSIP: 3140W4JE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11894335 | PA      | $12141877.56    | 0.09%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-68                                                 | FANNIE MAE FNR 2019 68 SA                                | CUSIP: 3136B6L84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6989759 | PA      | $919597.91      | 0.01%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A       | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2260486 | PA      | $2259558.85     | 0.02%             | 2052-06-17      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                                   | FREDDIE MAC FHR 4136 SJ                                  | CUSIP: 3137AWM77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1097979 | PA      | $156807.00      | 0.00%             | 2042-11-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6685 FN 07/53 FIXED 4                        | CUSIP: 3140QSNB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1610854 | PA      | $1543584.56     | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-RFC1                                      | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 RFC1 A4         | CUSIP: 144526AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11809000 | PA      | $10692567.69    | 0.08%             | 2036-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4                | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1722005 | PA      | $1683501.85     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AF1000 G2 06/43 FIXED 3.5                   | CUSIP: 36181GDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29871 | PA      | $27600.74       | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-143                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 143 SC           | CUSIP: 38382AZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6411616 | PA      | $731342.86      | 0.01%             | 2046-04-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-3Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-53537.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8898 FN 03/37 FIXED 4                        | CUSIP: 3140FU3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      582001 | PA      | $566536.89      | 0.00%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 B A1A 144A       | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    18310572 | PA      | $18337609.77    | 0.13%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-10                                                 | FANNIE MAE FNR 2013 10 BI                                | CUSIP: 3136ACBR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      332212 | PA      | $12805.67       | 0.00%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                        | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                 | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5575000 | PA      | $5580624.17     | 0.04%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3389 FN 06/38 FIXED 4                        | CUSIP: 31418CXT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3419431 | PA      | $3352968.51     | 0.02%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9999 FN 09/53 FIXED 5                        | CUSIP: 3140NTDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      930456 | PA      | $928820.00      | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-80                                                 | FANNIE MAE FNR 2020 80 JF                                | CUSIP: 3136BCZK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2475034 | PA      | $2385158.67     | 0.02%             | 2050-11-25      | Floating      | 3.96%                 | 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        |    19437357 | PA      | $18942246.64    | 0.14%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1190 FR 05/55 FIXED 5.5              | CUSIP: 31427NKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      526723 | PA      | $538638.17      | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-108                                                | FANNIE MAE FNR 2012 108 TE                               | CUSIP: 3136A8Q78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24951 | PA      | $23555.00       | 0.00%             | 2042-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-137                                                | FANNIE MAE FNR 2012 137 NZ                               | CUSIP: 3136AAH40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95288 | PA      | $57120.22       | 0.00%             | 2042-12-25      | Fixed         | 2.00%                 | 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        |     4315102 | PA      | $4152943.77     | 0.03%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8777 FN 11/53 FIXED VAR                      | CUSIP: 3140XQXF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33306708 | PA      | $34447263.08    | 0.25%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4069 FN 05/38 FIXED VAR                      | CUSIP: 3140J8QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2928674 | PA      | $2815693.15     | 0.02%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX6792 G2 01/47 FIXED 3.5                   | CUSIP: 36196JRM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      556962 | PA      | $518175.60      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 363                                                    | FREDDIEMAC STRIP FHS 363 C17                             | CUSIP: 31325XBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37098 | PA      | $4747.43        | 0.00%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST  2025-2A                        | GOODLEAP HOME IMPROVEMENT SOLU GDLP 2025 2A A 144A       | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7985967 | PA      | $8038624.62     | 0.06%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| HSBC ASSET LOAN OBLIGATION 2006-2                                         | HSI ASSET LOAN OBLIGATION HALO 2006 2 1A7                | CUSIP: 40431HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      742018 | PA      | $135872.62      | 0.00%             | 2036-12-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A     | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      951418 | PA      | $922464.72      | 0.01%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAFBA4 PIMCO SWAPTION 3.135 CALL USD 202609           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    97400000 | NC      | $396203.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.66000 09/30/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2996519.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3698 FN 11/52 FIXED VAR                      | CUSIP: 3140XKDC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33045 | PA      | $33728.79       | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q19134 FG 06/43 FIXED 4                | CUSIP: 3132JASY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10083 | PA      | $9771.92        | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | 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        |      214179 | PA      | $198894.39      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H24                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H24 AF           | CUSIP: 38384LJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24566460 | PA      | $24620491.81    | 0.18%             | 2073-01-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0706 FN 04/31 FIXED 4.5                      | CUSIP: 31417YYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12671 | PA      | $12706.47       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-46                                                 | FANNIE MAE FNR 2021 46 CI                                | CUSIP: 3136BH3P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17665601 | PA      | $3005395.69     | 0.02%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5742 FN 06/45 FIXED 6                        | CUSIP: 31418FLY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2116452 | PA      | $2162153.56     | 0.02%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SC0706 FR 05/45 FIXED 6.5              | CUSIP: 3132D9YB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7345023 | PA      | $7604836.51     | 0.06%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-18                                            | COUNTRYWIDE HOME LOANS CWHL 2007 18 2A1                  | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4062892 | PA      | $1195923.28     | 0.01%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DF1747 FN 10/55 FIXED 6.5                      | CUSIP: 3140BR5H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2975957 | PA      | $3137496.77     | 0.02%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-437                                                       | FANNIEMAE STRIP FNS 437 C21                              | CUSIP: 31424UPT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29055469 | PA      | $6869111.23     | 0.05%             | 2053-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/17/26-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3847575.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R B1 144A     | CUSIP: 64831EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5009376.35     | 0.04%             | 2058-10-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-89                                                 | FANNIE MAE FNR 2016 89 QI                                | CUSIP: 3136AUNR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6271908 | PA      | $1115769.34     | 0.01%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2018 RPL1 A1A 144A   | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      895022 | PA      | $878920.01      | 0.01%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC2                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC2 M5             | CUSIP: 61744CNV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6057598 | PA      | $5112771.46     | 0.04%             | 2035-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9QXA8 PIMCO FPPSWAPTION 4.55875 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   119800000 | NC      | $6423412.44     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   971605000 | PA      | $852712202.89   | 6.24%             | 2056-05-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA6009 FN 05/50 FIXED 3.5                      | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2568405 | PA      | $2366493.09     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-4Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-298.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6074 FN 10/53 FIXED VAR                      | CUSIP: 3140XMXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1369819 | PA      | $1445506.03     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                           | GSR MORTGAGE LOAN TRUST GSR 2006 7F 3A5                  | CUSIP: 36298NAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      659433 | PA      | $170349.91      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST3                                | UPSTART PASS THROUGH TRUST UPSPT 2022 ST3 A 144A         | CUSIP: 91681EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      259141 | PA      | $258539.71      | 0.00%             | 2030-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A E 144A                       | CUSIP: ACI2SNZ77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1737000 | PA      | $2296375.77     | 0.02%             | 2066-05-16      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                           | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A     | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10300000 | PA      | $10291260.45    | 0.08%             | 2042-10-15      | Floating      | 5.27%                 | 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        |     3868252 | PA      | $1431690.90     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |         186 | PA      | $1920366.24     | 0.01%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8420 FR 04/54 FIXED 5.5              | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42717357 | PA      | $42977948.22    | 0.31%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                               | CUSIP: 21H030658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -70000000 | PA      | $-62448733.20   | -0.46%            | 2056-05-20      | Fixed         | 3.00%                 | 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        |   114820000 | PA      | $118141794.27   | 0.87%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC3WA6 PIMCO SWAPTION 4.75 PUT USD 20260611           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   475200000 | NC      | $277279.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1       | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      857254 | PA      | $829354.94      | 0.01%             | 2036-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2049 FR 08/55 FIXED 5.5              | CUSIP: 31427PH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4493388 | PA      | $4575196.32     | 0.03%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-9                                                  | FANNIE MAE FNR 2013 9 JI                                 | CUSIP: 3136ABSD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1325925 | PA      | $139905.37      | 0.00%             | 2043-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-7                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 7 KX             | CUSIP: 38378B4W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41582 | PA      | $829.44         | 0.00%             | 2053-05-16      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H22                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H22 FB           | CUSIP: 38383KEF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5957118 | PA      | $6058158.90     | 0.04%             | 2073-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A    | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1900000 | PA      | $1589913.35     | 0.01%             | 2036-03-15      | Floating      | 5.54%                 | 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        |    19400000 | PA      | $19390259.26    | 0.14%             | 2043-01-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC 2026-1A                                                  | VB S1 ISSUER LLC VBTEL 2026 1A C2 144A                   | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    41500000 | PA      | $40828521.70    | 0.30%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4024.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3799 FN 09/55 FIXED VAR                      | CUSIP: 3140W4GH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4403625 | PA      | $4581376.37     | 0.03%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                          | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A           | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    65062997 | PA      | $64274602.25    | 0.47%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8072 FN 02/48 FIXED 4                        | CUSIP: 3140H96J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188353 | PA      | $180238.16      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4028                                                   | FREDDIE MAC FHR 4028 PS                                  | CUSIP: 3137APDM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80494 | PA      | $5950.49        | 0.00%             | 2032-02-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE2689 FN 05/47 FIXED 4                        | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      144718 | PA      | $138889.20      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A         | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1955302 | PA      | $1956247.17     | 0.01%             | 2059-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-33                                                 | FANNIE MAE FNR 2019 33 CF                                | CUSIP: 3136B46U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3212874 | PA      | $3156735.61     | 0.02%             | 2049-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                       | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1         | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9772928 | PA      | $5775555.40     | 0.04%             | 2037-06-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-44                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 44 SI            | CUSIP: 38380VVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8918000 | PA      | $101561.75      | 0.00%             | 2048-03-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A B 144A                 | CUSIP: 75525PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3400000 | PA      | $3427500.90     | 0.03%             | 2032-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2014-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A B 144A         | CUSIP: 784456AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8258502 | PA      | $8211510.51     | 0.06%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C7                              | CUSIP: 31325XWQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1640659 | PA      | $239726.10      | 0.00%             | 2049-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                  | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528   | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      218750 | PA      | $218978.18      | 0.00%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4              | CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV4        | CUSIP: 12498QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3809760 | PA      | $2644300.38     | 0.02%             | 2036-05-25      | Floating      | 4.27%                 | 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        |    26050000 | PA      | $26460326.84    | 0.19%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5075 FN 07/54 FIXED 6                        | CUSIP: 3140AET90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      755343 | PA      | $771719.67      | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5155                                                   | FREDDIE MAC FHR 5155 IO                                  | CUSIP: 3137H35P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5446402 | PA      | $472817.96      | 0.00%             | 2047-04-15      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                          | FREDDIE MAC FHR 2177 PO                                  | CUSIP: 3133TLQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1092 | PA      | $1063.29        | 0.00%             | 2029-08-15      | None          | 0.00%                 | 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        |  -476235000 | PA      | $-400279241.66  | -2.93%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF7                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 RF7 A 144A      | CUSIP: 86359DWT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4174519 | PA      | $3733155.04     | 0.03%             | 2035-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1512       | FHLMC MULTIFAMILY STRUCTURED P FHMS K 1512 X1            | CUSIP: 3137FMTU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   131563122 | PA      | $6365878.99     | 0.05%             | 2034-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8216 FN 04/33 FIXED 4.49                     | CUSIP: 3140LKDW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7900000 | PA      | $7900750.11     | 0.06%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                   | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                  | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8598615 | PA      | $8340656.63     | 0.06%             | 2036-07-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3385                                                   | FREDDIE MAC FHR 3385 PO                                  | CUSIP: 31397PAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17274 | PA      | $15943.65       | 0.00%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0332 FR 07/35 FIXED 4.71             | CUSIP: 3132WRLB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1510216 | PA      | $1505710.83     | 0.01%             | 2035-07-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8159 FN 03/54 FIXED 6                        | CUSIP: 3140QUB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1893775 | PA      | $1958758.49     | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 2A1          | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235955 | PA      | $199259.73      | 0.00%             | 2046-12-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9584 FN 09/28 FIXED 4.815                    | CUSIP: 3140LLUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6332000 | PA      | $6433089.24     | 0.05%             | 2028-09-01      | Fixed         | 4.82%                 | 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        |      914645 | PA      | $919115.08      | 0.01%             | 2050-03-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0118 FR 07/54 FIXED 6                | CUSIP: 3133CQDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      565403 | PA      | $577114.27      | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15935000 | PA      | $13400339.06    | 0.10%             | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2019 SL1 M2 144A     | CUSIP: 36257EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18306000 | PA      | $17957338.43    | 0.13%             | 2059-01-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A       | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1800000 | PA      | $1831871.16     | 0.01%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                                | FANNIE MAE FNR 2012 111 NS                               | CUSIP: 3136A9EX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1935182 | PA      | $149368.75      | 0.00%             | 2042-05-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA4                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA4 3A1        | CUSIP: 32052NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71833 | PA      | $63832.04       | 0.00%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8315 FR 07/39 FIXED 5.5              | CUSIP: 3132D6GY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95082 | PA      | $97001.58       | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | 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        |     1080731 | PA      | $1073292.33     | 0.01%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5560                                                   | FREDDIE MAC FHR 5560 FA                                  | CUSIP: 3137HLZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      139512 | PA      | $141802.16      | 0.00%             | 2055-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                          | FREDDIE MAC FHR 4839 UO                                  | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1473141 | PA      | $918784.78      | 0.01%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 1A1           | CUSIP: 86362TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1772104 | PA      | $1804738.12     | 0.01%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD0257 FR 01/50 FIXED 3                | CUSIP: 3132DMJA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6080968 | PA      | $5349591.02     | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                     | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A2 144A        | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1149567 | PA      | $1152209.95     | 0.01%             | 2027-04-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004163 G2 06/38 FIXED 5.5                   | CUSIP: 36202ETU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2338 | PA      | $2353.67        | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-68                                                 | FANNIE MAE FNR 2020 68 KI                                | CUSIP: 3136BB4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7636646 | PA      | $904838.65      | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-1                                             | OPORTUN FUNDING LLC OPTN 2025 1 A 144A                   | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      966500 | PA      | $966909.74      | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3797 FN 03/55 FIXED VAR                      | CUSIP: 3140W4GF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2036821 | PA      | $2116295.81     | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ47         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ47 A2              | CUSIP: 3137HAMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9387000 | PA      | $9722099.00     | 0.07%             | 2031-06-25      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A3               | CUSIP: 46629DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1431934 | PA      | $1191939.85     | 0.01%             | 2037-01-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST LOAN SECURITIZATION TRUST 2007-1                                | EQUIFIRST LOAN SECURITIZATION EQLS 2007 1 A2B            | CUSIP: 29445UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18005730 | PA      | $16740985.53    | 0.12%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54953 FG 03/48 FIXED 4                | CUSIP: 3132XXQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1958288 | PA      | $1882811.43     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-26                                                 | FANNIE MAE FNR 2021 26 BI                                | CUSIP: 3136BHFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9946123 | PA      | $1313607.32     | 0.01%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-9                                                  | FANNIE MAE FNR 2012 9 TE                                 | CUSIP: 3136A3F55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133934 | PA      | $129648.88      | 0.00%             | 2041-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA4756 FN 01/54 FIXED 6.5                      | CUSIP: 3140A5JA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1089464 | PA      | $1147004.69     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A A3 144A          | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      780024 | PA      | $780481.46      | 0.01%             | 2028-04-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA3035 G2 08/45 FIXED 4                     | CUSIP: 36179RLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      985600 | PA      | $942368.54      | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 2A5                     | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16527394 | PA      | $1873752.03     | 0.01%             | 2036-11-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 003515 G2 02/34 FIXED 5.5                   | CUSIP: 36202D3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         929 | PA      | $957.93         | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2416                                                          | FREDDIE MAC FHR 2416 PO                                  | CUSIP: 31339DRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         461 | PA      | $453.60         | 0.00%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5601                                                   | FREDDIE MAC FHR 5601 FC                                  | CUSIP: 3137HNQY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7304121 | PA      | $7341622.96     | 0.05%             | 2055-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A        | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4414130 | PA      | $4420181.10     | 0.03%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-116                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 116 IP           | CUSIP: 38379MZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      645250 | PA      | $73052.62       | 0.00%             | 2044-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-70                                                        | FANNIE MAE FNR 2005 70 KC                                | CUSIP: 31394EW38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15100 | PA      | $15405.28       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES6                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES6 A1A 144A      | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4247508 | PA      | $4253427.69     | 0.03%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C C             | CUSIP: 83407XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2942000 | PA      | $2935541.43     | 0.02%             | 2034-10-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-16                                                 | FANNIE MAE FNR 2017 16 TS                                | CUSIP: 3136AVZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      255673 | PA      | $166862.03      | 0.00%             | 2047-03-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9V6A7 PIMCO FPPSWAPTION 4.64 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   128800000 | NC      | $7234811.92     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA SA 2016-1A                                           | LA HIPOTECARIA SA LHIPO 2016 1A A 144A                   | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     3721970 | PA      | $3450082.32     | 0.03%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2013-8                                                  | FANNIE MAE FNR 2013 8 NI                                 | CUSIP: 3136AB6C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2015503 | PA      | $230196.22      | 0.00%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QA3208 FR 10/49 FIXED 3.5              | CUSIP: 31339SR56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      257730 | PA      | $239551.18      | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2        | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1343937 | PA      | $527432.12      | 0.00%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ5158 FR 11/55 FIXED 5.5              | CUSIP: 3142GVWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3302745 | PA      | $3368570.38     | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-50                                                 | FANNIE MAE FNR 2009 50 GN                                | CUSIP: 31396QLT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1669850 | PA      | $1664342.00     | 0.01%             | 2039-05-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A                | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18700000 | PA      | $18719203.22    | 0.14%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 C 144A    | CUSIP: 46649JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1021076 | PA      | $986295.56      | 0.01%             | 2035-02-15      | Floating      | 5.27%                 | 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      |
| N/A                                                                       | US 10YR NOTE (CBT)JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        3819 | NC      | $-7795625.55    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 IP                                  | CUSIP: 3137F7YM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46023730 | PA      | $7676495.89     | 0.06%             | 2050-12-25      | Fixed         | 3.00%                 | 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        |      800000 | PA      | $800827.76      | 0.01%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010         | BANC OF CALIFORNIA MULTIFAMILY FHMS Q010 APT2            | CUSIP: 3137FMUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91482 | PA      | $91715.40       | 0.00%             | 2047-12-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-29                                                        | FANNIE MAE FNR 2008 29 SD                                | CUSIP: 31396YF98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      232132 | PA      | $19597.90       | 0.00%             | 2038-04-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5663 FN 03/45 FIXED 6                        | CUSIP: 31418FJH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1770242 | PA      | $1809276.64     | 0.01%             | 2045-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5471                                                   | FREDDIE MAC FHR 5471 FH                                  | CUSIP: 3137HH7G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32520370 | PA      | $32733970.48    | 0.24%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2D         | CUSIP: 81376GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3524890 | PA      | $2536165.41     | 0.02%             | 2036-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2638 FR 06/55 FIXED 6.5              | CUSIP: 31427P4Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2611950 | PA      | $2771093.91     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                         | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M1          | CUSIP: 81375WCS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7107980 | PA      | $6876835.17     | 0.05%             | 2035-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 A1 144A      | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1130973 | PA      | $1004307.07     | 0.01%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-41                                                 | FANNIE MAE FNR 2020 41 SA                                | CUSIP: 3136B9Z91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8927133 | PA      | $1086341.00     | 0.01%             | 2050-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A        | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8838002 | PA      | $8850949.99     | 0.06%             | 2067-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3564 FN 11/55 FIXED VAR                      | CUSIP: 3140W36A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4857388 | PA      | $4954587.81     | 0.04%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 LI                                  | CUSIP: 3137F9CS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7850781 | PA      | $1091394.39     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 C 144A       | CUSIP: 69544AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      933811 | PA      | $937018.83      | 0.01%             | 2032-07-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB0869 FN 06/51 FIXED 3.5                      | CUSIP: 3140QK6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22049558 | PA      | $20370123.27    | 0.15%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4979                                                   | FREDDIE MAC FHR 4979 SN                                  | CUSIP: 3137FTXU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12035002 | PA      | $1361694.30     | 0.01%             | 2050-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4070 FN 03/38 FIXED VAR                      | CUSIP: 3140J8QY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1433559 | PA      | $1377616.03     | 0.01%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                                      | MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A1 144A       | CUSIP: 576436AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      718003 | PA      | $426360.21      | 0.00%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE9717 FN 05/37 FIXED 4                        | CUSIP: 3140FVYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      744889 | PA      | $733416.13      | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5167                                                   | FREDDIE MAC FHR 5167 MI                                  | CUSIP: 3137H3M33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13126579 | PA      | $1692919.09     | 0.01%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                                | FANNIE MAE FNR 2012 146 HI                               | CUSIP: 3136ABFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3401125 | PA      | $312305.21      | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                     | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                      | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2960665 | PA      | $2983943.84     | 0.02%             | 2059-03-25      | Fixed         | 6.33%                 | 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        |    95742874 | PA      | $11792251.51    | 0.09%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                  | LEHMAN XS TRUST LXS 2006 18N A3                          | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4609652 | PA      | $4677080.46     | 0.03%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 1A2 144A      | CUSIP: 17324MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2184770 | PA      | $2028242.72     | 0.01%             | 2036-02-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-25                                                 | FANNIE MAE FNR 2019 25 ST                                | CUSIP: 3136B4YU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1321160 | PA      | $148700.75      | 0.00%             | 2049-01-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4704                                                   | FREDDIE MAC FHR 4704 SK                                  | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7433171 | PA      | $839646.51      | 0.01%             | 2047-07-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2838 FR 10/55 FIXED 5.5              | CUSIP: 31427QEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4068227 | PA      | $4160257.51     | 0.03%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                              | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                 | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2100629.69     | 0.02%             | 2035-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 4 A1 144A       | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4775672 | PA      | $4770711.17     | 0.03%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4622 FN 09/48 FIXED VAR                      | CUSIP: 3140J9D40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1800910 | PA      | $1725759.85     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-17                                                 | FANNIE MAE FNR 2014 17 HI                                | CUSIP: 3136AJYB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      228690 | PA      | $2267.53        | 0.00%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A BV 144A     | CUSIP: 03332AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $955788.00      | 0.01%             | 2038-04-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SL03 PIMCO CDSOPT CALL USD 102.25781250 2           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -217000000 | NC      | $-63298.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A1         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31459 | PA      | $28555.19       | 0.00%             | 2046-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-164                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 164 WI           | CUSIP: 38380KJB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2982034 | PA      | $173430.35      | 0.00%             | 2046-11-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2017-A                                      | COLLEGE AVE STUDENT LOANS CASL 2017 A A1 144A            | CUSIP: 194204AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1347860 | PA      | $1360877.54     | 0.01%             | 2046-11-26      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-208                                                      | FREDDIEMAC STRIP FHS 208 PO                              | CUSIP: 3128CVBL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42504 | PA      | $39859.08       | 0.00%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A      | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18018318 | PA      | $17968489.79    | 0.13%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-75                                                 | FANNIE MAE FNR 2013 75 SE                                | CUSIP: 3136AFQG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7318387 | PA      | $660227.59      | 0.00%             | 2043-02-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 2A2 144A     | CUSIP: 05968KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22257901 | PA      | $19973496.55    | 0.15%             | 2037-05-26      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A             | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1967376 | PA      | $1981167.02     | 0.01%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                   | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      341265 | PA      | $335964.59      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A B2R 144A         | CUSIP: ACI1W4389<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5600000 | PA      | $6109529.94     | 0.04%             | 2033-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 2A1          | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41198 | PA      | $37040.03       | 0.00%             | 2046-11-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A        | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167993 | PA      | $144015.53      | 0.00%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.17000 05/01/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $813070.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                             | ARGENT SECURITIES INC. ARSI 2004 W3 A3                   | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236795 | PA      | $256421.36      | 0.00%             | 2034-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-C                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 C 3A4          | CUSIP: 43709BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8403220 | PA      | $7809266.63     | 0.06%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     4800000 | NC      | $1041.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9970 FN 08/53 FIXED 6                        | CUSIP: 3140NTCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5459884 | PA      | $5664333.99     | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  JUN26 XCME 20260915                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2312 | NC      | $-1962480.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4             | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4837600 | PA      | $4433055.25     | 0.03%             | 2037-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                              | TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A                  | CUSIP: 87229WAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18530000 | PA      | $18566422.20    | 0.14%             | 2032-10-13      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-66                                                 | FANNIE MAE FNR 2013 66 KI                                | CUSIP: 3136AFWB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57660 | PA      | $5769.03        | 0.00%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 LI                                  | CUSIP: 3137HFXF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    52983581 | PA      | $11466266.75    | 0.08%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A       | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1875503 | PA      | $1792915.71     | 0.01%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5400.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 138 WI           | CUSIP: 38376MCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      429915 | PA      | $17368.99       | 0.00%             | 2045-08-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII 2018-1A                                        | STORE MASTER FUNDING LLC STR 2018 1A A2 144A             | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3979847 | PA      | $3940137.66     | 0.03%             | 2048-10-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                              | CUSIP: 912797TR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      377000 | PA      | $375444.81      | 0.00%             | 2026-05-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A C 144A       | CUSIP: 37989EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $513572.80      | 0.00%             | 2030-08-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO II DAC 2A                                                    | PROVIDUS CLO PRVD 2A ARR 144A                            | CUSIP: ACI2RB411<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1750000 | PA      | $2023185.12     | 0.01%             | 2038-10-15      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1526 FN 01/55 FIXED 4.5                      | CUSIP: 3140B1VU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      901900 | PA      | $876999.91      | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4100                                                   | FREDDIE MAC FHR 4100 EI                                  | CUSIP: 3137ASY40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1291504 | PA      | $16796.14       | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C42                              | CUSIP: 31424QLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37418115 | PA      | $1858080.33     | 0.01%             | 2037-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/01/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2257227.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1612 FN 10/30 FIXED 5.2                      | CUSIP: 3140NVYJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3953522 | PA      | $4094714.11     | 0.03%             | 2030-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q19615 FG 07/43 FIXED 4                | CUSIP: 3132JBDV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45728 | PA      | $44285.10       | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                     | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 12A1           | CUSIP: 02660TJB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3286905 | PA      | $2988669.59     | 0.02%             | 2046-03-25      | Floating      | 4.19%                 | 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        |     1472506 | PA      | $757657.96      | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HSBC ASSET LOAN OBLIGATION 2006-2                                         | HSI ASSET LOAN OBLIGATION HALO 2006 2 1A8                | CUSIP: 40431HAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      726132 | PA      | $64975.33       | 0.00%             | 2036-12-25      | Floating      | 2.84%                 | 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     | 0.02%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004291 G2 11/38 FIXED 6                     | CUSIP: 36202EXU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2393 | PA      | $2515.84        | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | 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        |     4741081 | PA      | $4770865.34     | 0.03%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-55                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 55 D             | CUSIP: 38379LZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268512 | PA      | $221472.39      | 0.00%             | 2042-12-20      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $188581385.68   | 1.38%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-11                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 11 2A1A        | CUSIP: 41161PUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16869 | PA      | $16200.59       | 0.00%             | 2045-08-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4979                                                   | FREDDIE MAC FHR 4979 YS                                  | CUSIP: 3137FTYA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24128248 | PA      | $2678303.08     | 0.02%             | 2050-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8309 FR 03/53 FIXED 6                | CUSIP: 3132DWGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18416903 | PA      | $18881373.74    | 0.14%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10885.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS4671 FN 05/53 FIXED VAR                      | CUSIP: 3140XLFM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2526656 | PA      | $2646326.66     | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6714 FN 07/53 FIXED 4.5                      | CUSIP: 3140QSN80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8986162 | PA      | $8782528.81     | 0.06%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD4486 FN 04/55 FIXED 6                        | CUSIP: 3140B46Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1092231 | PA      | $1134066.90     | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC2221 FN 03/56 FIXED 5                        | CUSIP: 3140Y8PF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10894093 | PA      | $10850687.26    | 0.08%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG3366 FR 05/53 FIXED 5.5              | CUSIP: 3133C3W36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1012136 | PA      | $1036515.90     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -615999272 | PA      | $-616943435.37  | -4.52%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-36                                                 | FANNIE MAE FNR 2019 36 S                                 | CUSIP: 3136B4P28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2232768 | PA      | $243314.78      | 0.00%             | 2049-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2025 A A2 144A      | CUSIP: 02007G5D1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11076583 | PA      | $11098704.96    | 0.08%             | 2033-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA3667 FN 06/49 FIXED 4                        | CUSIP: 3140QBCD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      934049 | PA      | $896202.96      | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H06 PT           | CUSIP: 38381TC60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1068272 | PA      | $1036726.75     | 0.01%             | 2069-01-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0257 FN 04/55 FIXED 6                        | CUSIP: 3140Y6JB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24107809 | PA      | $25037159.50    | 0.18%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-62                                                 | FANNIE MAE FNR 2010 62 CE                                | CUSIP: 31398RWN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11545 | PA      | $11532.13       | 0.00%             | 2040-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM B 144A     | CUSIP: 05549RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3300000 | PA      | $3132874.47     | 0.02%             | 2037-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                              | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2423000 | PA      | $2419828.22     | 0.02%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 03/18/26-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1796549.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                | CAPITAL FOUR CLO CFOUR 10A A 144A                        | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2884598.76     | 0.02%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C14                             | CUSIP: 31325YQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29232440 | PA      | $3493941.31     | 0.03%             | 2052-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2388 FR 05/51 FIXED 3                | CUSIP: 3133ALUM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      629067 | PA      | $559872.80      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM C 144A     | CUSIP: 05549RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6557769.40     | 0.05%             | 2037-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC           | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17661772 | PA      | $18078932.66    | 0.13%             | 2073-05-20      | Floating      | 4.77%                 | 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        |      443635 | PA      | $447207.05      | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST 2023-DC                                      | DC COMMERCIAL MORTGAGE TRUST DC 2023 DC A 144A           | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4300000 | PA      | $4386747.34     | 0.03%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL V84392 FG 06/48 FIXED 4.5              | CUSIP: 3132L92Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36135 | PA      | $35590.59       | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 804377 FN 12/34 FLOATING VAR                   | CUSIP: 31406AUA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88128 | PA      | $89890.07       | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1                       | SANTANDER MORTGAGE ASSET RECEI SAN 2025 NQM1 A1 144A     | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2404145 | PA      | $2413023.07     | 0.02%             | 2065-01-25      | Fixed         | 5.54%                 | 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      | $-9593.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8566 G2 01/53 FIXED 3.5                   | CUSIP: 36179XQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1006945 | PA      | $934386.39      | 0.01%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS4                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS4 A8          | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104702 | PA      | $87800.41       | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C25                              | CUSIP: 31424QKY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3816504 | PA      | $631974.82      | 0.00%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9NPA4 PIMCO FPPSWAPTION 4.4 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   148400000 | NC      | $7245689.36     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL11 LLC                                                       | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL11 A1 144A   | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1534454 | PA      | $1535617.22     | 0.01%             | 2055-10-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2185 FN 06/47 FIXED 4                        | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84123 | PA      | $80439.54       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV2                                                             | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV2 A9 144A       | CUSIP: 90354TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6958446 | PA      | $6537634.81     | 0.05%             | 2051-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-97                                                 | FANNIE MAE FNR 2012 97 MG                                | CUSIP: 3136A73E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      187092 | PA      | $186007.06      | 0.00%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF2                  | CUSIP: 362375AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13781092 | PA      | $2978642.38     | 0.02%             | 2036-06-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKY0 PIMCO CDSOPT PUT USD 99.09375000 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    78000000 | NC      | $67337.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ7040 FN 08/38 FIXED 4                        | CUSIP: 3140H8ZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295580 | PA      | $290747.32      | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                   | FREDDIE MAC FHR 4851 PF                                  | CUSIP: 3137FKAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22326838 | PA      | $21751200.65    | 0.16%             | 2057-08-15      | Floating      | 4.19%                 | 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      | $-7681.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 439                                             | FANNIEMAE STRIP FNS 439 C25                              | CUSIP: 31424UK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   114969352 | PA      | $23922529.58    | 0.18%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-42                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 42 BI            | CUSIP: 38376MTE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      158053 | PA      | $1690.77        | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4902                                                   | FREDDIE MAC FHR 4902 CS                                  | CUSIP: 3137FN2Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3154747 | PA      | $429277.15      | 0.00%             | 2049-08-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ7675 FR 11/54 FIXED 6                | CUSIP: 3133CYQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      940850 | PA      | $976159.04      | 0.01%             | 2054-11-01      | 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        |      299291 | PA      | $17000.41       | 0.00%             | 2041-10-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4662 FN 07/42 FIXED 4                        | CUSIP: 31418EFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      338772 | PA      | $331219.45      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4974                                                          | FREDDIE MAC FHR 4974 IT                                  | CUSIP: 3137FTDK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10079387 | PA      | $1793879.84     | 0.01%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                                | FANNIE MAE FNR 2012 111 SE                               | CUSIP: 3136A9DU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3665472 | PA      | $406229.66      | 0.00%             | 2042-10-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-1                                       | UPSTART SECURITIZATION TRUST UPST 2025 1 B 144A          | CUSIP: 91684PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      800000 | PA      | $812990.56      | 0.01%             | 2035-04-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN8528 FN 03/33 FIXED 3.43                     | CUSIP: 3138LMPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      949098 | PA      | $899807.36      | 0.01%             | 2033-03-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                                      | ARBOUR CLO ARBR 6A AR 144A                               | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2312062.68     | 0.02%             | 2037-11-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2234 FN 08/38 FIXED 4                        | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      745446 | PA      | $734074.96      | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5199                                               | FREDDIE MAC FHR 5199 PI                                  | CUSIP: 3137H6B61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17805089 | PA      | $2607786.81     | 0.02%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-119                                                       | FANNIE MAE FNR 2006 119 SW                               | CUSIP: 31396LM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22050 | PA      | $24042.18       | 0.00%             | 2036-12-25      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 13 AX3 144A          | CUSIP: 46592XBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6967171 | PA      | $949872.76      | 0.01%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1497 FN 07/37 FIXED VAR                      | CUSIP: 3140J5UX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1635294 | PA      | $1605989.96     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7534 FN 04/50 FIXED VAR                      | CUSIP: 3140XBLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2332397 | PA      | $2162252.27     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-27                                                 | FANNIE MAE FNR 2018 27 SA                                | CUSIP: 3136B1L69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1662208 | PA      | $195415.29      | 0.00%             | 2048-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A           | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5594139 | PA      | $5638984.89     | 0.04%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A4          | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3700000 | PA      | $3728170.32     | 0.03%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8674 FN 01/37 FIXED 4                        | CUSIP: 3138WJT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      320124 | PA      | $312029.12      | 0.00%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR12 A1         | CUSIP: 45660N5H4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      180191 | PA      | $138791.66      | 0.00%             | 2034-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                       | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A A 144A      | CUSIP: 03331MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    25000000 | PA      | $24792055.00    | 0.18%             | 2040-10-22      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL2 A1 144A    | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3307684 | PA      | $3127303.41     | 0.02%             | 2064-06-25      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2019-65                                                        | FANNIE MAE FNR 2019 65 F                                 | CUSIP: 3136B7AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1187857 | PA      | $1171968.52     | 0.01%             | 2059-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9EEA6 PIMCO FPPSWAPTION 4.52 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35700000 | NC      | $2079378.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS2669 FN 09/43 FIXED 3                        | CUSIP: 3138WB6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      282604 | PA      | $270510.70      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN6267 FN 04/49 FIXED 4                        | CUSIP: 3140JN6D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      198011 | PA      | $189640.27      | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD6210 FR 08/54 FIXED 6.5              | CUSIP: 3132DT3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5520174 | PA      | $5780983.85     | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4077                                                   | FREDDIE MAC FHR 4077 MS                                  | CUSIP: 3137ASCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4269784 | PA      | $433598.28      | 0.00%             | 2042-07-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8W8A4 PIMCO SWAPTION 5.0 PUT USD 20260406            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   162400000 | NC      | $16.24          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 B 144A      | CUSIP: 78486BAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5034561.70     | 0.04%             | 2038-04-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4843 FN 02/48 FIXED 4                        | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      457353 | PA      | $438197.42      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR-2016-26                                             | FANNIE MAE FNR 2016 26 AI                                | CUSIP: 3136AR4B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11012472 | PA      | $2586530.24     | 0.02%             | 2045-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                        | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A43          | CUSIP: 94985JBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7111 | PA      | $6259.00        | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AF1001 G2 06/43 FIXED 3.5                   | CUSIP: 36181GDE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93641 | PA      | $86523.47       | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBP DEPOSITOR LLC TRUST 2019-OBP                                          | ONE BRYANT PARK TRUST OBP 2019 OBP A 144A                | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40000000 | PA      | $36989908.00    | 0.27%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB1457 FR 03/40 FIXED 5.5              | CUSIP: 3132CXTN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12710817 | PA      | $12967455.30    | 0.09%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-INV4 TRUST                                                      | GCAT GCAT 2025 INV4 A5 144A                              | CUSIP: 367920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40869663 | PA      | $40926471.44    | 0.30%             | 2055-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8448 FR 07/54 FIXED 6.5              | CUSIP: 3132DWL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      523401 | PA      | $541780.10      | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                               | WATR ISSUER TRUST WATR 2025 2 D 144A                     | CUSIP: 94260AAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5100000 | PA      | $5044242.52     | 0.04%             | 2050-09-16      | Fixed         | 6.16%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2019-9                                                  | FANNIE MAE FNR 2019 9 FA                                 | CUSIP: 3136B33L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      376487 | PA      | $373382.79      | 0.00%             | 2049-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5340 FN 04/44 FIXED 6                        | CUSIP: 31418E5A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9722 | PA      | $9946.95        | 0.00%             | 2044-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2BA1                  | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43962 | PA      | $34786.46       | 0.00%             | 2037-07-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5590 FN 07/53 FIXED VAR                      | CUSIP: 3140XMF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18222 | PA      | $18416.81       | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4840                                                   | FREDDIE MAC FHR 4840 AO                                  | CUSIP: 3137FJRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1736975 | PA      | $1210361.35     | 0.01%             | 2053-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2026-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2026 H01 FL           | CUSIP: 38384LZ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23583385 | PA      | $23781061.35    | 0.17%             | 2075-11-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-I2                                                         | CIM TRUST CIM 2023 I2 A1 144A                            | CUSIP: 12570HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2588373 | PA      | $2591903.80     | 0.02%             | 2067-12-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-401                                                      | FREDDIEMAC STRIP FHS 401 C15                             | CUSIP: 3142G47L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    55508922 | PA      | $11858308.88    | 0.09%             | 2053-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QZ4716 FR 10/55 FIXED 6.5              | CUSIP: 31427CG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6987943 | PA      | $7375570.41     | 0.05%             | 2055-10-01      | Fixed         | 6.50%                 | 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        |     1235118 | PA      | $545097.16      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | 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        |       98572 | PA      | $101426.49      | 0.00%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9007 FN 08/54 FIXED 6                        | CUSIP: 3140QVAH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8708470 | PA      | $9017628.90     | 0.07%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4116                                                   | FREDDIE MAC FHR 4116 DS                                  | CUSIP: 3137AVL54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      417752 | PA      | $44148.52       | 0.00%             | 2042-08-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2639 FR 07/55 FIXED 6.5              | CUSIP: 31427P4Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4436237 | PA      | $4701225.43     | 0.03%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BA7051 FN 04/46 FIXED 4                        | CUSIP: 3140EBZR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      264739 | PA      | $252283.30      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A D 144A                       | CUSIP: ACI2SNZ51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2693000 | PA      | $3557318.57     | 0.03%             | 2066-05-16      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/13/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1682431.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC2670 FN 02/46 FIXED 4                        | CUSIP: 3140EW6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46615 | PA      | $44804.78       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5287                                                   | FREDDIE MAC FHR 5287 IO                                  | CUSIP: 3137H9MY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36665682 | PA      | $6225726.51     | 0.05%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                              | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      577000 | PA      | $573415.98      | 0.00%             | 2026-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-73                                                 | FANNIE MAE FNR 2014 73 AS                                | CUSIP: 3136ALMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8810056 | PA      | $951576.84      | 0.01%             | 2044-11-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                   | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 AX3 144A      | CUSIP: 90355RBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5806071 | PA      | $789936.33      | 0.01%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-4110                                                          | FREDDIE MAC FHR 4110 AI                                  | CUSIP: 3137AU5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84002 | PA      | $1177.51        | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                  | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A      | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2326835 | PA      | $2136560.84     | 0.02%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A       | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15644306 | PA      | $15635807.91    | 0.11%             | 2053-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5071                                                   | FREDDIE MAC FHR 5071 IO                                  | CUSIP: 3137F9R60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24870048 | PA      | $2734752.79     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST SERIES 2007-OAR5               | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 OAR5 1A1        | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4430542 | PA      | $1078469.33     | 0.01%             | 2047-10-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8030 FN 05/55 FIXED 6                        | CUSIP: 3140B84Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      821345 | PA      | $853030.50      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBKVA0 PIMCO SWAPTION 3.78 PUT USD 20260714           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -316500000 | NC      | $-3470422.50    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $687793.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS           | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      323052 | PA      | $209543.10      | 0.00%             | 2045-09-20      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBW3A5 PIMCO SWAPTION 3.224 CALL USD 202605           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   104000000 | NC      | $129188.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-20                                                 | FANNIE MAE FNR 2016 20 EI                                | CUSIP: 3136ARXE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133465 | PA      | $13274.50       | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY3 1A1        | CUSIP: 02148DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44623 | PA      | $35858.92       | 0.00%             | 2047-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                     | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A3 144A        | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3500000 | PA      | $3530233.00     | 0.03%             | 2028-08-21      | Fixed         | 4.98%                 | 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        |      232579 | PA      | $202051.09      | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-38                                                 | FANNIE MAE FNR 2013 38 CB                                | CUSIP: 3136ADNY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1543172 | PA      | $1513659.52     | 0.01%             | 2028-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                      | WSTN TRUST WSTN 2023 MAUI A 144A                         | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16100000 | PA      | $16274335.63    | 0.12%             | 2037-07-05      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H08 FC           | CUSIP: 38383KYQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253796 | PA      | $254117.31      | 0.00%             | 2074-05-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FP0132 FN 02/55 FIXED VAR                      | CUSIP: 3140XTEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21843234 | PA      | $22610579.26    | 0.17%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A     | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5300000 | PA      | $5066581.64     | 0.04%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0822 FN 02/55 FIXED VAR                      | CUSIP: 3140W04G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31681163 | PA      | $32944761.61    | 0.24%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H09 FA           | CUSIP: 38383XNS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6758061 | PA      | $6820603.98     | 0.05%             | 2073-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2007-2                                  | CITICORP RESIDENTIAL MORTGAGE CRMSI 2007 2 M2            | CUSIP: 17312HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8883474 | PA      | $7985670.16     | 0.06%             | 2037-06-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4594 FR 08/55 FIXED 6.5              | CUSIP: 3142GVC82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9535447 | PA      | $10048963.24    | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A     | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2020429 | PA      | $2029975.43     | 0.01%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -186500000 | NC      | $-1012750.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVI LTD 2019-36A                                   | MADISON PARK FUNDING LTD MDPK 2019 36A A1RR 144A         | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000260.94     | 0.01%             | 2035-04-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-42                                                        | FANNIE MAE FNR 2020 42 IB                                | CUSIP: 3136B96V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8571615 | PA      | $1083479.59     | 0.01%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA           | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43239 | PA      | $43394.49       | 0.00%             | 2066-07-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -82500000 | NC      | $-137585.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SNS0 PIMCO CDSOPT CALL USD 100.03125000 2           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -46000000 | NC      | $-56276.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 757004 FN 11/33 FIXED 5                        | CUSIP: 31403TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29341 | PA      | $29275.14       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | 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        |       26355 | PA      | $24228.00       | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | 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        |    19263298 | PA      | $18076335.88    | 0.13%             | 2052-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF1 A1 144A    | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1520089 | PA      | $1501414.29     | 0.01%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                            | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A        | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $999864.70      | 0.01%             | 2034-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2005-2                                            | NEW YORK MORTGAGE TRUST NYMT 2005 2 A                    | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1017115 | PA      | $931173.87      | 0.01%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A               | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4161428 | PA      | $4177417.57     | 0.03%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C R             | CUSIP: 83407XAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5091146 | PA      | $6726598.57     | 0.05%             | 2034-10-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1037 FN 01/38 FIXED 4                        | CUSIP: 3140Q8EK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      813411 | PA      | $797267.84      | 0.01%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1        | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1353743 | PA      | $1310935.14     | 0.01%             | 2036-06-25      | Floating      | 4.03%                 | 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        |       57810 | PA      | $55421.43       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB7517 FN 01/33 FIXED 2.5                      | CUSIP: 31417EK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      742041 | PA      | $707305.53      | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C37                             | CUSIP: 3142G4V81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32772217 | PA      | $5116072.43     | 0.04%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                           | AVON FINANCE AVON 4A A 144A                              | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    12498717 | PA      | $16556593.11    | 0.12%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                         | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A          | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5006868 | PA      | $5050977.39     | 0.04%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3387 FN 11/55 FIXED VAR                      | CUSIP: 3140W3XR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2564499 | PA      | $2613070.22     | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1641 FR 12/54 FIXED 5.5              | CUSIP: 31425VZF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4847905 | PA      | $4948795.41     | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783613 GN 01/42 FIXED 4.5                      | CUSIP: 3622A2AN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16567 | PA      | $16502.05       | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 SA 144A    | CUSIP: 362951AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29306 | PA      | $29123.65       | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                                 | FANNIE MAE FNR 2016 63 YI                                | CUSIP: 3136ATXU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      278068 | PA      | $22446.35       | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4820                                                          | FREDDIE MAC FHR 4820 SB                                  | CUSIP: 3137FHJ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1467861 | PA      | $161401.14      | 0.00%             | 2048-08-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                         | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A          | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2493283 | PA      | $2507264.83     | 0.02%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A           | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       71837 | PA      | $71877.81       | 0.00%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0304 FR 09/34 FIXED 5.07             | CUSIP: 3132WRKF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      966687 | PA      | $990834.72      | 0.01%             | 2034-09-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5040                                                   | FREDDIE MAC FHR 5040 ID                                  | CUSIP: 3137F6PA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39258659 | PA      | $4649618.95     | 0.03%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 1A1        | CUSIP: 45661HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1537758 | PA      | $1358081.39     | 0.01%             | 2036-09-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A        | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1280231 | PA      | $1267629.75     | 0.01%             | 2044-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE 322                                                             | FANNIEMAE STRIP FNS 322 2                                | CUSIP: 3136FALR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44188 | PA      | $4806.37        | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                    | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM C 144A       | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8800000 | PA      | $8564600.00     | 0.06%             | 2036-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0426 FN 02/40 FIXED VAR                      | CUSIP: 3140W0PL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    70762007 | PA      | $72190727.80    | 0.53%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P D 144A      | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24544000 | PA      | $22240290.34    | 0.16%             | 2038-12-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 2A2A                  | CUSIP: 3622ECAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5135671 | PA      | $2228238.08     | 0.02%             | 2047-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-118                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 118 WI           | CUSIP: 38380GNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1639910 | PA      | $75788.27       | 0.00%             | 2046-06-20      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                    | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A           | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20000000 | PA      | $20008684.00    | 0.15%             | 2034-10-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2984 FN 08/45 FIXED VAR                      | CUSIP: 3140X6J69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7559344 | PA      | $7302588.54     | 0.05%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                          | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6915 | PA      | $6594.06        | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHR 3387                                                                  | FREDDIE MAC FHR 3387 PO                                  | CUSIP: 31397PFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5368 | PA      | $4619.36        | 0.00%             | 2037-11-15      | None          | 0.00%                 | 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        |     4645615 | PA      | $3284930.81     | 0.02%             | 2045-07-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-110                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 110 SA           | CUSIP: 38380FUN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4300041 | PA      | $257307.16      | 0.00%             | 2043-04-20      | Floating      | 1.40%                 | 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        |    10000000 | PA      | $8961883.60     | 0.07%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004801 G2 09/40 FIXED 4.5                   | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4932624 | PA      | $4890951.04     | 0.04%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1073 FN 11/39 FIXED VAR                      | CUSIP: 3140W1FP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11682979 | PA      | $11918864.35    | 0.09%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-10                                          | JP MORGAN MORTGAGE TRUST JPMMT 2024 10 A11 144A          | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9971187 | PA      | $9997075.86     | 0.07%             | 2055-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9152 FN 09/54 FIXED 6                        | CUSIP: 3140QVE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5403318 | PA      | $5585447.12     | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H050649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      600000 | PA      | $594322.03      | 0.00%             | 2056-04-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   363732208 | PA      | $365464358.97   | 2.68%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A                | GMF CANADA LEASING TRUST GCOLT 2024 1A A3 144A           | CUSIP: 36252MDG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     3328697 | PA      | $2406084.58     | 0.02%             | 2029-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-63                                                 | FANNIE MAE FNR 2020 63 NI                                | CUSIP: 3136BBA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10263714 | PA      | $1897702.17     | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-83                                                 | FANNIE MAE FNR 2015 83 IO                                | CUSIP: 3136AQKF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4794950 | PA      | $663550.05      | 0.00%             | 2043-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-4                                                  | FANNIE MAE FNR 2021 4 IO                                 | CUSIP: 3136BDD39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17290961 | PA      | $2804135.70     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8001 FN 06/54 FIXED VAR                      | CUSIP: 3140XP3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253342 | PA      | $257381.72      | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4792 FR 09/55 FIXED 6.5              | CUSIP: 3142GVKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3514712 | PA      | $3721498.94     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | 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        |     6327000 | PA      | $6418229.01     | 0.05%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA7152 FN 02/54 FIXED 6.5                      | CUSIP: 3140A75N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      571836 | PA      | $602661.37      | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3785                                                   | FREDDIE MAC FHR 3785 LS                                  | CUSIP: 3137A5L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495191 | PA      | $453542.54      | 0.00%             | 2041-01-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4776                                                   | FREDDIE MAC FHR 4776 SP                                  | CUSIP: 3137F4RD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1477086 | PA      | $195184.98      | 0.00%             | 2048-03-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4062                                                   | FREDDIE MAC FHR 4062 KZ                                  | CUSIP: 3137ARG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $37.23          | 0.00%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 C 144A      | CUSIP: 78486BAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7825000 | PA      | $7902683.00     | 0.06%             | 2038-04-18      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U69JA5 PIMCO SWAPTION 3.3125 CALL USD 20260           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   173000000 | NC      | $453554.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2025-1A                                                  | FIRST HELP FINANCIAL LLC FHF 2025 1A A2 144A             | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7699379 | PA      | $7698955.00     | 0.06%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B        | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2681461 | PA      | $997881.69      | 0.01%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A1          | CUSIP: 86359SAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14850000 | PA      | $14447201.33    | 0.11%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2641 FR 08/55 FIXED 6.5              | CUSIP: 31427P5B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4947946 | PA      | $5236064.13     | 0.04%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-B                                      | COLLEGE AVE STUDENT LOANS CASL 2021 B A2 144A            | CUSIP: 19425AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6534711 | PA      | $5946406.91     | 0.04%             | 2052-06-25      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                  | FANNIE MAE FNR 2022 3 SD                                 | CUSIP: 3136BLEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   176919264 | PA      | $709817.78      | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3         | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      678343 | PA      | $669432.98      | 0.00%             | 2034-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53213 FG 12/47 FIXED 4                | CUSIP: 3132XVSB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2474388 | PA      | $2377328.53     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3873 FR 12/55 FIXED 5                | CUSIP: 31427RJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32895595 | PA      | $32745086.16    | 0.24%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                      | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A A 144A      | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2849682 | PA      | $2877424.34     | 0.02%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 BS           | CUSIP: 38379MY32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      859646 | PA      | $47795.10       | 0.00%             | 2041-07-20      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A   | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26200000 | PA      | $26208474.91    | 0.19%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5425 FN 07/39 FIXED 5.5                      | CUSIP: 31418FA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1542151 | PA      | $1573287.93     | 0.01%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A      | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15583813 | PA      | $15647045.43    | 0.11%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1272 FR 02/55 FIXED 6.5              | CUSIP: 31427NMW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7863832 | PA      | $8244169.59     | 0.06%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                                 | FANNIE MAE FNR 2014 43 PF                                | CUSIP: 3136AKKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      649444 | PA      | $645793.16      | 0.00%             | 2042-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B A2 144A      | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1836843 | PA      | $1849643.37     | 0.01%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3385 FN 07/55 FIXED VAR                      | CUSIP: 3140W3XP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      856611 | PA      | $876985.06      | 0.01%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4563 FN 11/49 FIXED 3.5                      | CUSIP: 3140QCB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23695023 | PA      | $22161949.19    | 0.16%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5004                                                   | FREDDIE MAC FHR 5004 ST                                  | CUSIP: 3137FVDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21746903 | PA      | $2964957.47     | 0.02%             | 2050-07-25      | Floating      | 2.42%                 | 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      | $6216.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                            | COUNTRYWIDE HOME LOANS CWHL 2007 17 2A1                  | CUSIP: 12544KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9615815 | PA      | $2724547.08     | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6285 FN 05/43 FIXED 5                        | CUSIP: 3140QR6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1608221 | PA      | $1622894.82     | 0.01%             | 2043-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK2411 FN 02/42 FIXED 4                        | CUSIP: 3138E6VD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       84878 | PA      | $82023.23       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2006-W3                                              | FANNIEMAE WHOLE LOAN FNW 2006 W3 1AS                     | CUSIP: 31396L7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3217342 | PA      | $153325.97      | 0.00%             | 2046-10-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2984 FR 10/55 FIXED 5.5              | CUSIP: 31427QJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1961300 | PA      | $2002021.46     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-3                                    | JP MORGAN MORTGAGE TRUST JPMMT 2025 3 A1D 144A           | CUSIP: 46593RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7760147 | PA      | $7755984.05     | 0.06%             | 2055-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2B           | CUSIP: 14319UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4177412 | PA      | $4181184.58     | 0.03%             | 2028-05-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| MFA 2021-AEINV2 TRUST                                                     | MFRA TRUST MFRA 2021 AEI2 AX3 144A                       | CUSIP: 55284CBS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    26803521 | PA      | $4181675.00     | 0.03%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9318 FN 10/54 FIXED 5.5                      | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7596553 | PA      | $7771788.59     | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5768 FN 07/45 FIXED 6                        | CUSIP: 31418FMS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      688915 | PA      | $706194.96      | 0.01%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H03                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H03 FM           | CUSIP: 38381RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      768749 | PA      | $774888.47      | 0.01%             | 2069-02-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                  | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1 144A    | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3433952 | PA      | $3343347.06     | 0.02%             | 2064-06-25      | Fixed         | 4.00%                 | 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        |     1286267 | PA      | $1187254.29     | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1303 FN 04/47 FIXED VAR                      | CUSIP: 3140J5NV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      260837 | PA      | $251192.51      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A      | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1848766 | PA      | $1803072.56     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY0131 FN 05/53 FIXED 5.5                      | CUSIP: 3140NGED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5273839 | PA      | $5372183.47     | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4                | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      125391 | PA      | $122537.69      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA           | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    70277074 | PA      | $71279491.77    | 0.52%             | 2073-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1          | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2573635 | PA      | $2428184.31     | 0.02%             | 2037-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                | ARES CLO LTD ARES 2013 2A AR3 144A                       | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19100000 | PA      | $19123177.66    | 0.14%             | 2034-10-28      | Floating      | 4.82%                 | 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        |     8821286 | PA      | $9030027.17     | 0.07%             | 2073-06-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-168                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 168 QT           | CUSIP: 38380TTB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24680 | PA      | $22584.58       | 0.00%             | 2046-11-20      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-152                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 152 AI           | CUSIP: 38379FAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2742235 | PA      | $124257.54      | 0.00%             | 2040-05-20      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3921                                                   | FREDDIE MAC FHR 3921 US                                  | CUSIP: 3137AFFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      478166 | PA      | $324502.33      | 0.00%             | 2041-09-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    62200000 | NC      | $3085480.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                            | FREMONT HOME LOAN TRUST FHLT 2005 B M5                   | CUSIP: 35729PJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3534581 | PA      | $3506801.82     | 0.03%             | 2035-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4825                                                   | FREDDIE MAC FHR 4825 NI                                  | CUSIP: 3137FH6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1171528 | PA      | $188048.95      | 0.00%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                   | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                     | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     5500000 | PA      | $5507522.90     | 0.04%             | 2033-10-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-1                                                  | FANNIE MAE FNR 2013 1 IL                                 | CUSIP: 3136ABYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      142722 | PA      | $1860.28        | 0.00%             | 2028-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 26-AE1                                 | ELLINGTON FINANCIAL MORTGAGE T EFMT 2026 AE1 A29 144A    | CUSIP: 26846NBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34416530 | PA      | $34394609.82    | 0.25%             | 2060-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-136                                                | FANNIE MAE FNR 2012 136 DS                               | CUSIP: 3136A97E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      734083 | PA      | $543722.77      | 0.00%             | 2042-12-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2        | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      920651 | PA      | $901032.89      | 0.01%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2025-HB1                                   | FINANCE OF AMERICA HECM BUYOUT FAHB 2025 HB1 A 144A      | CUSIP: 31735EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4598121 | PA      | $4555067.86     | 0.03%             | 2035-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 DF           | CUSIP: 38380LA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      478681 | PA      | $482008.41      | 0.00%             | 2069-09-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-157                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 157 SB           | CUSIP: 38379FCF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      337496 | PA      | $350613.29      | 0.00%             | 2045-10-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM1 TRUST                                                      | GCAT GCAT 2024 NQM1 A1 144A                              | CUSIP: 36169HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300156 | PA      | $2311207.55     | 0.02%             | 2059-01-25      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AV3786 G2 11/46 FIXED 3.5                   | CUSIP: 36195EF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      832516 | PA      | $774851.68      | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4150                                                   | FREDDIE MAC FHR 4150 HS                                  | CUSIP: 3137AY4T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1888579 | PA      | $1012830.79     | 0.01%             | 2043-01-15      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0947 FR 07/54 FIXED 5.5              | CUSIP: 3133CRBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      981420 | PA      | $994478.22      | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H02 JA           | CUSIP: 38380LQA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1165236 | PA      | $1119303.13     | 0.01%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                             | FANNIEMAE STRIP FNS 418 C3                               | CUSIP: 31395Q2T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2340590 | PA      | $367338.03      | 0.00%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                                | FANNIE MAE FNR 2012 146 KI                               | CUSIP: 3136ABGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2719815 | PA      | $299957.28      | 0.00%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A            | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14812362 | PA      | $13634675.84    | 0.10%             | 2047-06-25      | Floating      | 4.07%                 | 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     | 0.03%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5194 FN 05/55 FIXED 6                        | CUSIP: 3140B5XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2761008 | PA      | $2872458.74     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-73                                                 | FANNIE MAE FNR 2015 73 ES                                | CUSIP: 3136AP7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      584450 | PA      | $382954.95      | 0.00%             | 2045-10-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 226                                                    | FREDDIEMAC STRIP FHS 226 PO                              | CUSIP: 3128HVBU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      239154 | PA      | $206209.03      | 0.00%             | 2034-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC1                                   | STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 A1          | CUSIP: 86362PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8612179 | PA      | $8395236.05     | 0.06%             | 2037-02-25      | Floating      | 4.06%                 | 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        |     7556926 | PA      | $7588220.32     | 0.06%             | 2051-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SH32 PIMCO CDSOPT PUT USD 94.09375000 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -81500000 | NC      | $-193676.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                       | DOLP TRUST DOLP 2021 NYC E 144A                          | CUSIP: 23345LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27180000 | PA      | $22306182.97    | 0.16%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A        | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      830145 | PA      | $831445.25      | 0.01%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0724 FN 07/54 FIXED VAR                      | CUSIP: 3140W0YW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7557156 | PA      | $7977874.10     | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |     3083000 | PA      | $3058949.49     | 0.02%             | 2054-03-11      | Fixed         | 5.53%                 | 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        |       11533 | PA      | $11099.27       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-61                                                 | FANNIE MAE FNR 2020 61 FB                                | CUSIP: 3136BBF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6953509 | PA      | $6463345.30     | 0.05%             | 2050-09-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R B2 144A     | CUSIP: 64831EAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2296364.75     | 0.02%             | 2058-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 153 WI           | CUSIP: 38380HB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2621737 | PA      | $133892.35      | 0.00%             | 2046-10-20      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA3056 G2 08/45 FLOATING VAR                | CUSIP: 36179RMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      373604 | PA      | $380900.08      | 0.00%             | 2045-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1314 FN 01/48 FIXED 4                        | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1193044 | PA      | $1144692.39     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-ASP1                                             | ACE SECURITIES CORP. ACE 2006 ASP1 M1                    | CUSIP: 004421VX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3653822 | PA      | $3560129.60     | 0.03%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 DI                                 | CUSIP: 3136BDYF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17225452 | PA      | $2346308.08     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A RC 144A                      | CUSIP: ACI2SP013<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        8407 | PA      | $638853.03      | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0824 FN 01/55 FIXED 6                        | CUSIP: 3140B04J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      573972 | PA      | $591695.74      | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                 | FANNIE MAE FNR 2021 59 KI                                | CUSIP: 3136BGB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19840233 | PA      | $4788700.12     | 0.04%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD7515 FN 05/55 FIXED 6                        | CUSIP: 3140B8K59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1145195 | PA      | $1190244.57     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C29                             | CUSIP: 3142G4VX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99524956 | PA      | $12401963.03    | 0.09%             | 2052-06-25      | Fixed         | 2.00%                 | 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        |     1673074 | PA      | $1533095.70     | 0.01%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J4                                            | COUNTRYWIDE HOME LOANS CWHL 2004 J4 1A1                  | CUSIP: 12669FUM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143449 | PA      | $138540.97      | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 EI                                  | CUSIP: 3137F9WW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32501801 | PA      | $5713156.91     | 0.04%             | 2051-02-25      | Fixed         | 3.50%                 | 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        |    17675293 | PA      | $18133026.49    | 0.13%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4194                                                   | FREDDIE MAC FHR 4194 GS                                  | CUSIP: 3137B1JU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      361285 | PA      | $245506.56      | 0.00%             | 2043-04-15      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-205                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 205 FG           | CUSIP: 38385K4B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1728964 | PA      | $1730604.97     | 0.01%             | 2053-12-20      | Floating      | 4.52%                 | 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        |     1593712 | PA      | $753632.41      | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |     3678990 | PA      | $4257636.81     | 0.03%             | 2034-04-24      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                              | FANNIE MAE   CAS CAS 2022 R04 1M2 144A                   | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3750000 | PA      | $3803685.00     | 0.03%             | 2042-03-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2582 FN 12/29 FIXED 4.3                      | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10022000 | PA      | $10065826.41    | 0.07%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT9839 FN 06/43 FIXED 4                        | CUSIP: 3138WX4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22114 | PA      | $21356.30       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | 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        |     9779556 | PA      | $8857284.56     | 0.06%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-53                                                        | FANNIE MAE FNR 2004 53 ED                                | CUSIP: 31394ABQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200388 | PA      | $175583.17      | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 2A1                     | CUSIP: 52520QAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25605454 | PA      | $5491153.69     | 0.04%             | 2036-11-25      | Floating      | 4.24%                 | 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      | $1045130.19     | 0.01%             |  |  |  | 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        |    20083111 | PA      | $19928953.14    | 0.15%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A        | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15140000 | PA      | $15064177.37    | 0.11%             | 2038-05-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4830 FR 09/55 FIXED 5.5              | CUSIP: 3142GVLL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1544827 | PA      | $1580265.13     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | 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        |     2393090 | PA      | $1169446.12     | 0.01%             | 2037-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8455 FN 08/53 FIXED VAR                      | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5098863 | PA      | $5201244.49     | 0.04%             | 2053-08-01      | 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      | $77551.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783007 GN 06/40 FIXED 4.5                      | CUSIP: 36241LKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75855 | PA      | $74517.43       | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C34                             | CUSIP: 3142G9VS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10153035 | PA      | $1437527.67     | 0.01%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS7603 FN 07/46 FIXED 4                        | CUSIP: 3138WHNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81394 | PA      | $78149.56       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5603 FN 06/54 FIXED 6.5                      | CUSIP: 3140AFGM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      606947 | PA      | $641914.57      | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2003-HE6                                      | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE6 A3B        | CUSIP: 04541GGM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2360574 | PA      | $2430106.75     | 0.02%             | 2033-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7829 G2 01/52 FIXED 3.5                   | CUSIP: 36179WVW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7666938 | PA      | $7101133.78     | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2504                                                          | FREDDIE MAC FHR 2504 SN                                  | CUSIP: 31392UL44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          94 | PA      | $95.04          | 0.00%             | 2032-09-17      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                      | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP D 144A    | CUSIP: 50085PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17515000 | PA      | $11787530.19    | 0.09%             | 2044-11-05      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A               | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4164631 | PA      | $4199196.35     | 0.03%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                            | COUNTRYWIDE HOME LOANS CWHL 2005 31 2A3                  | CUSIP: 126694UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32616 | PA      | $30017.32       | 0.00%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1        | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      273840 | PA      | $229873.32      | 0.00%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UPSTART PERSONAL CONSUMER TRUST 2026-1P                                   | UPSTART PERSONAL CONSUMER TRUS UPCT 2026 1P CERT 144A    | CUSIP: 916936AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   119024358 | PA      | $118720894.79   | 0.87%             | 2032-02-20      | Fixed         | 12.41%                | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5040                                                   | FREDDIE MAC FHR 5040 CI                                  | CUSIP: 3137F6N60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6336034 | PA      | $1359190.83     | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | 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        |    99462667 | PA      | $88064563.98    | 0.64%             | 2064-07-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY2502 G2 12/46 FIXED 3.5                   | CUSIP: 36196RX78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      758641 | PA      | $701424.98      | 0.01%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                            | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A                | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15300000 | PA      | $15305107.29    | 0.11%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 4 A1 144A            | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1871059 | PA      | $1773467.92     | 0.01%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                          | NMLT TRUST NLT 2023 1 A1 144A                            | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2816274 | PA      | $2600960.54     | 0.02%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 4A1          | CUSIP: 61748HLF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37514 | PA      | $23997.37       | 0.00%             | 2035-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-6                                                  | FANNIE MAE FNR 2024 6 IO                                 | CUSIP: 3136BQ2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21343879 | PA      | $3752390.56     | 0.03%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TR 2004-2CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 2CB 1A9        | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2319013 | PA      | $2361286.28     | 0.02%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBW2A6 PIMCO SWAPTION 3.724 PUT USD 2026051           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -142100000 | NC      | $-1228269.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                               | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                  | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21900000 | PA      | $21911698.54    | 0.16%             | 2035-01-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3921 FN 02/53 FIXED VAR                      | CUSIP: 3140XKLB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121173 | PA      | $124045.88      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H10                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H10 GF           | CUSIP: 38382Y4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32317385 | PA      | $32114251.19    | 0.24%             | 2073-03-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4463                                                   | FREDDIE MAC FHR 4463 IO                                  | CUSIP: 3137BHGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      265081 | PA      | $13949.35       | 0.00%             | 2038-02-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1866 FN 01/56 FIXED 6                        | CUSIP: 3140Y8CC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12322340 | PA      | $12820596.07    | 0.09%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RR0003 FR 06/40 FIXED 5.5              | CUSIP: 3142JCAD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   112155871 | PA      | $114420355.15   | 0.84%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-5                                             | GSAA HOME EQUITY TRUST GSAA 2005 5 B2                    | CUSIP: 36242DS38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      647923 | PA      | $659483.29      | 0.00%             | 2035-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                       | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M6              | CUSIP: 70069FBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9202488 | PA      | $8280142.17     | 0.06%             | 2034-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                   | FREDDIE MAC   STACR STACR 2021 DNA5 M2 144A              | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      431679 | PA      | $431759.85      | 0.00%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-HYB1                                          | SEQUOIA MORTGAGE TRUST SEMT 2026 HYB1 A1A 144A           | CUSIP: 81750GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6900000 | PA      | $6743502.48     | 0.05%             | 2056-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                 | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A        | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2500000 | PA      | $2535703.50     | 0.02%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004222 G2 08/38 FIXED 6                     | CUSIP: 36202EVP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2683 | PA      | $2857.07        | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 3A1          | CUSIP: 05949AHG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18038 | PA      | $17727.55       | 0.00%             | 2034-06-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BH8543 G2 07/48 FIXED 4.5                   | CUSIP: 3617H6P42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      290783 | PA      | $281608.27      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-1                         | FREDDIE MAC   SCRT SCRT 2020 1 M 144A                    | CUSIP: 35563PPH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9722384 | PA      | $9494649.98     | 0.07%             | 2059-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 R 144A                     | CUSIP: 942611AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3515972 | PA      | $6076720.89     | 0.04%             | 2050-06-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A    | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3243420 | PA      | $3252006.50     | 0.02%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1193 FN 03/55 FIXED VAR                      | CUSIP: 3140W1KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28982900 | PA      | $30108897.96    | 0.22%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A      | CUSIP: 288547AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3912342 | PA      | $3883041.63     | 0.03%             | 2037-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                    | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A           | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3386413 | PA      | $3389870.77     | 0.02%             | 2031-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5104                                                   | FREDDIE MAC FHR 5104 GI                                  | CUSIP: 3137H0GB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16932405 | PA      | $3146777.45     | 0.02%             | 2049-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-121                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 121 QS           | CUSIP: 38380YJ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1060150 | PA      | $162648.47      | 0.00%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY9388 G2 01/47 FIXED 3.5                   | CUSIP: 36197AND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      667398 | PA      | $621155.69      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2007-AR1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2007 AR1 3A3         | CUSIP: 39539KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6617850 | PA      | $6544396.40     | 0.05%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-27                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 27 PZ            | CUSIP: 38378FZB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1507287 | PA      | $1346017.56     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3            | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1700000 | PA      | $1710594.06     | 0.01%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A      | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $955584.33      | 0.01%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 12 MV5           | CUSIP: 126673NX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      347735 | PA      | $347679.56      | 0.00%             | 2035-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-113                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 113 EO           | CUSIP: 38380X3A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39683 | PA      | $39318.15       | 0.00%             | 2042-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB9589 FN 06/43 FIXED 4                        | CUSIP: 31417GUP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      787699 | PA      | $763338.97      | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BC1180 GN 08/47 FIXED 4                        | CUSIP: 3617B4JZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32324 | PA      | $30692.79       | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                       | MFRA TRUST MFRA 2023 NQM4 A1 144A                        | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2945775 | PA      | $2962469.62     | 0.02%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6105 FN 04/53 FIXED 6.5                      | CUSIP: 3140QRYB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5003653 | PA      | $5271498.62     | 0.04%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A         | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3347460 | PA      | $3370255.10     | 0.02%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-50                                                 | FANNIE MAE FNR 2019 50 CF                                | CUSIP: 3136B6AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3531482 | PA      | $3460551.91     | 0.03%             | 2049-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016 30                                                 | FANNIE MAE FNR 2016 30 SA                                | CUSIP: 3136ARZ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      192663 | PA      | $22422.28       | 0.00%             | 2046-05-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2007-4HE                                            | TERWIN MORTGAGE TRUST TMTS 2007 4HE A2 144A              | CUSIP: 88157QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4210853 | PA      | $2195747.76     | 0.02%             | 2038-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-144                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 144 FD           | CUSIP: 38384WTH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2153243 | PA      | $2163154.83     | 0.02%             | 2054-09-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-20                                                 | FANNIE MAE FNR 2012 20 SJ                                | CUSIP: 3136A4FS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      686637 | PA      | $101993.44      | 0.00%             | 2042-03-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5092                                                   | FREDDIE MAC FHR 5092 ID                                  | CUSIP: 3137FYCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9171490 | PA      | $1435074.98     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3145                                                          | FREDDIE MAC FHR 3145 GO                                  | CUSIP: 31396NCS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31076 | PA      | $27420.26       | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO3                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO3 A1          | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82210 | PA      | $56815.09       | 0.00%             | 2045-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 A 144A       | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1971005 | PA      | $1977774.58     | 0.01%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                    | FREDDIEMAC STRIP FHS 408 C64                             | CUSIP: 3142G6GP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    74220842 | PA      | $16037040.66    | 0.12%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5045                                                   | FREDDIE MAC FHR 5045 DI                                  | CUSIP: 3137F6RW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9153019 | PA      | $1311147.13     | 0.01%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A       | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      523521 | PA      | $524704.14      | 0.00%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U95137 FG 08/43 FIXED 4                | CUSIP: 3132H5EK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41794 | PA      | $40673.77       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-84                                                 | FANNIE MAE FNR 2021 84 PI                                | CUSIP: 3136BKCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      998562 | PA      | $116999.96      | 0.00%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H01 FB           | CUSIP: 38383KNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7868527 | PA      | $7987340.63     | 0.06%             | 2074-01-20      | Floating      | 4.57%                 | 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        |    22531847 | PA      | $22877571.41    | 0.17%             | 2073-08-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A             | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3478588 | PA      | $3529040.35     | 0.03%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3032                                                   | FREDDIE MAC FHR 3032 S                                   | CUSIP: 31396AHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      231597 | PA      | $21784.15       | 0.00%             | 2035-09-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-16                                                 | FANNIE MAE FNR 2016 16 IO                                | CUSIP: 3136ARTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1126598 | PA      | $185967.58      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A    | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1520000 | PA      | $1471230.50     | 0.01%             | 2038-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-35                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 35 GS            | CUSIP: 38381RG78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6876429 | PA      | $788734.63      | 0.01%             | 2049-03-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF1 A1 144A    | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      687093 | PA      | $678643.29      | 0.00%             | 2054-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z2A2 PIMCO FPPSWAPTION 4.46 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    90600000 | NC      | $4583345.28     | 0.03%             |  |  |  | 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        |    96125754 | PA      | $81475516.36    | 0.60%             | 2064-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF5           | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3373845 | PA      | $1574726.17     | 0.01%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9993 FN 03/54 FIXED VAR                      | CUSIP: 3140XSC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2280682 | PA      | $2394946.60     | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA4530 FN 02/56 FIXED VAR                      | CUSIP: 3140W5A87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14499658 | PA      | $14457600.83    | 0.11%             | 2056-02-01      | 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      | $99.21          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-16                                                 | FANNIE MAE FNR 2013 16 SG                                | CUSIP: 3136ACSM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9170499 | PA      | $8470102.37     | 0.06%             | 2033-03-25      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-137                                                | FANNIE MAE FNR 2012 137 KS                               | CUSIP: 3136AAK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      537284 | PA      | $55796.30       | 0.00%             | 2032-12-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                                                   | FREDDIE MAC FHR 3598 JI                                  | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      161953 | PA      | $7209.28        | 0.00%             | 2037-10-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A       | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      399562 | PA      | $361453.35      | 0.00%             | 2036-10-26      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A      | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10234099 | PA      | $10312014.85    | 0.08%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO IX DAC 9A                                                   | BOSPHORUS CLO BOPHO 9A AR 144A                           | CUSIP: ACI396444<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2100000 | PA      | $2427285.46     | 0.02%             | 2038-04-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                            | FREMONT HOME LOAN TRUST FHLT 2006 A 2A3                  | CUSIP: 35729RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14295054 | PA      | $9416166.44     | 0.07%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 60 SI            | CUSIP: 38376UEU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1157523 | PA      | $9827.72        | 0.00%             | 2035-01-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3852                                                   | FREDDIE MAC FHR 3852 TP                                  | CUSIP: 3137ABB59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18369 | PA      | $18076.60       | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4660                                                          | FREDDIE MAC FHR 4660 CS                                  | CUSIP: 3137BVJ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4019855 | PA      | $3512417.16     | 0.03%             | 2033-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 148                             | CUSIP: 31325XLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      457896 | PA      | $69091.85       | 0.00%             | 2046-09-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5              | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1701792 | PA      | $1735544.47     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                      | BX TRUST BX 2021 MC C 144A                               | CUSIP: 05608GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2900000 | PA      | $2871906.25     | 0.02%             | 2034-04-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 4A1               | CUSIP: 46628LAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2538322 | PA      | $1705248.22     | 0.01%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BO5413 FN 10/49 FIXED 3                        | CUSIP: 3140K1AP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4814915 | PA      | $4341386.68     | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                               | WATR ISSUER TRUST WATR 2025 2 R 144A                     | CUSIP: 94260AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4080129 | PA      | $7214748.93     | 0.05%             | 2050-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX D 144A     | CUSIP: 05493LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4691591.50     | 0.03%             | 2038-09-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD 2026-20A                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2026 20A A 144A      | CUSIP: 03333NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    31200000 | PA      | $31200000.00    | 0.23%             | 2042-04-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                | ACE SECURITIES CORP. ACE 2006 HE1 A2D                    | CUSIP: 004421WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29049 | PA      | $29024.54       | 0.00%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                   | FREDDIE MAC FHR 5564 PF                                  | CUSIP: 3137HMDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5264055 | PA      | $5319409.78     | 0.04%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-118                                                | FANNIE MAE FNR 2012 118 EI                               | CUSIP: 3136A93T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      397350 | PA      | $5208.11        | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2004 4 A4            | CUSIP: 86358EHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2315600 | PA      | $2275564.06     | 0.02%             | 2034-04-25      | Floating      | 4.59%                 | 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        |     1546879 | PA      | $1419899.39     | 0.01%             | 2056-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC3234 FR 06/51 FIXED 3                | CUSIP: 3133AMSX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1625482 | PA      | $1453506.49     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1092 FN 07/48 FIXED 5                        | CUSIP: 3140HEGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      301854 | PA      | $300068.21      | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A4          | CUSIP: 761119AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450637 | PA      | $314338.84      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 386                                             | FANNIEMAE STRIP FNS 386 14                               | CUSIP: 3136FFSR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148504 | PA      | $32934.45       | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5566                                                   | FREDDIE MAC FHR 5566 F                                   | CUSIP: 3137HMHW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5075248 | PA      | $5118048.88     | 0.04%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1373 FR 01/54 FIXED 5.5              | CUSIP: 3142GRQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1146969 | PA      | $1153965.87     | 0.01%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2          | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1916061 | PA      | $1242545.56     | 0.01%             | 2037-07-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C                            | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1           | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3446849 | PA      | $3314025.77     | 0.02%             | 2036-07-25      | Floating      | 4.29%                 | 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      | $10788.28       | 0.00%             |  |  |  | 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        |   307000000 | PA      | $312370062.42   | 2.29%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                   | FREDDIE MAC FHR 4923 QS                                  | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7403669 | PA      | $935515.76      | 0.01%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                    | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3          | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4518375 | PA      | $1608646.93     | 0.01%             | 2036-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                                   | FREDDIE MAC FHR 5510 FJ                                  | CUSIP: 3137HJMQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20262638 | PA      | $20466607.89    | 0.15%             | 2055-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004484 G2 07/39 FIXED 4.5                   | CUSIP: 36202E6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111059 | PA      | $107296.47      | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3200                                                          | FREDDIE MAC FHR 3200 PO                                  | CUSIP: 31397AJ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29746 | PA      | $25676.17       | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2026-21                                                 | FANNIE MAE FNR 2026 21 DF                                | CUSIP: 3136G5FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25400000 | PA      | $25325697.38    | 0.19%             | 2055-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                          | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      439810 | PA      | $431051.35      | 0.00%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                             | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A      | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      303260 | PA      | $302561.95      | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                        | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A4 144A         | CUSIP: 505920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1213133.28     | 0.01%             | 2029-07-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A      | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      961070 | PA      | $961691.33      | 0.01%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H04                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H04 FA           | CUSIP: 38383KQT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4757376 | PA      | $4778813.67     | 0.03%             | 2074-02-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q46015 FG 02/47 FIXED 3.5              | CUSIP: 3132WKVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2100183 | PA      | $1972694.81     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS8                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS8 M6          | CUSIP: 76110W3W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11600000 | PA      | $11447243.08    | 0.08%             | 2035-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-95                                                        | FANNIE MAE FNR 2010 95 SB                                | CUSIP: 31398NEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      395291 | PA      | $33509.43       | 0.00%             | 2040-09-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4543 FN 11/49 FIXED 3                        | CUSIP: 3140QCBM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1435314 | PA      | $1298178.99     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                   | ACHV ABS TRUST ACHV 2024 3AL A 144A                      | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      361776 | PA      | $364079.24      | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4585                                                   | FREDDIE MAC FHR 4585 QI                                  | CUSIP: 3137BPGW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1140544 | PA      | $168446.18      | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                                   | FREDDIE MAC FHR 5500 GF                                  | CUSIP: 3137HJB30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2265802 | PA      | $2281692.15     | 0.02%             | 2054-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 C 144A                | CUSIP: 07403PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5590000 | PA      | $1784508.00     | 0.01%             | 2036-03-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4922                                                   | FREDDIE MAC FHR 4922 SN                                  | CUSIP: 3137FP2R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1170261 | PA      | $135379.60      | 0.00%             | 2049-04-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 12A1         | CUSIP: 07401CAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1712109 | PA      | $1519125.02     | 0.01%             | 2037-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC3282 FN 09/54 FIXED 6.5                      | CUSIP: 3140AQUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      457768 | PA      | $477085.10      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54427 FG 02/48 FIXED 4                | CUSIP: 3132XW4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      301330 | PA      | $289118.55      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-1A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 1A A2 144A       | CUSIP: 525938AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1995800 | PA      | $2000944.29     | 0.01%             | 2030-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-4                                                  | FANNIE MAE FNR 2014 4 YI                                 | CUSIP: 3136AH4J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30480 | PA      | $2781.66        | 0.00%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -16000000 | PA      | $-14055871.20   | -0.10%            | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9        | CUSIP: 02149VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5747064 | PA      | $2445713.10     | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 RCF2 A1 144A    | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      743782 | PA      | $733881.98      | 0.01%             | 2053-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5093                                                   | FREDDIE MAC FHR 5093 PI                                  | CUSIP: 3137FYKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12755752 | PA      | $2133532.12     | 0.02%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX3230 G2 11/46 FIXED 3.5                   | CUSIP: 36196EST5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      604031 | PA      | $562188.05      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004680 G2 04/40 FIXED 5.5                   | CUSIP: 36202FFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2834 | PA      | $2926.53        | 0.00%             | 2040-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5468                                                   | FREDDIE MAC FHR 5468 FC                                  | CUSIP: 3137HHAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    85904003 | PA      | $86252223.93    | 0.63%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAYTA4 PIMCO FPPSWAPTION 4.242 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   764700000 | NC      | $1619787.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-186                                                      | FREDDIEMAC STRIP FHS 186 PO                              | CUSIP: 31351BFA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15400 | PA      | $15112.36       | 0.00%             | 2027-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 IK                                  | CUSIP: 3137F9C58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11447728 | PA      | $1489007.14     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BV5920 FN 08/55 FIXED 6.5                      | CUSIP: 3140MKSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      971662 | PA      | $1030870.03     | 0.01%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8096 FN 04/33 FIXED 4.7                      | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11125000 | PA      | $11264997.22    | 0.08%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7641 FN 12/53 FIXED 6                        | CUSIP: 3140QTP37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42862972 | PA      | $44592852.80    | 0.33%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                       | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A              | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      752509 | PA      | $733171.84      | 0.01%             | 2037-09-25      | Floating      | 4.10%                 | 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        |      125762 | PA      | $125965.07      | 0.00%             | 2065-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4111                                                   | FREDDIE MAC FHR 4111 CI                                  | CUSIP: 3137AUC56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      192895 | PA      | $3026.62        | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F012650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7800000 | PA      | $6017578.09     | 0.04%             | 2056-05-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    68700000 | NC      | $3892473.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    35932024 | PA      | $349941979.69   | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5475                                                   | FREDDIE MAC FHR 5475 FA                                  | CUSIP: 3137HHDE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1846517 | PA      | $1852888.85     | 0.01%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2B             | CUSIP: 61750SAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6104672 | PA      | $2663183.81     | 0.02%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-1                                            | BNC MORTGAGE LOAN TRUST BNCMT 2007 1 A5                  | CUSIP: 05569GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29581000 | PA      | $25414714.34    | 0.19%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8202 FN 04/28 FIXED 4.14                     | CUSIP: 3140LKDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10477948 | PA      | $10484340.10    | 0.08%             | 2028-04-01      | Fixed         | 4.14%                 | 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        |    32161152 | PA      | $32953578.86    | 0.24%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5        | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153169 | PA      | $153122.99      | 0.00%             | 2036-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B        | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2157576 | PA      | $1610533.91     | 0.01%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0117 FN 03/55 FIXED 6                        | CUSIP: 3140Y6DX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4637695 | PA      | $4814726.16     | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7998 FN 02/54 FIXED 6                        | CUSIP: 3140QT3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5219164 | PA      | $5403932.44     | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | 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        |     4598599 | PA      | $3035642.84     | 0.02%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                           | CASCADE MH ASSET TRUST CMHAT 2024 MH1 A1 144A            | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1324992 | PA      | $1342026.20     | 0.01%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 2A3          | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17932886 | PA      | $5459778.42     | 0.04%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0023 FR 10/54 FIXED 6                | CUSIP: 31427MAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60433666 | PA      | $62872810.70    | 0.46%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 13 A4X 144A          | CUSIP: 46592XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8372414 | PA      | $151298.74      | 0.00%             | 2052-04-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AW1485 G2 01/47 FIXED 3.5                   | CUSIP: 36195PUJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      685377 | PA      | $637886.68      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                                | LCM LTD PARTNERSHIP LCM 36A A1R 144A                     | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000387.84     | 0.01%             | 2034-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 CI                                  | CUSIP: 3137HCY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36423476 | PA      | $1572896.83     | 0.01%             | 2050-12-15      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA1                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA1 A8         | CUSIP: 94984TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238657 | PA      | $194216.98      | 0.00%             | 2037-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                       | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A            | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9675390 | PA      | $9721900.03     | 0.07%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                             | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE B 144A      | CUSIP: 26210YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5473531.25     | 0.04%             | 2043-10-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF2 A1 144A    | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500492 | PA      | $1471307.43     | 0.01%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A2 144A     | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1837000 | PA      | $1712856.46     | 0.01%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9761 FN 10/28 FIXED 5.91                     | CUSIP: 3140LLZ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      904362 | PA      | $939448.17      | 0.01%             | 2028-10-01      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A          | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4258594 | PA      | $4263210.40     | 0.03%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                          | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A            | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2742485 | PA      | $2751532.44     | 0.02%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                           | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A             | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6103304 | PA      | $6151908.19     | 0.05%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX7955 FR 03/55 FIXED 6.5              | CUSIP: 31426DZV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1899926 | PA      | $2008310.41     | 0.01%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB4006 FN 05/54 FIXED 5.5                      | CUSIP: 3140ADNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2143932 | PA      | $2183223.61     | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -662074280 | PA      | $-662978011.91  | -4.85%            |  |  |  | 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        |      390124 | PA      | $374313.77      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                   | FREDDIE MAC FHR 5508 FC                                  | CUSIP: 3137HJGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33599607 | PA      | $33900141.70    | 0.25%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.08000 04/23/24-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4484782.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-1                                                         | FANNIE MAE FNR 2007 1 JO                                 | CUSIP: 31396PHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      506806 | PA      | $435876.76      | 0.00%             | 2037-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-84                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 84 WI            | CUSIP: 38380FJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2845021 | PA      | $168086.66      | 0.00%             | 2046-07-20      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8292 FN 04/55 FIXED 6.5                      | CUSIP: 3140B9GA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1122502 | PA      | $1170536.96     | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9448 FN 11/54 FIXED 4.5                      | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5969546 | PA      | $5839418.22     | 0.04%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK9808 FN 04/42 FIXED 4                        | CUSIP: 3138EE3S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3862 | PA      | $3732.02        | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AV1737 G2 11/46 FIXED 3.5                   | CUSIP: 36195B4W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1063926 | PA      | $990221.42      | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4701 FR 08/55 FIXED 6.5              | CUSIP: 3142GVGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8655435 | PA      | $9130921.31     | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-130                                                | FANNIE MAE FNR 2013 130 IO                               | CUSIP: 3136AHJ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      930630 | PA      | $6803.09        | 0.00%             | 2044-01-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3592 FN 11/55 FIXED VAR                      | CUSIP: 3140W37E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25876063 | PA      | $26462966.71    | 0.19%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES1                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES1 A1A 144A      | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6752853 | PA      | $6790846.79     | 0.05%             | 2045-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 B 144A       | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1951136 | PA      | $1959478.28     | 0.01%             | 2032-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1B 144A       | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1317034 | PA      | $1344846.17     | 0.01%             | 2056-10-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052649<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -351882208 | PA      | $-353557927.38  | -2.59%            | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX7464 FR 02/55 FIXED 6.5              | CUSIP: 31426DJJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      372967 | PA      | $388303.30      | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | 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      | $-839761.33     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS12                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS12 A8         | CUSIP: 761118DV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      434626 | PA      | $350359.90      | 0.00%             | 2035-08-25      | Floating      | 4.14%                 | 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        |   298100000 | PA      | $281089728.37   | 2.06%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP2                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 2A1 144A        | CUSIP: 36242DU35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2077430 | PA      | $2033150.50     | 0.01%             | 2035-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF4           | CUSIP: 75970HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9077144 | PA      | $2772685.23     | 0.02%             | 2037-01-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BW2501 FN 02/56 FIXED 5                        | CUSIP: 3140MTX73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13470916 | PA      | $13431842.86    | 0.10%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2007-SL2                        | WAMU COMMERCIAL MORTGAGE SECUR WMCMS 2007 SL2 F 144A     | CUSIP: 933632AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3627625 | PA      | $3619029.81     | 0.03%             | 2049-12-27      | Variable      | 6.24%                 | 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        |      421190 | PA      | $414918.19      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 417                                             | FANNIEMAE STRIP FNS 417 C34                              | CUSIP: 31395QF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      374334 | PA      | $7082.74        | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5087                                                   | FREDDIE MAC FHR 5087 IL                                  | CUSIP: 3137FFMC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7528853 | PA      | $1200284.33     | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST                                                      | GCAT GCAT 2021 NQM3 M1 144A                              | CUSIP: 36167HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9952000 | PA      | $7460863.13     | 0.05%             | 2066-05-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H08 FS           | CUSIP: 38375BQP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      447072 | PA      | $448533.15      | 0.00%             | 2062-04-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA1159 G2 07/43 FIXED 4.5                   | CUSIP: 36179NJC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      388441 | PA      | $385276.84      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | 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        |      670111 | PA      | $980185.79      | 0.01%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES2 A1A 144A      | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9281870 | PA      | $9344797.28     | 0.07%             | 2044-04-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                | ARES CLO LTD ARES 2017 44A A1RR 144A                     | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3804039.51     | 0.03%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHR-5018                                                                  | FREDDIE MAC FHR 5018 IO                                  | CUSIP: 3137FXBF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6277452 | PA      | $1073171.30     | 0.01%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                                                   | FREDDIE MAC FHR 3962 KS                                  | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      364254 | PA      | $21207.07       | 0.00%             | 2038-06-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL TA2342 FR 12/55 FIXED 5                | CUSIP: 3142JQS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38379814 | PA      | $38196649.69    | 0.28%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H03 FB           | CUSIP: 38382YR47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19784468 | PA      | $19870411.80    | 0.15%             | 2073-02-20      | Floating      | 4.46%                 | 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        |   368850000 | PA      | $355639766.35   | 2.60%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A          | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2635021 | PA      | $2571469.31     | 0.02%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2          | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      466956 | PA      | $464020.53      | 0.00%             | 2035-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                                | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A         | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      547133 | PA      | $551216.97      | 0.00%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8643 G2 02/53 FIXED 3                     | CUSIP: 36179XS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16727480 | PA      | $15030557.72    | 0.11%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                                | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF4 A1 144A    | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      622452 | PA      | $612789.45      | 0.00%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC4917 FN 10/54 FIXED 6                        | CUSIP: 3140ASPB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      502567 | PA      | $522759.26      | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7446 FN 11/53 FIXED 6.5                      | CUSIP: 3140QTHY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15871373 | PA      | $16641036.77    | 0.12%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2984.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN9215 FN 05/28 FIXED 3.43                     | CUSIP: 3138LNGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9728000 | PA      | $9618599.69     | 0.07%             | 2028-05-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3266                                                          | FREDDIE MAC FHR 3266 GO                                  | CUSIP: 31397EHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15765 | PA      | $14622.69       | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -101 | NC      | $424594.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2007-W8                                             | FANNIEMAE WHOLE LOAN FNW 2007 W8 2A2                     | CUSIP: 31396XVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1309749 | PA      | $78480.84       | 0.00%             | 2037-09-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 M1 144A        | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6564000 | PA      | $6078741.20     | 0.04%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783356 G2 06/41 FIXED 6                     | CUSIP: 36241LWR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6835 | PA      | $7227.08        | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                 | FANNIE MAE FNR 2024 38 SA                                | CUSIP: 3136BR4T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    82645958 | PA      | $3637323.01     | 0.03%             | 2051-01-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3158                                                   | FREDDIE MAC FHR 3158 NE                                  | CUSIP: 31396NX27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175398 | PA      | $180159.86      | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H06 FA           | CUSIP: 38375BKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      279831 | PA      | $279706.77      | 0.00%             | 2061-02-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050445<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14300000 | PA      | $14406653.12    | 0.11%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A      | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1802190.06     | 0.01%             | 2034-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2642 FR 09/55 FIXED 6.5              | CUSIP: 31427P5C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4073274 | PA      | $4304369.29     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                                 | FANNIE MAE FNR 2020 40 IO                                | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16016910 | PA      | $2954713.14     | 0.02%             | 2050-06-25      | Fixed         | 3.00%                 | 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        |      334357 | PA      | $337598.45      | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                                 | FANNIE MAE FNR 2014 43 BS                                | CUSIP: 3136AKKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      657851 | PA      | $42095.29       | 0.00%             | 2044-07-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3012 FN 09/55 FIXED VAR                      | CUSIP: 3140W3K24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1576198 | PA      | $1612796.52     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4325                                                   | FREDDIE MAC FHR 4325 PS                                  | CUSIP: 3137B9UG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      593087 | PA      | $41559.06       | 0.00%             | 2044-02-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A    | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6436636 | PA      | $6290562.71     | 0.05%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                   | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A       | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8400000 | PA      | $8413145.16     | 0.06%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5543 FN 07/30 FIXED 4.385                    | CUSIP: 3140Q1ER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2739955 | PA      | $2752421.55     | 0.02%             | 2030-07-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2526 FR 09/55 FIXED 6                | CUSIP: 31427PYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15579633 | PA      | $16264977.30    | 0.12%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                    | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4           | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2112338 | PA      | $2285624.84     | 0.02%             | 2035-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC1046 FR 04/51 FIXED 3                | CUSIP: 3133AKET3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      895220 | PA      | $793858.63      | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4071 FR 01/55 FIXED 6                | CUSIP: 31425YQZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1178273 | PA      | $1224593.02     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | 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        |     1020495 | PA      | $1019329.30     | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI0477 FR 03/54 FIXED 5                | CUSIP: 3133W6Q67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16642630 | PA      | $16598259.03    | 0.12%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-3A                                               | AFFIRM MASTER TRUST AFRMT 2025 3A A 144A                 | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2591123.34     | 0.02%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2597184.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC MORTGAGE LOAN TRUST 2007-2                  | DEUTSCHE ALT A SECURITIES INC DBALT 2007 2 2A1           | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12621986 | PA      | $11117219.29    | 0.08%             | 2047-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A4 144A       | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      807036 | PA      | $811220.46      | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                        | RCKT TRUST RCKTL 2025 1A A 144A                          | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      984915 | PA      | $987074.65      | 0.01%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8055 FN 04/47 FIXED 4                        | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      135543 | PA      | $129609.01      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                              | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      353000 | PA      | $352289.48      | 0.00%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                       | MFRA TRUST MFRA 2021 RPL1 M2 144A                        | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1372000 | PA      | $1138139.31     | 0.01%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1        | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204705 | PA      | $184198.42      | 0.00%             | 2037-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 444                                             | FANNIEMAE STRIP FNS 444 C8                               | CUSIP: 31424VC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7580866 | PA      | $1015221.53     | 0.01%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                               | ICG US CLO LTD ICG 2021 3A AR 144A                       | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17300000 | PA      | $17321103.92    | 0.13%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8346 FN 04/54 FIXED 6                        | CUSIP: 3140QUHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1516989 | PA      | $1570694.91     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2           | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224324 | PA      | $163542.55      | 0.00%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM4 A1 144A    | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4333720 | PA      | $4352240.54     | 0.03%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5229                                                   | FREDDIE MAC FHR 5229 KI                                  | CUSIP: 3137H7SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2321239 | PA      | $349418.84      | 0.00%             | 2049-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A58455 FG 03/37 FIXED 5.5              | CUSIP: 3128KMMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62217 | PA      | $63679.31       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q039         | FHLMC MULTIFAMILY STRUCTURED P FHMS Q039 A               | CUSIP: 3137HPER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3888071 | PA      | $3788955.87     | 0.03%             | 2054-06-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H20 JF           | CUSIP: 38383K2U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      923613 | PA      | $930601.47      | 0.01%             | 2074-11-20      | Floating      | 4.43%                 | 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        |         524 | PA      | $528.51         | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                              | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A         | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19500000 | PA      | $19507919.54    | 0.14%             | 2034-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ6                              | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ6 A3X 144A    | CUSIP: 36267JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    32319203 | PA      | $1050863.75     | 0.01%             | 2053-01-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                                      | ATLX TRUST ATLX 2024 RPL2 A1 144A                        | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3900918 | PA      | $3791186.34     | 0.03%             | 2063-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A2         | CUSIP: 939336W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2073647 | PA      | $2019673.59     | 0.01%             | 2035-01-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A C 144A           | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8200000 | PA      | $8281275.12     | 0.06%             | 2031-02-18      | Fixed         | 5.21%                 | 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        |    45540602 | PA      | $45900574.91    | 0.34%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A       | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1445043 | PA      | $1433668.68     | 0.01%             | 2037-05-25      | Floating      | 4.84%                 | 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        |     2048767 | PA      | $2017677.19     | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-63                                                 | FANNIE MAE FNR 2012 63 KZ                                | CUSIP: 3136A6TM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         797 | PA      | $665.16         | 0.00%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL1 A1 144A    | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1947450 | PA      | $1919736.67     | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                      | IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A      | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      930400 | PA      | $908655.31      | 0.01%             | 2043-08-18      | Fixed         | 3.40%                 | 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        |    14432407 | PA      | $14551277.07    | 0.11%             | 2073-03-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BT0579 FN 05/51 FIXED 3                        | CUSIP: 3140LNUD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      535406 | PA      | $476957.66      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8176 FN 04/33 FIXED 4.385                    | CUSIP: 3140LKCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11208000 | PA      | $11117019.06    | 0.08%             | 2033-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 M1 144A        | CUSIP: 85573RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9324000 | PA      | $6901360.93     | 0.05%             | 2066-11-25      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA8234 FN 12/50 FIXED 3                        | CUSIP: 3140QGEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41092306 | PA      | $36810751.47    | 0.27%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4167                                                   | FREDDIE MAC FHR 4167 PT                                  | CUSIP: 3137AYKL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1681472 | PA      | $1650741.25     | 0.01%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV2                       | OCEANVIEW MORTGAGE TRUST BVINV 2022 2 A1 144A            | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3587283 | PA      | $3122328.07     | 0.02%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6          | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3169901 | PA      | $3125868.20     | 0.02%             | 2037-02-25      | Floating      | 4.21%                 | 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        |    23933216 | PA      | $7380395.99     | 0.05%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-128                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 128 FA           | CUSIP: 38381AAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      299966 | PA      | $295345.24      | 0.00%             | 2041-03-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A2          | CUSIP: 61754HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1377375 | PA      | $362118.90      | 0.00%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL K94169 FG 01/38 FIXED 3.5              | CUSIP: 3132LQQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      353293 | PA      | $337590.75      | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 446                                             | FANNIEMAE STRIP FNS 446 C16                              | CUSIP: 31425CDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    67264706 | PA      | $14116843.80    | 0.10%             | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5746 FN 06/40 FIXED 5.5                      | CUSIP: 31418FL47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    80334967 | PA      | $81956970.56    | 0.60%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB0734 FN 06/51 FIXED 3                        | CUSIP: 3140QKY85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49519050 | PA      | $44308832.25    | 0.32%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                                  | FANNIE MAE FNR 2019 1 SY                                 | CUSIP: 3136B3A75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1517094 | PA      | $1317572.32     | 0.01%             | 2042-12-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                   | ACHV ABS TRUST ACHV 2025 1PL B 144A                      | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      974827 | PA      | $977553.70      | 0.01%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                             | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A      | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    46600000 | PA      | $46603089.58    | 0.34%             | 2042-11-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5576                                                   | FREDDIE MAC FHR 5576 FA                                  | CUSIP: 3137HMRA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3058160 | PA      | $3077544.17     | 0.02%             | 2055-09-25      | Floating      | 4.91%                 | 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        |     2094776 | PA      | $1530328.30     | 0.01%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H04                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H04 FA           | CUSIP: 38380LRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      239750 | PA      | $242533.95      | 0.00%             | 2069-03-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783207 GN 09/40 FIXED 4.5                      | CUSIP: 36241LR40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4822111 | PA      | $4742985.02     | 0.03%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4521 FN 08/38 FIXED VAR                      | CUSIP: 3140J9AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1433367 | PA      | $1406106.10     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4729 FN 09/42 FIXED 4                        | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79493 | PA      | $77717.12       | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                            | SMRT SMRT 2022 MINI A 144A                               | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30128000 | PA      | $30115448.68    | 0.22%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QO3666 FR 05/40 FIXED 5.5              | CUSIP: 3133WNCB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25944 | PA      | $26538.45       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                            | FREMONT HOME LOAN TRUST FHLT 2006 E 1A1                  | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14925357 | PA      | $7704648.24     | 0.06%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                     | CQS US CLO LTD CQS 2021 1A AR 144A                       | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9000000 | PA      | $9002988.81     | 0.07%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2024-CP1                                          | NEW YORK MORTGAGE TRUST NYMT 2024 CP1 A1 144A            | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1597124 | PA      | $1480367.84     | 0.01%             | 2068-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-49                                                 | FANNIE MAE FNR 2025 49 FA                                | CUSIP: 3136BWAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36151338 | PA      | $35887855.79    | 0.26%             | 2055-06-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2725                                                          | FREDDIE MAC FHR 2725 TA                                  | CUSIP: 31394MWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      328442 | PA      | $327976.73      | 0.00%             | 2033-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4520                                                          | FREDDIE MAC FHR 4520 SB                                  | CUSIP: 3137BLUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4085965 | PA      | $2513839.00     | 0.02%             | 2045-08-15      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3123                                                          | FREDDIE MAC FHR 3123 LO                                  | CUSIP: 31396JPR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26855 | PA      | $22796.78       | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 183                                                    | FREDDIEMAC STRIP FHS 183 PO                              | CUSIP: 31351BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3235 | PA      | $3179.86        | 0.00%             | 2027-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1958                                                          | FREDDIE MAC FHR 1958 G                                   | CUSIP: 3133TA3Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1105 | PA      | $1097.78        | 0.00%             | 2026-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-79                                                 | FANNIE MAE FNR 2024 79 FA                                | CUSIP: 3136BTLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29557016 | PA      | $29658544.26    | 0.22%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 INV2 A11 144A    | CUSIP: 64831GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12537911 | PA      | $11793676.79    | 0.09%             | 2051-09-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                              | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       81000 | PA      | $80705.37       | 0.00%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                      | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 AFPT          | CUSIP: 617463AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8925486 | PA      | $2905390.12     | 0.02%             | 2036-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                  | FANNIE MAE FNR 2022 3 YS                                 | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   274865575 | PA      | $851725.96      | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q46896 FG 03/47 FIXED 4                | CUSIP: 3132WLUW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1502404 | PA      | $1447474.22     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 INV2 AX13 144A   | CUSIP: 64831GAX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9545752 | PA      | $1024789.89     | 0.01%             | 2051-09-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 772363 GN 09/41 FIXED 4.5                      | CUSIP: 36176PZ41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43132 | PA      | $43202.27       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 FM           | CUSIP: 38382YW82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7401677 | PA      | $7441159.83     | 0.05%             | 2073-01-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                    | PIKES PEAK CLO PIPK 2019 4A ARR 144A                     | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8300000 | PA      | $8311112.79     | 0.06%             | 2034-07-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ4504 FR 09/54 FIXED 5.5              | CUSIP: 3133CVAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5203532 | PA      | $5316542.20     | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 MV1           | CUSIP: 23242EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16600000 | PA      | $15910213.56    | 0.12%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-143                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 143 FB           | CUSIP: 38384W6J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2002516 | PA      | $2011791.73     | 0.01%             | 2054-09-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5140                                                   | FREDDIE MAC FHR 5140 JI                                  | CUSIP: 3137H24K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3503963 | PA      | $787920.04      | 0.01%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2004-3                             | NOVASTAR HOME EQUITY LOAN NHEL 2004 3 M6                 | CUSIP: 66987XFU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119860 | PA      | $112589.73      | 0.00%             | 2034-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H14                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H14 FG           | CUSIP: 38383KG89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13114491 | PA      | $13247112.39    | 0.10%             | 2074-08-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C D             | CUSIP: 83407XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2170000 | PA      | $2165415.01     | 0.02%             | 2034-10-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC4                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC4 M6             | CUSIP: 61744CRF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122197 | PA      | $115936.31      | 0.00%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-109                                                | FANNIE MAE FNR 2013 109 BO                               | CUSIP: 3136AGRJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1889799 | PA      | $1146724.22     | 0.01%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                                                   | FREDDIE MAC FHR 4255 SN                                  | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      187003 | PA      | $187777.22      | 0.00%             | 2035-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A         | CUSIP: 22545YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $131223.75      | 0.00%             | 2049-01-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                                 | FANNIE MAE FNR 2015 19 AI                                | CUSIP: 3136ANJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      770192 | PA      | $36393.97       | 0.00%             | 2055-04-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                      | START LTD. STARR 2019 1 A 144A                           | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     1800950 | PA      | $1802314.90     | 0.01%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2025-42                                                        | FANNIE MAE FNR 2025 42 CF                                | CUSIP: 3136BWLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14446305 | PA      | $14624419.48    | 0.11%             | 2055-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                     | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A            | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $800836.54      | 0.01%             | 2034-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004309 G2 12/38 FIXED 5.5                   | CUSIP: 36202EYE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25361 | PA      | $25495.04       | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4           | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1902452 | PA      | $907730.40      | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                   | FREDDIE MAC FHR 5564 FB                                  | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4021415 | PA      | $4061758.31     | 0.03%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) JUN26 XCBT 20260630                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1823 | NC      | $-2874846.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4959                                                   | FREDDIE MAC FHR 4959 IO                                  | CUSIP: 3137FRNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8750739 | PA      | $1400830.49     | 0.01%             | 2050-03-25      | Fixed         | 3.50%                 | 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      | $-75706.94      | -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        |     7541829 | PA      | $7704101.44     | 0.06%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3519 FR 11/55 FIXED 5.5              | CUSIP: 31427Q4D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1075539 | PA      | $1097145.56     | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0241 FN 08/54 FIXED 6                        | CUSIP: 3140AMHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2548451 | PA      | $2647329.03     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3281                                                   | FREDDIE MAC FHR 3281 AI                                  | CUSIP: 31397EWH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      249859 | PA      | $21321.78       | 0.00%             | 2037-02-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5446 FN 08/54 FIXED 6.5                      | CUSIP: 31418FBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6996417 | PA      | $7238073.84     | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO8 1A3A        | CUSIP: 75115FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      469112 | PA      | $458184.72      | 0.00%             | 2046-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2756 FR 06/51 FIXED 3                | CUSIP: 3133AMBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1297986 | PA      | $1160655.36     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5203                                                   | FREDDIE MAC FHR 5203 SA                                  | CUSIP: 3137H6KL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14347589 | PA      | $264826.37      | 0.00%             | 2052-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A            | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8800875 | PA      | $8267828.06     | 0.06%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                                                   | FREDDIE MAC FHR 3684 JI                                  | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      431938 | PA      | $23853.60       | 0.00%             | 2036-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4141                                                   | FREDDIE MAC FHR 4141 SJ                                  | CUSIP: 3137AX2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90712 | PA      | $47980.35       | 0.00%             | 2042-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5274                                                   | FREDDIE MAC FHR 5274 IO                                  | CUSIP: 3137H9F46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27390508 | PA      | $4579977.84     | 0.03%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ1701 FN 12/47 FIXED 4                        | CUSIP: 3140H23K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      952286 | PA      | $914979.55      | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A           | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12522951 | PA      | $12472493.19    | 0.09%             | 2065-07-25      | Variable      | 5.01%                 | 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        |      682000 | PA      | $896135.63      | 0.01%             | 2049-12-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 331                                             | FANNIEMAE STRIP FNS 331 19                               | CUSIP: 3136FAXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54298 | PA      | $5853.71        | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                       | SPACE COAST CREDIT UNION SCCU 2024 1A A4 144A            | CUSIP: 78436RAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9100000 | PA      | $9216747.54     | 0.07%             | 2030-05-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-84                                                 | FANNIE MAE FNR 2020 84 LI                                | CUSIP: 3136BC5Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71383144 | PA      | $10940508.98    | 0.08%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9994 FN 11/54 FIXED VAR                      | CUSIP: 3140XSC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2908039 | PA      | $3037344.73     | 0.02%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0207 FN 04/47 FIXED 4.5                      | CUSIP: 3140FXGR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4405634 | PA      | $4357615.35     | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1592 FR 12/54 FIXED 6.5              | CUSIP: 31425VXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202523 | PA      | $211711.20      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-29                                                        | FANNIE MAE FNR 2020 29 FA                                | CUSIP: 3136B9TA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      470094 | PA      | $467689.97      | 0.00%             | 2050-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                                 | FANNIE MAE FNR 2025 66 FK                                | CUSIP: 3136BWYL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      385934 | PA      | $389367.11      | 0.00%             | 2055-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                       | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A5          | CUSIP: 55275TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9865172 | PA      | $2717412.91     | 0.02%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A1        | CUSIP: 12668BXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164478 | PA      | $64211.65       | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C40                             | CUSIP: 31325YYN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    45898630 | PA      | $5894000.08     | 0.04%             | 2052-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-84                                                 | FANNIE MAE FNR 2013 84 PS                                | CUSIP: 3136AF5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      733764 | PA      | $39825.55       | 0.00%             | 2042-11-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1962 FN 03/48 FIXED 4                        | CUSIP: 3140HFFC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      918680 | PA      | $878103.84      | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE4324 G2 12/47 FIXED 3.5                   | CUSIP: 3617BXYV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      904900 | PA      | $842192.58      | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A1          | CUSIP: 74922UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2040254 | PA      | $1491704.38     | 0.01%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | 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        |     1179672 | PA      | $1177868.84     | 0.01%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT5929 FN 06/33 FIXED 4                        | CUSIP: 3138WTST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30808 | PA      | $30346.68       | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4024                                                   | FREDDIE MAC FHR 4024 PK                                  | CUSIP: 3137ANLB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      400000 | PA      | $341456.92      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A       | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    22997130 | PA      | $23353828.95    | 0.17%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85750 03/08/24-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-324867.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5092                                                   | FREDDIE MAC FHR 5092 IW                                  | CUSIP: 3137FYFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4434603 | PA      | $142089.57      | 0.00%             | 2031-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 4 M2             | CUSIP: 126670WW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14425000 | PA      | $13843245.50    | 0.10%             | 2036-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-81                                                 | FANNIE MAE FNR 2014 81 DE                                | CUSIP: 3136ALZU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2003739 | PA      | $1977395.64     | 0.01%             | 2034-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF3                  | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      601200 | PA      | $129863.45      | 0.00%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H06 LF           | CUSIP: 38380QP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11040518 | PA      | $11305761.80    | 0.08%             | 2071-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-149                                                | FANNIE MAE FNR 2012 149 NI                               | CUSIP: 3136AA4K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      555237 | PA      | $38421.88       | 0.00%             | 2042-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                              | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    79895000 | PA      | $79177642.79    | 0.58%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-36                                                 | FANNIE MAE FNR 2023 36 IO                                | CUSIP: 3136BQDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   401537523 | PA      | $62059471.28    | 0.45%             | 2052-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2005-RS7                                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS7 M5          | CUSIP: 76112BXA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2303897.25     | 0.02%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                      | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A       | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2387703 | PA      | $2408047.06     | 0.02%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6682 FN 07/53 FIXED 4                        | CUSIP: 3140QSM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      959204 | PA      | $916971.98      | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LYRA MUSIC ASSETS DELAWARE LP 2024-2A                                     | LYRA MUSIC ASSETS (DELAWARE) L LYRA 2024 2A A2 144A      | CUSIP: 552339AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25895406 | PA      | $26059671.37    | 0.19%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-11                                                        | FANNIE MAE FNR 2009 11 MP                                | CUSIP: 31397NNF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3298 | PA      | $3540.80        | 0.00%             | 2049-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U93RA6 PIMCO FPPSWAPTION 4.31 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34800000 | NC      | $2219989.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -109500000 | NC      | $-97126.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02                         | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A         | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |      722593 | PA      | $634035.98      | 0.00%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8572 FN 07/54 FIXED VAR                      | CUSIP: 3140XQQ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1797101 | PA      | $1874849.84     | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE           | CUSIP: 38383KDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27588104 | PA      | $27987435.95    | 0.20%             | 2073-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                   | FREDDIE MAC FHR 5000 PI                                  | CUSIP: 3137FVH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15514781 | PA      | $2570696.81     | 0.02%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   469000000 | NC      | $406529.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004746 G2 07/40 FIXED 4.5                   | CUSIP: 36202FHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1630191 | PA      | $1617499.04     | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A           | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7271852 | PA      | $7330853.07     | 0.05%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 NI                                | CUSIP: 3136ASVX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      460548 | PA      | $23685.52       | 0.00%             | 2045-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR9873 FN 04/51 FIXED 3                        | CUSIP: 3140L86K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      500570 | PA      | $445591.84      | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-149                                                | FANNIE MAE FNR 2012 149 CI                               | CUSIP: 3136AA2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      309473 | PA      | $3228.45        | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4229                                                   | FREDDIE MAC FHR 4229 MS                                  | CUSIP: 3137B3GS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11961 | PA      | $7121.31        | 0.00%             | 2043-07-15      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 03/19/25-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5321557.74     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 A 144A                     | CUSIP: 942611AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20575232 | PA      | $20584089.58    | 0.15%             | 2050-06-17      | Fixed         | 5.25%                 | No            |                  3 | 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        |    24300000 | PA      | $25120406.64    | 0.18%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                                   | FREDDIE MAC FHR 4324 IO                                  | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181946 | PA      | $12777.94       | 0.00%             | 2036-08-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A        | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $1595718.00     | 0.01%             | 2038-07-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M4            | CUSIP: 00764MFE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15500000 | PA      | $12517744.20    | 0.09%             | 2035-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-79                                                 | FANNIE MAE FNR 2014 79 PS                                | CUSIP: 3136ALF48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2106699 | PA      | $106097.14      | 0.00%             | 2044-06-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1617 FR 12/54 FIXED 6                | CUSIP: 31425VYP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      392458 | PA      | $402604.05      | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H09 AF           | CUSIP: 38375BLE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36465 | PA      | $36472.65       | 0.00%             | 2061-03-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MII2       | CUSIP: 76112BED8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8360560 | PA      | $7982820.10     | 0.06%             | 2034-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-92                                                 | FANNIE MAE FNR 2025 92 FA                                | CUSIP: 3136BXU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6893408 | PA      | $6958032.73     | 0.05%             | 2055-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                           | PFP III PFP 2024 11 A 144A                               | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     5444645 | PA      | $5456527.67     | 0.04%             | 2039-09-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6022 FN 04/43 FIXED 5                        | CUSIP: 3140QRVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2790702 | PA      | $2815950.03     | 0.02%             | 2043-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0277 FN 04/55 FIXED 6.5                      | CUSIP: 3140Y6JX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2113151 | PA      | $2227762.63     | 0.02%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE6 2M1        | CUSIP: 07388UAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9857198 | PA      | $9871214.08     | 0.07%             | 2036-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                   | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29038614 | PA      | $26654911.13    | 0.20%             | 2056-03-20      | 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      | $-687612.22     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-3                                                  | FANNIE MAE FNR 2018 3 CP                                 | CUSIP: 3136B0UM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1836813 | PA      | $1788220.90     | 0.01%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                            | KKR FINANCIAL CLO LTD KKR 21 B 144A                      | CUSIP: 48252KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11700000 | PA      | $11721982.08    | 0.09%             | 2031-04-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5156                                                   | FREDDIE MAC FHR 5156 GI                                  | CUSIP: 3137H2VR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10800902 | PA      | $1324674.43     | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-62                                                 | FANNIE MAE FNR 2010 62 L                                 | CUSIP: 31398RVD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66000 | PA      | $67817.46       | 0.00%             | 2039-11-25      | Fixed         | 7.00%                 | 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        |    17608872 | PA      | $18085330.27    | 0.13%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR B 144A        | CUSIP: 36251SAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11605000 | PA      | $3594526.90     | 0.03%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3465 FN 09/38 FIXED 4                        | CUSIP: 31418CZ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3927411 | PA      | $3849803.26     | 0.03%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-82                                                 | FANNIE MAE FNR 2021 82 IM                                | CUSIP: 3136BKFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10735667 | PA      | $1227802.81     | 0.01%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9611 FN 10/31 FIXED 5.59                     | CUSIP: 3140LLVD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2205441 | PA      | $2330517.81     | 0.02%             | 2031-10-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                   | FREDDIE MAC FHR 5508 FB                                  | CUSIP: 3137HJGE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1852278 | PA      | $1855781.42     | 0.01%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                      | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3           | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4506936 | PA      | $4513112.65     | 0.03%             | 2028-09-15      | Fixed         | 4.72%                 | 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        |      410244 | PA      | $394738.08      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A     | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4270000 | PA      | $4348083.78     | 0.03%             | 2029-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H04 FK           | CUSIP: 38380VPG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      244117 | PA      | $245143.70      | 0.00%             | 2068-03-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-8                                           | ANGEL OAK MORTGAGE TRUST AOMT 2024 8 A1 144A             | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2536440 | PA      | $2539530.63     | 0.02%             | 2069-05-27      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                            | LENDMARK FUNDING TRUST LFT 2024 1A A 144A                | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $5443756.20     | 0.04%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD4487 FN 04/55 FIXED 6                        | CUSIP: 3140B46Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2686247 | PA      | $2787079.53     | 0.02%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9626 FN 12/54 FIXED 4.5                      | CUSIP: 3140QVVU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14321638 | PA      | $13989531.09    | 0.10%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2436 FR 05/55 FIXED 6                | CUSIP: 31426LV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2061099 | PA      | $2144535.43     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005017 G2 04/41 FIXED 4.5                   | CUSIP: 36202FSE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1228058 | PA      | $1218116.18     | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3937 FR 01/56 FIXED 5.5              | CUSIP: 31427RLT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11811052 | PA      | $12093249.07    | 0.09%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7501 FR 07/49 FIXED 4                | CUSIP: 3132DVKN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      695855 | PA      | $667662.32      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004344 G2 01/39 FIXED 6                     | CUSIP: 36202EZH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2257 | PA      | $2372.60        | 0.00%             | 2039-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                                 | FANNIE MAE FNR 2015 64 KS                                | CUSIP: 3136AP3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      319460 | PA      | $12240.03       | 0.00%             | 2045-09-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4169                                                   | FREDDIE MAC FHR 4169 HB                                  | CUSIP: 3137B02S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1459028 | PA      | $1430508.77     | 0.01%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                | LCM LTD PARTNERSHIP LCM 31A AR 144A                      | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6750000 | PA      | $6758789.51     | 0.05%             | 2034-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A        | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1479037 | PA      | $1481831.98     | 0.01%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 C 144A    | CUSIP: 46653DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29900000 | PA      | $21946226.25    | 0.16%             | 2036-03-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                              | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A             | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17008219 | PA      | $17018373.97    | 0.12%             | 2034-10-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.33000 09/30/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3639423.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-55                                                 | FANNIE MAE FNR 2012 55 PB                                | CUSIP: 3136A52M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      341610 | PA      | $303676.74      | 0.00%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A     | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110773 | PA      | $106483.90      | 0.00%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS           | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3989890 | PA      | $371203.85      | 0.00%             | 2048-12-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3299 FR 11/55 FIXED 5.5              | CUSIP: 31427QUZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3946510 | PA      | $4036942.09     | 0.03%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE8336 G2 01/48 FIXED 3.5                   | CUSIP: 3617G3HM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      516772 | PA      | $480776.40      | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4899 G2 12/47 FIXED 3                     | CUSIP: 36179TNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5954183 | PA      | $5389928.85     | 0.04%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KU9D2 PIMCO FLOOR USD 0.0211 USD SOFR COMP           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -2092000000 | NC      | $-376350.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0212 FN 08/54 FIXED 5                        | CUSIP: 3140AMGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      551902 | PA      | $550430.52      | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2572 FR 08/54 FIXED 5.5              | CUSIP: 3133CS2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1063146 | PA      | $1080375.33     | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-68                                                 | FANNIE MAE FNR 2014 68 YI                                | CUSIP: 3136ALSC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133710 | PA      | $24947.62       | 0.00%             | 2044-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5473                                                   | FREDDIE MAC FHR 5473 FP                                  | CUSIP: 3137HHG70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27579879 | PA      | $27761362.56    | 0.20%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3380 FR 02/55 FIXED 5.5              | CUSIP: 31427QXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1664833 | PA      | $1694898.55     | 0.01%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0964 FN 04/54 FIXED 6                        | CUSIP: 3140AACA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1449287 | PA      | $1482811.44     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR-5018                                                                  | FREDDIE MAC FHR 5018 CI                                  | CUSIP: 3137FX6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35517057 | PA      | $8317086.15     | 0.06%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5807 FN 08/45 FIXED 6                        | CUSIP: 31418FNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      440086 | PA      | $450386.87      | 0.00%             | 2045-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2021-J3                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 J3 A5I2 144A    | CUSIP: 17330BBK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    46162760 | PA      | $679441.97      | 0.00%             | 2051-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5485                                                   | FREDDIE MAC FHR 5485 BF                                  | CUSIP: 3137HHLA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3634468 | PA      | $3668631.73     | 0.03%             | 2054-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2004-FFH2                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FFH2 M3          | CUSIP: 32027NJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2096017 | PA      | $2082019.90     | 0.02%             | 2034-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 ISSUER LTD                                               | GS REFT 2026 FL1 ISSUER LTD GSREFT 2026 FL1 A 144A       | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    25100000 | PA      | $25162750.00    | 0.18%             | 2043-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-4                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 4A A2 144A      | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4601488 | PA      | $4611810.07     | 0.03%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2567 FR 01/55 FIXED 6                | CUSIP: 31425WZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      978126 | PA      | $1006665.85     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES2                                                            | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES2 A1A 144A   | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4298851 | PA      | $4323075.85     | 0.03%             | 2060-02-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                                 | FANNIE MAE FNR 2013 54 QZ                                | CUSIP: 3136AEUQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47666 | PA      | $44157.14       | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-2                                            | LUMINENT MORTGAGE TRUST LUM 2007 2 2A1                   | CUSIP: 55027WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19336 | PA      | $17890.10       | 0.00%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3753                                                   | FREDDIE MAC FHR 3753 PO                                  | CUSIP: 3137A3ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      411356 | PA      | $330255.15      | 0.00%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5707 FN 05/45 FIXED 6                        | CUSIP: 31418FKV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1540536 | PA      | $1577556.99     | 0.01%             | 2045-05-01      | Fixed         | 6.00%                 | 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        |     1003570 | PA      | $539895.70      | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/17/26-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1657785.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AS7206 G2 04/46 FIXED 3.5                   | CUSIP: 36193TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      555133 | PA      | $515011.04      | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC     | PREFERRED TERM SECS XVI SR SECURED 144A 03/35 VAR        | CUSIP: 74041EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     2487806 | PA      | $2394513.61     | 0.02%             | 2035-03-23      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 4CB          | CUSIP: 93934FNT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5806233 | PA      | $4411461.76     | 0.03%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YPA0 PIMCO FPPSWAPTION 4.458 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   121400000 | NC      | $7276242.54     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4168                                                   | FREDDIE MAC FHR 4168 AI                                  | CUSIP: 3137AYFP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      451248 | PA      | $6636.69        | 0.00%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-AB2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB2 M3           | CUSIP: 126673QH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      353713 | PA      | $350729.50      | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5126 FN 08/43 FIXED 4.5                      | CUSIP: 31418EVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2759683 | PA      | $2752382.17     | 0.02%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5188 FR 10/42 FIXED 4                | CUSIP: 3133KYXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121726 | PA      | $118959.20      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3                | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26495622 | PA      | $23709090.83    | 0.17%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 FB                                  | CUSIP: 3137HFWY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101825 | PA      | $102257.41      | 0.00%             | 2054-10-25      | Floating      | 4.81%                 | 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        |     4325800 | PA      | $3751303.49     | 0.03%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1054 FN 09/55 FIXED 6.5                      | CUSIP: 3140Y7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7826998 | PA      | $8252281.57     | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                               | WATR 2026 1 R 144A                                       | CUSIP: 990ADAAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7955000 | PA      | $7965335.61     | 0.06%             | 2051-04-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                    | LEHMAN XS TRUST LXS 2007 1 1A2                           | CUSIP: 525241AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1190495 | PA      | $1177453.71     | 0.01%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0887 FN 04/47 FIXED 4                        | CUSIP: 3140GN6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14794 | PA      | $14177.00       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                       | ELEVATION CLO LTD AWPT 2018 3A BR2 144A                  | CUSIP: 28623VAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3500000 | PA      | $3479589.61     | 0.03%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U69IA6 PIMCO SWAPTION 4.3125 PUT USD 202606           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   173000000 | NC      | $236214.20      | 0.00%             |  |  |  | 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        |   527550000 | PA      | $509212383.10   | 3.73%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QF4961 FR 12/52 FIXED 5.5              | CUSIP: 3133BSQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      737089 | PA      | $756452.97      | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9300 FN 03/37 FIXED 4                        | CUSIP: 3138WKKN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      863886 | PA      | $851100.32      | 0.01%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4973                                                   | FREDDIE MAC FHR 4973 PO                                  | CUSIP: 3137FT2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3392772 | PA      | $2621768.50     | 0.02%             | 2041-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2718 FN 05/47 FIXED 4                        | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      710938 | PA      | $681271.46      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 338                                             | FANNIEMAE STRIP FNS 338 1                                | CUSIP: 3136FAW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      341077 | PA      | $299979.72      | 0.00%             | 2033-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2837 FN 12/38 FIXED 4.5                      | CUSIP: 3140QAEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2898502 | PA      | $2890783.66     | 0.02%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B D 144A       | CUSIP: 02007G4E0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2678730 | PA      | $2696239.90     | 0.02%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    68700000 | NC      | $3782305.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ           | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3782601 | PA      | $3828833.17     | 0.03%             | 2073-12-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                   | FREDDIE MAC FHR 5062 EI                                  | CUSIP: 3137F8U27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13027700 | PA      | $1480181.26     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | 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        |      251232 | PA      | $247658.54      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HILDENE TRUPS 2018-1A                                                     | HILDENE CLO HITR 2018 1A A1 144A                         | CUSIP: 43133AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13190018 | PA      | $13201321.61    | 0.10%             | 2038-10-10      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD4642 FR 01/54 FIXED 6.5              | CUSIP: 3132DSEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3097353 | PA      | $3254029.36     | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-56                                                 | FANNIE MAE FNR 2021 56 IB                                | CUSIP: 3136BGV99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7545202 | PA      | $489090.53      | 0.00%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA6 A32         | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50942 | PA      | $25972.95       | 0.00%             | 2035-05-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP BOA                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-244995.03     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0167 FN 02/57 FIXED 3                        | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13127014 | PA      | $11459227.69    | 0.08%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1           | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697128 | PA      | $686169.02      | 0.01%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS5477 FN 07/45 FIXED 4                        | CUSIP: 3138WFCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1613948 | PA      | $1555036.41     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2962                                                          | FREDDIE MAC FHR 2962 BS                                  | CUSIP: 31395TQ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14738 | PA      | $68.80          | 0.00%             | 2035-03-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-436                                                       | FANNIEMAE STRIP FNS 436 C4                               | CUSIP: 31424UFR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19269324 | PA      | $1246270.69     | 0.01%             | 2037-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC 2022-NQM7                                        | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM7 A1 144A           | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4868278 | PA      | $4855291.04     | 0.04%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A       | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8593081 | PA      | $8656552.53     | 0.06%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4147                                                   | FREDDIE MAC FHR 4147 CS                                  | CUSIP: 3137AXDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3801799 | PA      | $557902.55      | 0.00%             | 2042-12-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2016-43A                                          | DRYDEN SENIOR LOAN FUND DRSLF 2016 43A AR3 144A          | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000877.31     | 0.01%             | 2034-04-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                                  | FANNIE MAE FNR 2025 6 GF                                 | CUSIP: 3136BUVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1884709 | PA      | $1893398.57     | 0.01%             | 2055-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 C 144A                     | CUSIP: 942611AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3300000 | PA      | $3315903.95     | 0.02%             | 2050-06-17      | Fixed         | 5.81%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF           | CUSIP: 38383KFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10018873 | PA      | $10174015.91    | 0.07%             | 2073-09-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 PT 144A     | CUSIP: 36273PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    84436738 | PA      | $78407836.74    | 0.57%             | 2071-08-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $2636073.36     | 0.02%             |  |  |  | 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        |     5184533 | PA      | $5318551.03     | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0873 FR 04/55 FIXED 6                | CUSIP: 31427M6K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6847204 | PA      | $7115299.19     | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-66                                                 | FANNIE MAE FNR 2020 66 CI                                | CUSIP: 3136BBL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21282121 | PA      | $4449444.60     | 0.03%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0590 FN 06/55 FIXED 6                        | CUSIP: 3140Y6UQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6780309 | PA      | $6937154.16     | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 2A         | CUSIP: 933638AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3680143 | PA      | $3339114.17     | 0.02%             | 2047-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3652 FN 05/47 FLOATING VAR                   | CUSIP: 3140FPBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      494368 | PA      | $503329.64      | 0.00%             | 2047-05-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-60                                                 | FANNIE MAE FNR 2024 60 SA                                | CUSIP: 3136BSQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    82182358 | PA      | $5391384.57     | 0.04%             | 2054-09-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AW9166 FN 07/34 FIXED 4                        | CUSIP: 3138XZFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102024 | PA      | $100101.93      | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | 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        |    17031128 | PA      | $17135024.12    | 0.13%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ7692 FR 11/54 FIXED 5.5              | CUSIP: 3133CYRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7928782 | PA      | $8087842.63     | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 IL                                  | CUSIP: 3137F9XJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12946064 | PA      | $2271116.41     | 0.02%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AJ9213 FN 01/42 FIXED 4.5                      | CUSIP: 3138E2GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      161446 | PA      | $158871.04      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 158 OP           | CUSIP: 38377RCR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      984864 | PA      | $849938.68      | 0.01%             | 2040-12-20      | None          | 0.00%                 | 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        |   125279337 | PA      | $112213090.10   | 0.82%             | 2065-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-43                                                 | FANNIE MAE FNR 2023 43 IO                                | CUSIP: 3136BQJR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    73483206 | PA      | $4787798.27     | 0.04%             | 2037-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-C6                               | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 C6 A2           | CUSIP: 17327GAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7765474 | PA      | $7753204.83     | 0.06%             | 2051-11-10      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1089 FN 08/47 FIXED VAR                      | CUSIP: 3140X4F76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4712701 | PA      | $4527673.78     | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-8                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 8 SP             | CUSIP: 38378P6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      667931 | PA      | $12585.22       | 0.00%             | 2043-09-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                                      | COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A            | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8079469 | PA      | $7453845.42     | 0.05%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 2A4        | CUSIP: 83611MPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      616157 | PA      | $614909.95      | 0.00%             | 2036-06-25      | Floating      | 4.29%                 | 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        |    47689003 | PA      | $48825718.26    | 0.36%             | 2073-06-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-19                                                 | FANNIE MAE FNR 2013 19 SJ                                | CUSIP: 3136ACNE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1007925 | PA      | $110779.24      | 0.00%             | 2043-03-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC3                                    | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC3 M2             | CUSIP: 61746RJL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6397276 | PA      | $5970342.20     | 0.04%             | 2035-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-50                                                 | FANNIE MAE FNR 2014 50 FC                                | CUSIP: 3136AKXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1175693 | PA      | $1162537.57     | 0.01%             | 2044-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3207 FN 10/55 FIXED VAR                      | CUSIP: 3140W3R50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1400218 | PA      | $1427988.42     | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA0361 FN 09/37 FIXED 4                        | CUSIP: 3140Q7MK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1002319 | PA      | $983134.22      | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                             | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10237007 | PA      | $9951251.86     | 0.07%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A  | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12066353 | PA      | $10678026.38    | 0.08%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                                 | FANNIE MAE FNR 2015 64 MI                                | CUSIP: 3136AP5U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188884 | PA      | $13027.98       | 0.00%             | 2045-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-2                                                    | CHASEFLEX TRUST CFLX 2007 2 M1                           | CUSIP: 16165WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8700000 | PA      | $7878043.14     | 0.06%             | 2037-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                   | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      256050 | PA      | $235031.25      | 0.00%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                       | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                 | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19700000 | PA      | $19711058.20    | 0.14%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                         | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1B 144A          | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    22027215 | PA      | $22168693.33    | 0.16%             | 2055-05-17      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C34                             | CUSIP: 31325XVP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5033587 | PA      | $882655.39      | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | 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        |      185168 | PA      | $171646.13      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3                | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28146048 | PA      | $26168506.32    | 0.19%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR5                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 2A1        | CUSIP: 32051GXQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6981 | PA      | $5124.63        | 0.00%             | 2035-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-5                                           | JP MORGAN MORTGAGE TRUST JPMMT 2024 5 A11 144A           | CUSIP: 46658RAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31335689 | PA      | $31415388.65    | 0.23%             | 2054-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAH8A4 PIMCO SWAPTION 2.6 CALL USD 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   266900000 | NC      | $92881.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE4018 FN 07/55 FIXED 5.5                      | CUSIP: 3140BGPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      278975 | PA      | $285355.27      | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-89                                                 | FANNIE MAE FNR 2020 89 TI                                | CUSIP: 3136BC5G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47985357 | PA      | $8083800.45     | 0.06%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0503 FR 12/53 FIXED 6.5              | CUSIP: 3142GQRZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47105457 | PA      | $49493794.64    | 0.36%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                  | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5         | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20980 | PA      | $20399.50       | 0.00%             | 2033-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1                          | MORGAN STANLEY CAPITAL INC MSAC 2007 SEA1 1A1 144A       | CUSIP: 61757MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3444030 | PA      | $2842958.19     | 0.02%             | 2047-02-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                               | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A      | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1539779 | PA      | $1444583.24     | 0.01%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A            | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5120701 | PA      | $4801445.06     | 0.04%             | 2037-06-25      | Floating      | 4.07%                 | 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        |    40000000 | PA      | $40132674.00    | 0.29%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A B 144A           | CUSIP: 37989AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3200000 | PA      | $3212625.92     | 0.02%             | 2029-01-16      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1        | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2898781 | PA      | $2544690.92     | 0.02%             | 2037-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI            | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      597595 | PA      | $27657.94       | 0.00%             | 2045-12-20      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                           | SBA TOWER TRUST ASSET BACKED 144A 04/27 1.84             | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17600000 | PA      | $17179483.20    | 0.13%             | 2027-04-15      | Fixed         | 1.84%                 | 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      | $-3947.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A      | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5900000 | PA      | $5906970.97     | 0.04%             | 2043-02-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL8092 FN 07/42 FIXED VAR                      | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      998739 | PA      | $965157.78      | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1         | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      885029 | PA      | $635580.70      | 0.00%             | 2035-10-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -47000000 | NC      | $-157224.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4135                                                   | FREDDIE MAC FHR 4135 CI                                  | CUSIP: 3137AWBC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      672051 | PA      | $11277.48       | 0.00%             | 2027-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2645 FR 09/55 FIXED 6.5              | CUSIP: 31427P5F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10054959 | PA      | $10583178.83    | 0.08%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8659 FN 06/33 FIXED 4.44                     | CUSIP: 3140LKTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12320000 | PA      | $12314833.85    | 0.09%             | 2033-06-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B F 144A       | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      612281 | PA      | $619718.79      | 0.00%             | 2032-09-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF4 A1 144A    | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3481574 | PA      | $3427423.80     | 0.03%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A2          | CUSIP: 590238AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9808236 | PA      | $3716217.18     | 0.03%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B C 144A         | CUSIP: 83206NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9658454 | PA      | $9452481.90     | 0.07%             | 2055-02-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-124709.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3423                                                   | FREDDIE MAC FHR 3423 PO                                  | CUSIP: 31397RVR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      282362 | PA      | $249714.97      | 0.00%             | 2038-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 UI                                 | CUSIP: 3136BDYR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17354844 | PA      | $717815.43      | 0.01%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8294 FR 04/39 FIXED 5.5              | CUSIP: 3132D6GB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147492 | PA      | $150574.46      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0383 FN 04/59 FIXED 4.5                      | CUSIP: 3140FXM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5070099 | PA      | $4901431.28     | 0.04%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ9089 FR 11/54 FIXED 6.5              | CUSIP: 3133D1C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      270081 | PA      | $280536.82      | 0.00%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4744 FN 01/48 FIXED 4                        | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      213769 | PA      | $204848.71      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5347 FR 05/45 FIXED 4                | CUSIP: 3132DS5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11615004 | PA      | $11198487.18    | 0.08%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.23200 04/26/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2983965.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7989 G2 04/52 FIXED 3.5                   | CUSIP: 36179W2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47547526 | PA      | $44060459.54    | 0.32%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.41000 10/16/25-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2072827.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2333 FN 02/50 FIXED VAR                      | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4234241 | PA      | $3951938.19     | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A        | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      858642 | PA      | $859140.98      | 0.01%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA           | CUSIP: 38375US27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4052240 | PA      | $3970783.17     | 0.03%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-62                                                 | FANNIE MAE FNR 2016 62 AF                                | CUSIP: 3136ATVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      542926 | PA      | $538690.72      | 0.00%             | 2046-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB           | CUSIP: 38376RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91523 | PA      | $91595.79       | 0.00%             | 2065-08-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 C 144A        | CUSIP: 39571XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1248209 | PA      | $1254809.57     | 0.01%             | 2059-10-27      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AV3502 FN 03/44 FIXED 4                        | CUSIP: 3138XE3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      252822 | PA      | $243840.83      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-187                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 187 FC           | CUSIP: 38385JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4567718 | PA      | $4580641.15     | 0.03%             | 2055-11-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5              | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16468247 | PA      | $16794887.42    | 0.12%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                         | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A          | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4130136 | PA      | $4166884.80     | 0.03%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5155                                                   | FREDDIE MAC FHR 5155 MI                                  | CUSIP: 3137H36X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15400103 | PA      | $2206569.88     | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4468 FN 11/34 FIXED 3.5                      | CUSIP: 3140QB6E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5139487 | PA      | $5032759.69     | 0.04%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC8090 G2 10/47 FIXED 3.5                   | CUSIP: 3617BB7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      892134 | PA      | $830318.51      | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-10                                                        | FANNIE MAE FNR 2004 10 ZB                                | CUSIP: 31393XCU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43479 | PA      | $44885.55       | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA5561 FN 04/50 FIXED 3.5                      | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5488552 | PA      | $5115059.25     | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | 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     | 0.02%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R M1 144A     | CUSIP: 64831EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9242097.00     | 0.07%             | 2058-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0032 FN 12/54 FIXED VAR                      | CUSIP: 3140W0BA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6252246 | PA      | $6235577.41     | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-135                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 135 BO           | CUSIP: 38381AJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      651128 | PA      | $597523.58      | 0.00%             | 2043-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-57                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 57 ES            | CUSIP: 38381VSX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3737341 | PA      | $298687.17      | 0.00%             | 2049-05-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F012643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -7800000 | PA      | $-6021234.34    | -0.04%            | 2056-04-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-30                                                 | FANNIE MAE FNR 2019 30 HF                                | CUSIP: 3136B5AS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1568067 | PA      | $1544421.10     | 0.01%             | 2059-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD6727 FR 07/54 FIXED 6.5              | CUSIP: 3132DUPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3501024 | PA      | $3683161.24     | 0.03%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4474                                                   | FREDDIE MAC FHR 4474 NI                                  | CUSIP: 3137BJFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      159606 | PA      | $28593.36       | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G61254 FG 01/48 FIXED 4                | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1779677 | PA      | $1707561.72     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | 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      | $10817.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 427                                         | FANNIEMAE STRIP FNS 427 C22                              | CUSIP: 31423XMY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24962435 | PA      | $3232540.29     | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5              | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29324943 | PA      | $29996593.20    | 0.22%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8573 FN 06/54 FIXED VAR                      | CUSIP: 3140XQQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2742863 | PA      | $2884763.15     | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 376                                             | FANNIEMAE STRIP FNS 376 2                                | CUSIP: 3136FC2Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1735 | PA      | $68.32          | 0.00%             | 2029-02-25      | Fixed         | 5.50%                 | 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        |      270831 | PA      | $271048.37      | 0.00%             | 2054-11-25      | Fixed         | 5.15%                 | 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        |     5029023 | PA      | $5038421.72     | 0.04%             | 2055-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9731 FN 10/28 FIXED 5.61                     | CUSIP: 3140LLY54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1226710 | PA      | $1233256.09     | 0.01%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A      | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1549905 | PA      | $1558802.99     | 0.01%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4793 FR 09/55 FIXED 6.5              | CUSIP: 3142GVKF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3170498 | PA      | $3359890.06     | 0.02%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                          | GRIFONAS FINANCE PLC GRIF 1 A REGS                       | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     3735514 | PA      | $4244807.19     | 0.03%             | 2039-08-28      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-43                                                 | FANNIE MAE FNR 2013 43 SI                                | CUSIP: 3136ADZ69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1712187 | PA      | $57005.72       | 0.00%             | 2041-08-25      | Floating      | 2.47%                 | 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        |     3152039 | PA      | $3157124.80     | 0.02%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY2447 FN 07/53 FIXED 5                        | CUSIP: 3140NJWH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      957172 | PA      | $963260.31      | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C55                             | CUSIP: 31325XWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1316840 | PA      | $236675.80      | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-148                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 148 AF           | CUSIP: 38384WM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2153016 | PA      | $2163887.98     | 0.02%             | 2054-09-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004336 G2 01/39 FIXED 5.5                   | CUSIP: 36202EY94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25307 | PA      | $25440.85       | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA82A0 PIMCO FPPSWAPTION 4.693 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    53400000 | NC      | $2894338.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-91                                                 | FANNIE MAE FNR 2004 91 BR                                | CUSIP: 31394BYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21941 | PA      | $22458.87       | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC7138 FN 11/54 FIXED 6.5                      | CUSIP: 3140AU4Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147256 | PA      | $153610.55      | 0.00%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A               | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2972585 | PA      | $2975088.33     | 0.02%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-84                                                 | FANNIE MAE FNR 2015 84 CI                                | CUSIP: 3136AQRG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      421050 | PA      | $59695.36       | 0.00%             | 2045-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD2235 FR 01/53 FIXED 6                | CUSIP: 3132DPPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18381531 | PA      | $18867759.30    | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2           | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157247 | PA      | $145615.39      | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A       | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11227082 | PA      | $11457586.47    | 0.08%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                               | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -17000000 | PA      | $-15179402.17   | -0.11%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3725                                                          | FREDDIE MAC FHR 3725 CD                                  | CUSIP: 3137A1TW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3851127 | PA      | $3754212.71     | 0.03%             | 2040-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1178 FN 06/31 FIXED 5.81                     | CUSIP: 3140NVJY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    65600000 | PA      | $66702861.30    | 0.49%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A         | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1518584 | PA      | $1448341.46     | 0.01%             | 2036-11-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-8                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 8 2A3          | CUSIP: 41161PRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1940297 | PA      | $1442999.13     | 0.01%             | 2035-09-19      | Floating      | 5.76%                 | 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        |    10719407 | PA      | $10718523.44    | 0.08%             | 2055-12-25      | Floating      | 4.53%                 | 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        |       22357 | PA      | $19697.56       | 0.00%             | 2035-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                       | BCP TRUST BCP 2021 330N C 144A                           | CUSIP: 05553BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $1684188.00     | 0.01%             | 2038-06-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 D 144A        | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5460430.25     | 0.04%             | 2038-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                         | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A             | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2430756 | PA      | $2431963.36     | 0.02%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                                 | FANNIE MAE FNR 2015 58 AI                                | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445759 | PA      | $20325.33       | 0.00%             | 2055-08-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-27                                                        | FANNIE MAE FNR 2020 27 IM                                | CUSIP: 3136B9UP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7550955 | PA      | $559735.70      | 0.00%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                                                   | FREDDIE MAC FHR 4367 GS                                  | CUSIP: 3137BCL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157746 | PA      | $8222.71        | 0.00%             | 2037-03-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U96ZA0 PIMCO FPPSWAPTION 4.265 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32400000 | NC      | $2108332.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DF3918 FN 12/55 FIXED 5.5                      | CUSIP: 3140BUK84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2845597 | PA      | $2896048.31     | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC0100 FR 03/51 FIXED 3                | CUSIP: 3133AJDD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      865368 | PA      | $773834.23      | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A        | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10126701 | PA      | $9084543.89     | 0.07%             | 2038-01-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-87                                                 | FANNIE MAE FNR 2015 87 IA                                | CUSIP: 3136AQWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      322114 | PA      | $31507.07       | 0.00%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US CAPITAL FUNDING V LTD 2006-5A                                          | US CAPITAL FUNDING LTD USCAP 2006 5A A1 144A             | CUSIP: 90342WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      506583 | PA      | $487586.21      | 0.00%             | 2040-10-10      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ3975 FR 04/55 FIXED 6.5              | CUSIP: 3142GUMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2009551 | PA      | $2114520.40     | 0.02%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3638 FN 08/44 FIXED VAR                      | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1693426 | PA      | $1637953.88     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG6256 FR 07/53 FIXED 6                | CUSIP: 3133C65R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2621598 | PA      | $2694905.22     | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    82500000 | NC      | $285417.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3997                                                   | FREDDIE MAC FHR 3997 NE                                  | CUSIP: 3137AMCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973817 | PA      | $854736.51      | 0.01%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                  | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                 | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9400000 | PA      | $9412862.77     | 0.07%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7503 FN 07/50 FIXED VAR                      | CUSIP: 3140XBKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6388635 | PA      | $5921265.10     | 0.04%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-7                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 7 OJ             | CUSIP: 38378CMZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      634979 | PA      | $543483.31      | 0.00%             | 2041-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-179                                                      | FREDDIEMAC STRIP FHS 179 PO                              | CUSIP: 31282XYN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $59.57          | 0.00%             | 2026-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KL918 PIMCO FLOOR USD 0.01936 USD SOFR COM           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -880000000 | NC      | $-683232.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 2 M1           | CUSIP: 542514FX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20326 | PA      | $20323.92       | 0.00%             | 2034-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC5848 FN 05/40 FIXED 4.5                      | CUSIP: 31417SQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      744145 | PA      | $731501.12      | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD6621 FR 10/54 FIXED 6                | CUSIP: 3132DULA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7579841 | PA      | $7868597.46     | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7570 FR 05/54 FIXED 6                | CUSIP: 3132DVMT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   147866671 | PA      | $153878885.23   | 1.13%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                 | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A BR 144A           | CUSIP: ACI2VPZ11<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2800000 | PA      | $3233721.93     | 0.02%             | 2033-08-15      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1636 FR 12/54 FIXED 5.5              | CUSIP: 31425VZA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3496563 | PA      | $3573948.44     | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5010                                                   | FREDDIE MAC FHR 5010 GI                                  | CUSIP: 3137FVPT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3389162 | PA      | $474536.21      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4604                                                   | FREDDIE MAC FHR 4604 DI                                  | CUSIP: 3137BRMT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      513162 | PA      | $51587.30       | 0.00%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FH           | CUSIP: 38383KMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5331412 | PA      | $5418721.62     | 0.04%             | 2074-01-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR C 144A        | CUSIP: 36251SAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3293000 | PA      | $639630.67      | 0.00%             | 2031-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-46                                                        | FANNIE MAE FNR 2006 46 UD                                | CUSIP: 31395D5N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106212 | PA      | $109153.31      | 0.00%             | 2036-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7642 FN 12/53 FIXED 6                        | CUSIP: 3140QTP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3211434 | PA      | $3313744.46     | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                            | OFSI FUND LTD OFSBS 2021 10A AR 144A                     | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13000000 | PA      | $13016809.91    | 0.10%             | 2034-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 787212 G2 10/47 FIXED 3.5                   | CUSIP: 3622AC3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16695023 | PA      | $15386298.29    | 0.11%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7786 FN 01/54 FIXED 6                        | CUSIP: 3140QTUL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1864970 | PA      | $1927075.81     | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-FL4 LLC                                                  | VMC FINANCE LLC VMC 2021 FL4 C 144A                      | CUSIP: 91835RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2664671 | PA      | $2638565.36     | 0.02%             | 2036-06-16      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC4714 G2 10/47 FIXED 3.5                   | CUSIP: 3617B8GX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1951344 | PA      | $1816129.65     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8144 FN 10/46 FIXED 4                        | CUSIP: 3138WJBN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31878 | PA      | $30560.75       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QO2648 FR 10/39 FIXED 5.5              | CUSIP: 3133WL5H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      401246 | PA      | $410260.20      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1612 FR 12/54 FIXED 5.5              | CUSIP: 31425VYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2133602 | PA      | $2160293.87     | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP 419                                                       | FANNIEMAE STRIP FNS 419 C3                               | CUSIP: 31395Q5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1104837 | PA      | $145901.09      | 0.00%             | 2043-11-25      | 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        |     1931918 | PA      | $2235785.08     | 0.02%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A1          | CUSIP: 75116BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2405834 | PA      | $2027783.84     | 0.01%             | 2037-02-25      | Fixed         | 6.50%                 | 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        |     1242577 | PA      | $1246994.98     | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                      | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 D 144A         | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7250000 | PA      | $7267369.55     | 0.05%             | 2031-09-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A A1B 144A      | CUSIP: 64830WAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      511192 | PA      | $479185.80      | 0.00%             | 2058-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 1 LLC/ABILENE DC 2 LLC                                         | PROJECT FLASH DELAYED DRAW TERM LOAN                     | CUSIP: BA000GR85<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     6869999 | PA      | $6820742.23     | 0.05%             | 2028-01-09      | Floating      | 5.34%                 | No            |                  3 | 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        |    13019393 | PA      | $12968469.93    | 0.09%             | 2053-04-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIP TRUST 195                                               | FREDDIEMAC STRIP FHS 195 PO                              | CUSIP: 31351BTN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         262 | PA      | $256.84         | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF4           | CUSIP: 759950GW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3090981 | PA      | $1407221.48     | 0.01%             | 2036-05-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-C                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 C 2A1          | CUSIP: 05949AY79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      848702 | PA      | $842536.42      | 0.01%             | 2035-04-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2026-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2026 H05 FL           | CUSIP: 38384L2T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42496679 | PA      | $42992504.79    | 0.31%             | 2076-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                                 | FANNIE MAE FNR 2020 99 GI                                | CUSIP: 3136BDEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15572788 | PA      | $654356.11      | 0.00%             | 2035-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-70                                                 | FANNIE MAE FNR 2025 70 LF                                | CUSIP: 3136BXKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2871680 | PA      | $2889819.17     | 0.02%             | 2055-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5              | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20223495 | PA      | $20925861.26    | 0.15%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB0847 FN 06/51 FIXED 3                        | CUSIP: 3140QK5H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25859968 | PA      | $23214069.59    | 0.17%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-60                                                 | FANNIE MAE FNR 2017 60 SA                                | CUSIP: 3136AXQW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19109654 | PA      | $564499.17      | 0.00%             | 2047-08-25      | Floating      | 0.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR8831 FN 02/51 FIXED 3                        | CUSIP: 3140L7Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      649791 | PA      | $581041.09      | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 2A1          | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      111708 | PA      | $94718.16       | 0.00%             | 2036-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT JUN26 XCBT 20260618                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2242 | NC      | $-5778520.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2553 FR 01/55 FIXED 5.5              | CUSIP: 31425WZT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2892930 | PA      | $2931904.59     | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                 | FANNIE MAE FNR 2021 59 IM                                | CUSIP: 3136BGW64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23126814 | PA      | $3953982.19     | 0.03%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-139                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 139 BF           | CUSIP: 38381QXW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      291748 | PA      | $293314.12      | 0.00%             | 2055-08-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57000000 | NC      | $3377073.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004483 G2 07/39 FIXED 4                     | CUSIP: 36202E6U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8529 | PA      | $7964.37        | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-1                         | FREDDIE MAC   SCRT SCRT 2025 1 M 144A                    | CUSIP: 35563VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      385000 | PA      | $330493.32      | 0.00%             | 2064-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q51580 FG 10/47 FIXED 4                | CUSIP: 3132XTXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      912328 | PA      | $876914.35      | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C47                              | CUSIP: 31424QLW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    78722976 | PA      | $7104773.80     | 0.05%             | 2042-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF11                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF11 M5          | CUSIP: 32027NNB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5671142 | PA      | $5637787.12     | 0.04%             | 2035-01-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A      | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1499000 | PA      | $1498756.88     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4154                                                   | FREDDIE MAC FHR 4154 SA                                  | CUSIP: 3137AXS95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1473769 | PA      | $160917.26      | 0.00%             | 2043-01-15      | Floating      | 2.36%                 | 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        |      971547 | PA      | $972131.47      | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | 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        |      331944 | PA      | $306742.50      | 0.00%             | 2047-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8301 FR 02/53 FIXED 6                | CUSIP: 3132DWGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17966083 | PA      | $18452195.25    | 0.14%             | 2053-02-01      | Fixed         | 6.00%                 | 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        |      161200 | PA      | $154473.02      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03696 FG 01/38 FIXED 5.5              | CUSIP: 3128M5NM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1164 | PA      | $1202.37        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A C 144A                 | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      800000 | PA      | $810184.56      | 0.01%             | 2032-08-16      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C30                             | CUSIP: 3142G4VZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   132160097 | PA      | $15770710.66    | 0.12%             | 2051-06-25      | Fixed         | 2.00%                 | 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        |     2243274 | PA      | $2036315.16     | 0.01%             | 2034-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5619 FR 06/54 FIXED 7                | CUSIP: 3132DTG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37858 | PA      | $39807.40       | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5              | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4916595 | PA      | $4596205.03     | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C25                             | CUSIP: 31325YRB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39215798 | PA      | $6884228.60     | 0.05%             | 2052-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BG9709 GN 07/48 FIXED 4                        | CUSIP: 3617GUYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      265723 | PA      | $258871.64      | 0.00%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-2                                            | BNC MORTGAGE LOAN TRUST BNCMT 2007 2 A4                  | CUSIP: 05569QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $8731103.00     | 0.06%             | 2037-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY           | CUSIP: 38381YVM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5213089 | PA      | $659238.35      | 0.00%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005175 G2 09/41 FIXED 4.5                   | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      279266 | PA      | $276933.26      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4139                                                   | FREDDIE MAC FHR 4139 DI                                  | CUSIP: 3137AWXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      255338 | PA      | $4278.45        | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | 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        |    15000000 | PA      | $15002863.80    | 0.11%             | 2044-01-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                  | FANNIE MAE FNR 2020 2 S                                  | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13213541 | PA      | $1469573.00     | 0.01%             | 2059-07-25      | Floating      | 2.27%                 | 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        |     2874007 | PA      | $2866344.30     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLD5 PIMCO CDSOPT CALL USD 99.89062500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -46000000 | NC      | $-736.00        | -0.00%            |  |  |  | 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        |     1118235 | PA      | $1000226.84     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 GB                                | CUSIP: 3136ASTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55018 | PA      | $32685.32       | 0.00%             | 2043-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD3550 FR 04/48 FIXED 4                | CUSIP: 3132DQ5K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      867443 | PA      | $840764.78      | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                          | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A           | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6324066 | PA      | $6319195.90     | 0.05%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-70                                                        | FANNIE MAE FNR 2005 70 GB                                | CUSIP: 31394E2B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      607596 | PA      | $623720.87      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0534 FR 12/54 FIXED 6.5              | CUSIP: 31425USY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      280271 | PA      | $292987.71      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | 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        |    14000000 | PA      | $14004792.90    | 0.10%             | 2035-01-15      | Floating      | 4.82%                 | 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        |     1614294 | PA      | $1608061.41     | 0.01%             | 2050-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                             | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A              | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1803538 | PA      | $1813399.41     | 0.01%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5199                                               | FREDDIE MAC FHR 5199 IO                                  | CUSIP: 3137H6AU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7316729 | PA      | $769946.73      | 0.01%             | 2047-08-15      | Floating      | 2.44%                 | 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        |    15374296 | PA      | $5926306.85     | 0.04%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 446                                             | FANNIEMAE STRIP FNS 446 C17                              | CUSIP: 31425CDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    86507303 | PA      | $17927503.48    | 0.13%             | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-2                                              | LEHMAN MORTGAGE TRUST LMT 2007 2 1A2                     | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3605455 | PA      | $2322005.09     | 0.02%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-53                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 53 SX            | CUSIP: 38380V7L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4251948 | PA      | $4092449.05     | 0.03%             | 2048-04-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| OBX 2025-R1 TRUST                                                         | ONSLOW BAY FINANCIAL LLC OBX 2025 R1 A1 144A             | CUSIP: 67123GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15260316 | PA      | $15169599.47    | 0.11%             | 2062-09-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1          | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      762021 | PA      | $732678.43      | 0.01%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3                  | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM3 A1 144A    | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8733986 | PA      | $8714084.56     | 0.06%             | 2069-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 1A10      | CUSIP: 02147RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      787374 | PA      | $750655.24      | 0.01%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5217 FN 12/53 FIXED 6.5                      | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      382607 | PA      | $395822.21      | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4143                                                   | FREDDIE MAC FHR 4143 HI                                  | CUSIP: 3137AX7M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      572946 | PA      | $8151.19        | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                      | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A       | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5270000 | PA      | $5250904.68     | 0.04%             | 2034-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5345 FR 05/45 FIXED 6                | CUSIP: 3133KY5E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1901196 | PA      | $1940729.71     | 0.01%             | 2045-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A      | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7100000 | PA      | $7221285.04     | 0.05%             | 2060-03-25      | Fixed         | 5.32%                 | 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      | $-9759.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-68                                                 | FANNIE MAE FNR 2019 68 SD                                | CUSIP: 3136B6P49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3319684 | PA      | $394560.09      | 0.00%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7970 FN 02/54 FIXED 5                        | CUSIP: 3140QT2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      797934 | PA      | $796211.64      | 0.01%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                        | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A          | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13000000 | PA      | $12987262.60    | 0.10%             | 2029-08-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV2 AX3 144A        | CUSIP: 46653TBU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9045102 | PA      | $1222559.56     | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE5                       | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE5 M1         | CUSIP: 073879CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5040870 | PA      | $5017070.78     | 0.04%             | 2034-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                   | FREDDIE MAC FHR 4182 QI                                  | CUSIP: 3137B0ZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      170695 | PA      | $7546.17        | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFRF USD SF+26.161/2.50 9/20/23-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-135283.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4075 FR 01/55 FIXED 6                | CUSIP: 31425YQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      391944 | PA      | $404313.09      | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8664 FN 06/33 FIXED 4.53                     | CUSIP: 3140LKTW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3144910 | PA      | $3166074.27     | 0.02%             | 2033-06-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-207                                                      | FREDDIEMAC STRIP FHS 207 PO                              | CUSIP: 3128CU7F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14921 | PA      | $14075.94       | 0.00%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL2 A1 144A    | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4081529 | PA      | $3964423.63     | 0.03%             | 2064-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                                                   | FREDDIE MAC FHR 3635 IB                                  | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      140476 | PA      | $6936.45        | 0.00%             | 2037-10-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RD5261 FR 09/35 FIXED 5.5              | CUSIP: 3133LPZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1299186 | PA      | $1328553.60     | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1530 FR 05/54 FIXED 6.5              | CUSIP: 3142GRVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20790357 | PA      | $21898432.16    | 0.16%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2567 FN 08/55 FIXED VAR                      | CUSIP: 3140W2Z95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9263120 | PA      | $9734617.90     | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0552 FR 12/54 FIXED 6                | CUSIP: 31425UTJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      852057 | PA      | $885551.84      | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3          | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5009041 | PA      | $3411510.02     | 0.02%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD7514 FN 05/55 FIXED 6                        | CUSIP: 3140B8K42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2079488 | PA      | $2161881.50     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2549 FR 05/55 FIXED 6                | CUSIP: 31426LZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2587003 | PA      | $2683601.76     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A9        | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15706771 | PA      | $5933356.65     | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-61                                                 | FANNIE MAE FNR 2023 61 IO                                | CUSIP: 3136BQWM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    95033385 | PA      | $19942280.77    | 0.15%             | 2053-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H24                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H24 FA           | CUSIP: 38383KGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7526877 | PA      | $7656352.45     | 0.06%             | 2073-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3001                                                          | FREDDIE MAC FHR 3001 Z                                   | CUSIP: 31395WBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      688991 | PA      | $733876.84      | 0.01%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 D 144A        | CUSIP: 39571MAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3731990 | PA      | $3837141.36     | 0.03%             | 2059-06-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP2                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP2 1AF1 144A       | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3798018 | PA      | $3277144.34     | 0.02%             | 2036-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A2         | CUSIP: 933634AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2925796 | PA      | $2634250.00     | 0.02%             | 2037-03-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8786 FN 02/47 FIXED 4                        | CUSIP: 3138WJXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23797 | PA      | $22823.48       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8290 FR 01/53 FIXED 6                | CUSIP: 3132DWF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18536836 | PA      | $19038388.18    | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7651 FN 12/53 FIXED 6.5                      | CUSIP: 3140QTQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19703417 | PA      | $20708101.31    | 0.15%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                          | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M1 144A            | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $696406.80      | 0.01%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-1                  | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2004 1 M1           | CUSIP: 71085PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2013080 | PA      | $1902489.41     | 0.01%             | 2034-06-25      | Floating      | 4.68%                 | 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        |      197527 | PA      | $213643.12      | 0.00%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB2697 FN 04/54 FIXED 6                        | CUSIP: 3140AB7K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3719313 | PA      | $3869908.47     | 0.03%             | 2054-04-01      | 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                  | Long             | ABS-MBS          | USGSE             | US        |   251780000 | PA      | $248345977.62   | 1.82%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-2Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1244650.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1436 FR 05/54 FIXED 6.5              | CUSIP: 3142GRS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18649674 | PA      | $19636496.18    | 0.14%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2         | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6944080 | PA      | $6917724.60     | 0.05%             | 2035-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A       | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5267868 | PA      | $5292263.56     | 0.04%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE9832 G2 06/48 FIXED 4.5                   | CUSIP: 3617G44R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70112 | PA      | $67872.20       | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4598                                                   | FREDDIE MAC FHR 4598 NI                                  | CUSIP: 3137BQVM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2614802 | PA      | $521836.04      | 0.00%             | 2046-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A3 144A       | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1214148.24     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0874 FR 03/55 FIXED 6                | CUSIP: 31427M6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14006873 | PA      | $14572230.19    | 0.11%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5018 G2 02/48 FIXED 3                     | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5568316 | PA      | $5036255.29     | 0.04%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-86                                                 | FANNIE MAE FNR 2013 86 LI                                | CUSIP: 3136AF2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      326100 | PA      | $23380.06       | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-56                                                 | FANNIE MAE FNR 2020 56 DI                                | CUSIP: 3136BBMQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12464074 | PA      | $2087023.26     | 0.02%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA           | CUSIP: 38383KGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13442147 | PA      | $13661701.74    | 0.10%             | 2073-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3316                                                   | FREDDIE MAC FHR 3316 JO                                  | CUSIP: 31397HKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1858 | PA      | $1552.35        | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5203                                                   | FREDDIE MAC FHR 5203 FA                                  | CUSIP: 3137H6KK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6217289 | PA      | $5781468.57     | 0.04%             | 2052-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040644<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -22100000 | PA      | $-20857052.24   | -0.15%            | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-142                                                | FANNIE MAE FNR 2012 142 AI                               | CUSIP: 3136A96P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2208720 | PA      | $274602.03      | 0.00%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                             | FANNIEMAE STRIP FNS 418 C15                              | CUSIP: 31395Q3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11323403 | PA      | $1915130.40     | 0.01%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0305 G2 04/55 FIXED 4                     | CUSIP: 3618N5KT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      494295 | PA      | $463638.04      | 0.00%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-7                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 7 A11 144A     | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15149691 | PA      | $15248277.78    | 0.11%             | 2055-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0497 FN 07/60 FIXED 3                        | CUSIP: 3140FXRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24620707 | PA      | $21311585.88    | 0.16%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8379 FR 04/40 FIXED 5.5              | CUSIP: 3132D6JY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   136001073 | PA      | $138747004.16   | 1.02%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                               | WATR 2026 1 D 144A                                       | CUSIP: 957ITBII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4688000 | PA      | $4694090.93     | 0.03%             | 2051-04-19      | Fixed         | 6.77%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4072                                                   | FREDDIE MAC FHR 4072 Z                                   | CUSIP: 3137ARRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1152017 | PA      | $1076379.08     | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BT0924 FN 05/51 FIXED 3                        | CUSIP: 3140LPA28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      394063 | PA      | $351316.58      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                           | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 2A                  | CUSIP: 31393YV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11806 | PA      | $11867.84       | 0.00%             | 2043-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A      | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6534318 | PA      | $6531081.10     | 0.05%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC7014 FN 12/54 FIXED 5.5                      | CUSIP: 3140AUYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2160432 | PA      | $2195388.28     | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL5 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL5 A1 144A    | CUSIP: 69383PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23764629 | PA      | $23272699.21    | 0.17%             | 2065-06-25      | Fixed         | 4.50%                 | 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        |   -35500000 | NC      | $-171386.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                         | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A          | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5788246 | PA      | $5842287.56     | 0.04%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF C 144A      | CUSIP: 61691KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1317924 | PA      | $1302847.93     | 0.01%             | 2034-11-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-75                                                 | FANNIE MAE FNR 2021 75 BI                                | CUSIP: 3136BJR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36969286 | PA      | $6440171.70     | 0.05%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4616 FN 02/48 FIXED 4                        | CUSIP: 3140H6DW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2787127 | PA      | $2670831.30     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | 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        |     1500000 | PA      | $1496120.61     | 0.01%             | 2040-02-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050452<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50000000 | PA      | $50326038.00    | 0.37%             | 2041-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4979                                                   | FREDDIE MAC FHR 4979 US                                  | CUSIP: 3137FTY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3153769 | PA      | $350154.40      | 0.00%             | 2050-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6402 FN 11/53 FIXED VAR                      | CUSIP: 3140XNDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8637579 | PA      | $8952730.58     | 0.07%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4434 FN 06/48 FIXED VAR                      | CUSIP: 3140J84U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1142259 | PA      | $1150899.03     | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-95                                                 | FANNIE MAE FNR 2018 95 SA                                | CUSIP: 3136B3UE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1185992 | PA      | $109675.01      | 0.00%             | 2049-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 182 IW           | CUSIP: 38380UAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4414575 | PA      | $224768.55      | 0.00%             | 2047-05-20      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                                   | FREDDIE MAC FHR 4068 TS                                  | CUSIP: 3137ARPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3576819 | PA      | $372452.70      | 0.00%             | 2042-06-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4            | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      703800 | PA      | $688146.31      | 0.01%             | 2036-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2189                                                          | FREDDIE MAC FHR 2189 PO                                  | CUSIP: 3133TLXZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4457 | PA      | $4338.76        | 0.00%             | 2027-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                      | GCAT GCAT 2024 NQM2 A1 144A                              | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3149638 | PA      | $3173461.76     | 0.02%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0178 FN 03/57 FIXED 3                        | CUSIP: 3140FXFU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2439336 | PA      | $2132521.72     | 0.02%             | 2057-03-01      | Fixed         | 3.00%                 | 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        |        2234 | PA      | $2243.05        | 0.00%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XV LTD 15A                                                     | C BASS LTD CBCL 15A A 144A                               | CUSIP: 124670AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   248639703 | PA      | $3644063.49     | 0.03%             | 2041-02-16      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                   | BCAP LLC TRUST BCAP 2007 AA2 2A12                        | CUSIP: 05530NBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      965536 | PA      | $376478.42      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | 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        |     5831500 | PA      | $5738849.33     | 0.04%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-75                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 75 A2               | CUSIP: 31397JMF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17229308 | PA      | $13310836.03    | 0.10%             | 2036-12-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 3A1          | CUSIP: 07401EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1414910 | PA      | $1271037.14     | 0.01%             | 2046-12-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A    | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2463536 | PA      | $1140860.44     | 0.01%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 IB           | CUSIP: 38379FE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      633894 | PA      | $55259.61       | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-7                                        | HOME EQUITY ASSET TRUST HEAT 2005 7 M2                   | CUSIP: 437084PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9788097 | PA      | $9480695.20     | 0.07%             | 2036-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR-5100                                                                  | FREDDIE MAC FHR 5100 MI                                  | CUSIP: 3137FYVU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18700839 | PA      | $3358982.91     | 0.02%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A  | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7338218 | PA      | $6571477.01     | 0.05%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-12                                                        | FANNIE MAE FNR 2020 12 NI                                | CUSIP: 3136B8D89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9217564 | PA      | $665120.03      | 0.00%             | 2060-03-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-102                                                | FANNIE MAE FNR 2025 102 FD                               | CUSIP: 3136BYCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9444684 | PA      | $9468593.98     | 0.07%             | 2055-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-1 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 1 A1 144A       | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4510234 | PA      | $4466061.44     | 0.03%             | 2031-02-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0427 FR 10/54 FIXED 6.5              | CUSIP: 31427MPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9719672 | PA      | $10272564.87    | 0.08%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                  | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      794532 | PA      | $754617.02      | 0.01%             | 2037-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                           | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A              | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      487421 | PA      | $493736.31      | 0.00%             | 2040-08-25      | Floating      | 4.89%                 | 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        |   -35500000 | NC      | $-134399.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                                   | FREDDIE MAC FHR 4136 IO                                  | CUSIP: 3137AWHG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      404116 | PA      | $6286.87        | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                           | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A     | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9100000 | PA      | $9091982.90     | 0.07%             | 2037-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-78                                                 | FANNIE MAE FNR 2021 78 HI                                | CUSIP: 3136BJZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10788416 | PA      | $1983000.37     | 0.01%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                                 | FANNIE MAE FNR 2013 34 PS                                | CUSIP: 3136ADQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      413923 | PA      | $24903.95       | 0.00%             | 2042-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 446                                             | FANNIEMAE STRIP FNS 446 C18                              | CUSIP: 31425CDY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50545586 | PA      | $10956878.29    | 0.08%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                                      | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1            | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10211418 | PA      | $3189599.80     | 0.02%             | 2036-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                     | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                   | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     2699001 | PA      | $2702388.43     | 0.02%             | 2041-08-17      | Floating      | 5.79%                 | 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        |    21756008 | PA      | $19182868.93    | 0.14%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -169000000 | NC      | $-313258.40     | -0.00%            |  |  |  | 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        |    25002282 | PA      | $22352630.58    | 0.16%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                             | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                  | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20100000 | PA      | $20126930.38    | 0.15%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-89                                                 | FANNIE MAE FNR 2020 89 IG                                | CUSIP: 3136BC5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8513118 | PA      | $1443208.47     | 0.01%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                           | ANGEL OAK MORTGAGE TRUST AOMT 2021 8 M1 144A             | CUSIP: 03465MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15681000 | PA      | $11752443.77    | 0.09%             | 2066-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8242 FN 06/54 FIXED VAR                      | CUSIP: 3140XQEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25022447 | PA      | $26039876.95    | 0.19%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |     1155962 | PA      | $1171302.97     | 0.01%             | 2073-01-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                      | FREDDIEMAC STRIP FHS 362 C5                              | CUSIP: 31325W4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3893093 | PA      | $576019.78      | 0.00%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG1480 FR 04/53 FIXED 5                | CUSIP: 3133C1UD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2712899 | PA      | $2703447.22     | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | 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        |      617000 | PA      | $611491.12      | 0.00%             | 2054-03-11      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B         | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1918486 | PA      | $1485499.46     | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | 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        |  2584000000 | PA      | $2545425944.64  | 18.64%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-45                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 45 SG            | CUSIP: 38381TYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9154887 | PA      | $977518.52      | 0.01%             | 2049-04-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2558 FN 08/55 FIXED VAR                      | CUSIP: 3140W2ZY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      925909 | PA      | $945269.90      | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | 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        |     1363313 | PA      | $1380592.30     | 0.01%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE1081 FN 06/55 FIXED 6.5                      | CUSIP: 3140BDFX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      887677 | PA      | $922899.17      | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2A             | CUSIP: 61755AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3250276 | PA      | $2479168.68     | 0.02%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM1 A1 144A    | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1481603 | PA      | $1490922.05     | 0.01%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-117                                                | FANNIE MAE FNR 2011 117 NS                               | CUSIP: 3136A14J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      750544 | PA      | $522117.48      | 0.00%             | 2041-11-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 1A             | CUSIP: 1266713T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1933675 | PA      | $1906462.34     | 0.01%             | 2034-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-2                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 2 2A1A           | CUSIP: 02660VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      835558 | PA      | $523308.01      | 0.00%             | 2036-01-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT6546 FN 06/43 FIXED 4                        | CUSIP: 3138WUHY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17237 | PA      | $16703.52       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                   | BCAP LLC TRUST BCAP 2011 R11 32A7 144A                   | CUSIP: 05533FLT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2409468 | PA      | $2242121.42     | 0.02%             | 2036-02-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7523 FN 11/53 FIXED 6.5                      | CUSIP: 3140QTLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1499918 | PA      | $1561478.81     | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A C 144A         | CUSIP: 78448PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2751001 | PA      | $2744304.04     | 0.02%             | 2048-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                       | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A         | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8821043 | PA      | $8898762.06     | 0.07%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-67                                                 | FANNIE MAE FNR 2012 67 MZ                                | CUSIP: 3136A7JB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      383253 | PA      | $357984.00      | 0.00%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2008-R1                                                    | JEFFERIES + CO JMAC 2008 R1 A 144A                       | CUSIP: 472320AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      415064 | PA      | $349463.67      | 0.00%             | 2047-06-25      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ5582 FR 09/54 FIXED 6                | CUSIP: 3133CWFX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1071177 | PA      | $1113066.01     | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                             | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A           | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2603560.28     | 0.02%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-48                                                 | FANNIE MAE FNR 2016 48 IQ                                | CUSIP: 3136ATLT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      558324 | PA      | $58512.12       | 0.00%             | 2046-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H16 FC           | CUSIP: 38376RWJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70561 | PA      | $71381.26       | 0.00%             | 2066-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2834 FR 10/55 FIXED 5.5              | CUSIP: 31427QEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4702525 | PA      | $4785846.16     | 0.04%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-25                                                 | FANNIE MAE FNR 2024 25 FA                                | CUSIP: 3136BRTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      333234 | PA      | $334385.99      | 0.00%             | 2054-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3078.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                          | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A2 144A       | CUSIP: 76089MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7800000 | PA      | $7825955.28     | 0.06%             | 2034-04-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5013                                                   | FREDDIE MAC FHR 5013 IN                                  | CUSIP: 3137FW3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12657500 | PA      | $2121514.74     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-65                                                        | FANNIE MAE FNR 2006 65 QO                                | CUSIP: 31396KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1704 | PA      | $1475.61        | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2469                                                          | FREDDIE MAC FHR 2469 HO                                  | CUSIP: 31392RDB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2635 | PA      | $2521.01        | 0.00%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C33                             | CUSIP: 3142G4V40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32941715 | PA      | $4450612.19     | 0.03%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 A1 144A      | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14315252 | PA      | $12571206.66    | 0.09%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA           | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3426427 | PA      | $3487564.72     | 0.03%             | 2073-05-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0619 G2 09/55 FIXED 3.5                   | CUSIP: 3618N5VM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    59203236 | PA      | $54343399.58    | 0.40%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-87                                                 | FANNIE MAE FNR 2024 87 FB                                | CUSIP: 3136BTE66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171457 | PA      | $172563.31      | 0.00%             | 2054-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA8548 FN 02/54 FIXED 6                        | CUSIP: 3140YWQA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4621943 | PA      | $4792658.05     | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM6190 FN 08/49 FLOATING VAR                   | CUSIP: 3140JA2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1335757 | PA      | $1387577.20     | 0.01%             | 2049-08-01      | Floating      | 6.08%                 | 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      | $7543.99        | 0.00%             |  |  |  | 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        |     5618184 | PA      | $5682332.12     | 0.04%             | 2073-02-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-75                                                 | FANNIE MAE FNR 2020 75 JI                                | CUSIP: 3136BCJE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13596332 | PA      | $2246133.08     | 0.02%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-53                                                 | FANNIE MAE FNR 2017 53 IE                                | CUSIP: 3136AW4E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      517920 | PA      | $92761.06       | 0.00%             | 2047-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                         | FANNIE MAE FNR 2007 4 DF                                 | CUSIP: 31396PMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      123909 | PA      | $122930.21      | 0.00%             | 2037-02-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9V5A8 PIMCO FPPSWAPTION 4.64 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    64400000 | NC      | $3566207.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2441 FR 05/55 FIXED 6                | CUSIP: 31426LWB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1332909 | PA      | $1386706.70     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                         | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                  | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17100000 | PA      | $17120934.68    | 0.13%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MF4           | CUSIP: 126673UA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5174490 | PA      | $4444835.03     | 0.03%             | 2035-02-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4575                                                   | FREDDIE MAC FHR 4575 BI                                  | CUSIP: 3137BNU69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      647681 | PA      | $111671.48      | 0.00%             | 2045-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A        | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6101849 | PA      | $6108366.26     | 0.04%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                                   | FREDDIE MAC FHR 5500 FQ                                  | CUSIP: 3137HJAU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      145153 | PA      | $146571.62      | 0.00%             | 2054-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB5544 FN 07/42 FIXED 4.5                      | CUSIP: 31417CES0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1198864 | PA      | $1184689.56     | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -260850000 | PA      | $-251507748.55  | -1.84%            | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5              | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3997324 | PA      | $4087262.07     | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0348 FR 05/34 FIXED 5.84             | CUSIP: 3132WRLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2822468 | PA      | $2967957.96     | 0.02%             | 2034-05-01      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -128000000 | NC      | $-27251.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                    | PIKES PEAK CLO PIPK 2018 2A ARR 144A                     | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7900000 | PA      | $7910900.10     | 0.06%             | 2034-10-11      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA4659 FN 02/56 FIXED VAR                      | CUSIP: 3140W5E91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41364839 | PA      | $41244856.92    | 0.30%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C29                             | CUSIP: 31325YX94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    66526791 | PA      | $8327132.52     | 0.06%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOMESTAR MORTGAGE ACCEPTANCE CORP 2004-1                                  | HOMESTAR MORTGAGE ACCEPTANCE C HMAC 2004 1 M1            | CUSIP: 437690AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772839 | PA      | $793044.76      | 0.01%             | 2034-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1878556.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 968312 FN 02/38 FIXED 4.5                      | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3043 | PA      | $3045.92        | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF3 A1 144A    | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2517007 | PA      | $2513884.90     | 0.02%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| REPERFORMING LOAN REMIC TRUST 2006-R1                                     | COUNTRYWIDE HOME LOANS CWHL 2006 R1 AF1 144A             | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65557 | PA      | $62283.77       | 0.00%             | 2036-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9706 FN 12/54 FIXED 6                        | CUSIP: 3140AXYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      835164 | PA      | $857933.99      | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                      | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A              | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3238305 | PA      | $3248926.92     | 0.02%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 2A 144A     | CUSIP: 86359DXR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1121517 | PA      | $1014798.53     | 0.01%             | 2036-01-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5887 FN 11/40 FIXED 5.5                      | CUSIP: 31418FRH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      280997 | PA      | $286604.27      | 0.00%             | 2040-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QZ0435 FR 08/55 FIXED 6.5              | CUSIP: 31426WPV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      323203 | PA      | $342896.77      | 0.00%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2994 FR 10/55 FIXED 6                | CUSIP: 31427QKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2678570 | PA      | $2785653.90     | 0.02%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                         | CIM TRUST CIM 2024 R1 A1 144A                            | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5739282 | PA      | $5648217.65     | 0.04%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4902                                                   | FREDDIE MAC FHR 4902 SA                                  | CUSIP: 3137FN3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1882360 | PA      | $231911.12      | 0.00%             | 2049-08-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R4                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R4 M2           | CUSIP: 03072SRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330593 | PA      | $313808.28      | 0.00%             | 2034-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-1                                                  | FANNIE MAE FNR 2013 1 MI                                 | CUSIP: 3136ABA60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928210 | PA      | $35125.61       | 0.00%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8143 FN 10/46 FIXED 4                        | CUSIP: 3138WJBM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36183 | PA      | $34818.82       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                       | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A       | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2043348 | PA      | $2045419.26     | 0.01%             | 2032-07-23      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260504                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-98.62         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE           | CUSIP: 38380AUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      365868 | PA      | $53299.78       | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | 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        |       46055 | PA      | $44242.46       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9810 FN 01/55 FIXED 6                        | CUSIP: 3140QV3U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    55637848 | PA      | $57219244.23    | 0.42%             | 2055-01-01      | Fixed         | 6.00%                 | 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        |    19800000 | PA      | $19787243.85    | 0.14%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-20                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 20 PS            | CUSIP: 38378DLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      536865 | PA      | $36839.27       | 0.00%             | 2041-05-20      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IM                                  | CUSIP: 3137H3BV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10237774 | PA      | $2727482.09     | 0.02%             | 2051-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                                   | FREDDIE MAC FHR 4976 DI                                  | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7797806 | PA      | $1446295.72     | 0.01%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004978 G2 03/41 FIXED 4.5                   | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7978378 | PA      | $7914203.17     | 0.06%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BE6179 GN 12/47 FIXED 4                        | CUSIP: 3617G02L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95703 | PA      | $90711.69       | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 B 144A       | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      883703 | PA      | $889169.03      | 0.01%             | 2032-07-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-206                                                      | FREDDIEMAC STRIP FHS 206 PO                              | CUSIP: 3128CU5E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31449 | PA      | $29704.17       | 0.00%             | 2029-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM5400 FN 04/44 FIXED VAR                      | CUSIP: 3140JAAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4235960 | PA      | $4083470.97     | 0.03%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8328 FR 09/39 FIXED 5.5              | CUSIP: 3132D6HD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35560783 | PA      | $36278773.70    | 0.27%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0426 FR 07/54 FIXED 6.5              | CUSIP: 31427MPL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9503643 | PA      | $10040031.60    | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5481                                                   | FREDDIE MAC FHR 5481 GF                                  | CUSIP: 3137HHQF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6532276 | PA      | $6583545.67     | 0.05%             | 2054-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                   | FREDDIE MAC FHR 5508 FE                                  | CUSIP: 3137HJGG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64212 | PA      | $64977.10       | 0.00%             | 2055-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-49                                                 | FANNIE MAE FNR 2010 49 SC                                | CUSIP: 31398P5R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52325 | PA      | $51582.54       | 0.00%             | 2040-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-5X                                                      | EUROSAIL PLC ESAIL 2007 5X A1A REGS                      | CUSIP: B29H4QII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      575166 | PA      | $744585.93      | 0.01%             | 2045-09-13      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                                   | FREDDIE MAC FHR 5563 GF                                  | CUSIP: 3137HMKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6651716 | PA      | $6682590.84     | 0.05%             | 2055-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2835                                                          | FREDDIE MAC FHR 2835 QO                                  | CUSIP: 31395FEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26088 | PA      | $23518.88       | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1         | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120061 | PA      | $115072.97      | 0.00%             | 2035-11-20      | Floating      | 4.43%                 | 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      | $-7034.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZT2269 FR 05/48 FIXED 4                | CUSIP: 3132AEQW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20415028 | PA      | $19584028.50    | 0.14%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5482                                                   | FREDDIE MAC FHR 5482 FC                                  | CUSIP: 3137HHLW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2403951 | PA      | $2419915.26     | 0.02%             | 2054-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XII DAC 12A                                        | CORDATUS CLO PLC CORDA 12A ARR 144A                      | CUSIP: ACI378M42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2885761.25     | 0.02%             | 2039-01-23      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-205                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 205 FH           | CUSIP: 38385K4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    95791958 | PA      | $95874645.90    | 0.70%             | 2054-04-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-126                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 126 IO           | CUSIP: 38376G4P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200443 | PA      | $2.00           | 0.00%             | 2053-04-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783934 G2 05/44 FIXED 4.5                   | CUSIP: 3622A2LP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      125035 | PA      | $123692.06      | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX5294 FR 02/55 FIXED 6                | CUSIP: 31426A3C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1075937 | PA      | $1112317.13     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 2A2        | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4654 | PA      | $4271.05        | 0.00%             | 2036-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 324                                                    | FREDDIEMAC STRIP FHS 324 C23                             | CUSIP: 31325VBT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11188053 | PA      | $2039855.78     | 0.01%             | 2043-12-15      | Fixed         | 4.00%                 | 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        |     8095851 | PA      | $8110422.55     | 0.06%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A        | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1242377 | PA      | $1245671.46     | 0.01%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO GOLDMAN                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -691605316 | PA      | $-693042640.37  | -5.08%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                     | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                 | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6012627 | PA      | $6017930.41     | 0.04%             | 2033-04-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4388                                                   | FREDDIE MAC FHR 4388 WS                                  | CUSIP: 3137BDGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      870752 | PA      | $106258.28      | 0.00%             | 2042-08-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 BI                                  | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12936763 | PA      | $2985993.87     | 0.02%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-36                                                 | FANNIE MAE FNR 2009 36 MG                                | CUSIP: 31397NQ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      497271 | PA      | $488822.61      | 0.00%             | 2039-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A      | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      879546 | PA      | $887133.84      | 0.01%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                         | GPMT LTD. GPMT 2021 FL3 B 144A                           | CUSIP: 36264BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     5000000 | PA      | $5000208.50     | 0.04%             | 2035-07-16      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9287 FN 10/53 FIXED 6.5                      | CUSIP: 3140NSJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      775031 | PA      | $816334.14      | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                  | LEHMAN XS TRUST LXS 2007 15N 4A1                         | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1546034 | PA      | $1447595.75     | 0.01%             | 2047-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTG INV TRUST 2005-1                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 1 M1             | CUSIP: 02660TDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5277802 | PA      | $5038112.66     | 0.04%             | 2045-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                     | ROMARK CREDIT FUNDING I, LTD. RCF 2024 3A A 144A         | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7400000 | PA      | $7410300.80     | 0.05%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2565 FN 08/55 FIXED VAR                      | CUSIP: 3140W2Z79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5611240 | PA      | $5938001.76     | 0.04%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A B 144A                       | CUSIP: ACI2SNZB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4995000 | PA      | $6603799.05     | 0.05%             | 2066-05-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8876 FN 08/54 FIXED VAR                      | CUSIP: 3140XQ2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3533294 | PA      | $3709305.45     | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A2 144A      | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2346315 | PA      | $2352500.82     | 0.02%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM5                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 NQM5 A1 144A      | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      904232 | PA      | $747577.87      | 0.01%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                              | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                 | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16000000 | PA      | $16005101.60    | 0.12%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                     | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2B          | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11970336 | PA      | $5040584.07     | 0.04%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM2 A1 144A    | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3582878 | PA      | $3617087.90     | 0.03%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  DEC26 XCME 20270316                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       13878 | NC      | $-13872708.17   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2024-RM5                                   | CASCADE FUNDING MORTGAGE TRUST CFMT 2024 RM5 A 144A      | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12562388 | PA      | $12277736.68    | 0.09%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-103                                                | FANNIE MAE FNR 2010 103 DS                               | CUSIP: 31398TW56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10342 | PA      | $61.30          | 0.00%             | 2040-08-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                      | VASA TRUST VASA 2021 VASA D 144A                         | CUSIP: 92230AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11635000 | PA      | $10804884.64    | 0.08%             | 2039-07-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0250 FN 08/54 FIXED 6.5                      | CUSIP: 3140AMH46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      632819 | PA      | $660175.64      | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004284 G2 11/38 FIXED 5.5                   | CUSIP: 36202EXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8196 | PA      | $8251.98        | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3748 FN 12/52 FIXED VAR                      | CUSIP: 3140XKEW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18288569 | PA      | $18759452.56    | 0.14%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2024 6 A11 144A           | CUSIP: 46657YAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    37955822 | PA      | $38052363.10    | 0.28%             | 2054-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5059                                                   | FREDDIE MAC FHR 5059 IB                                  | CUSIP: 3137F86B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17161362 | PA      | $2892054.98     | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-80                                                 | FANNIE MAE FNR 2013 80 PO                                | CUSIP: 3136AFZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3627975 | PA      | $2798359.80     | 0.02%             | 2043-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9M7A6 PIMCO FPPSWAPTION 4.44 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    50900000 | NC      | $3071417.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1745 FN 09/43 FLOATING VAR                   | CUSIP: 3140J55F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495263 | PA      | $513746.32      | 0.00%             | 2043-09-01      | Floating      | 6.28%                 | 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        |        3000 | PA      | $491496.98      | 0.00%             | 2054-03-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5002                                                   | FREDDIE MAC FHR 5002 SJ                                  | CUSIP: 3137FUAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4716397 | PA      | $550205.86      | 0.00%             | 2050-07-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG           | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3105080 | PA      | $3129528.20     | 0.02%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1                        | PAGAYA POINT OF SALE HOLDINGS POSH 2025 1 A 144A         | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5500000 | PA      | $5520776.80     | 0.04%             | 2034-01-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-99                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 99 WI            | CUSIP: 38380F3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      235052 | PA      | $18339.57       | 0.00%             | 2046-11-20      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 AX4 144A        | CUSIP: 465973BV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    26914542 | PA      | $238858.48      | 0.00%             | 2052-03-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9644 FN 05/37 FIXED 4                        | CUSIP: 3138WKWE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973690 | PA      | $957161.33      | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                      | GSAMP TRUST GSAMP 2006 HE6 A3                            | CUSIP: 36245AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8904410 | PA      | $7723609.45     | 0.06%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4794 FR 09/55 FIXED 6.5              | CUSIP: 3142GVKG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3391459 | PA      | $3598119.75     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BF4034 G2 02/48 FIXED 3.5                   | CUSIP: 3617GAPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      529783 | PA      | $481292.03      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | 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        |     1352922 | PA      | $1340034.49     | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-125                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 125 HF           | CUSIP: 38384VMP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      296241 | PA      | $297349.30      | 0.00%             | 2054-08-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK6442 FN 06/48 FLOATING VAR                   | CUSIP: 3140HLEQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127183 | PA      | $125823.28      | 0.00%             | 2048-06-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                               | WATR ISSUER TRUST WATR 2025 2 C 144A                     | CUSIP: 94260AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4900000 | PA      | $4847950.09     | 0.04%             | 2050-09-16      | Fixed         | 5.24%                 | No            |                  3 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4         | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2789001.00     | 0.02%             | 2035-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -36800000 | NC      | $-119007.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7267 FN 10/53 FIXED 6                        | CUSIP: 3140QTCD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      679038 | PA      | $705194.17      | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-87                                                 | FANNIE MAE FNR 2015 87 KI                                | CUSIP: 3136AQWR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      199934 | PA      | $18688.94       | 0.00%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 PT 144A    | CUSIP: 362951AR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   100724632 | PA      | $85243437.21    | 0.62%             | 2064-07-25      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7230 FR 11/54 FIXED 4.5              | CUSIP: 3132DVA70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1184389 | PA      | $1153449.13     | 0.01%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                     | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2B         | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2954535 | PA      | $951034.59      | 0.01%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA9862 FR 09/53 FIXED 6.5              | CUSIP: 3133KR5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      349632 | PA      | $367149.20      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | 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        |      148172 | PA      | $85229.69       | 0.00%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.25000 03/20/24-5Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3578723.06    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-162                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 162 SC           | CUSIP: 38380HXB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4953820 | PA      | $52520.39       | 0.00%             | 2047-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA3583 FN 11/55 FIXED VAR                      | CUSIP: 3140W36V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4679849 | PA      | $4870170.01     | 0.04%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H21                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H21 FA           | CUSIP: 38383KEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34019801 | PA      | $34601784.11    | 0.25%             | 2073-09-20      | Floating      | 4.62%                 | 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        |     7043984 | PA      | $7286609.50     | 0.05%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL1822 FN 04/40 FIXED VAR                      | CUSIP: 3138EJAY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      341888 | PA      | $338541.03      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                  | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A      | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2619461 | PA      | $2517238.34     | 0.02%             | 2063-01-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004923 G2 01/41 FIXED 4.5                   | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6263614 | PA      | $6213555.20     | 0.05%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-27                                                 | FANNIE MAE FNR 2021 27 CI                                | CUSIP: 3136BHAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12921617 | PA      | $2386609.69     | 0.02%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2978                                                   | FREDDIE MAC FHR 2978 JG                                  | CUSIP: 31395UKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5252 | PA      | $5384.01        | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P C 144A      | CUSIP: 61772WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8896000 | PA      | $8145020.14     | 0.06%             | 2038-12-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-61                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 61 LI            | CUSIP: 38379WD66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1831160 | PA      | $343646.79      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H29 FA           | CUSIP: 38375BZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20339 | PA      | $20346.64       | 0.00%             | 2062-10-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7226 FN 08/47 FIXED VAR                      | CUSIP: 3140XPA41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      899394 | PA      | $864624.31      | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-86                                                 | FANNIE MAE FNR 2020 86 PI                                | CUSIP: 3136BCM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24639591 | PA      | $3710044.81     | 0.03%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                    | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A      | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2239008 | PA      | $2240430.74     | 0.02%             | 2050-06-21      | Fixed         | 5.08%                 | 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        |    29600000 | PA      | $27935237.39    | 0.20%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 3AV4           | CUSIP: 12666RAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5540076 | PA      | $5471687.22     | 0.04%             | 2046-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI0134 FR 02/54 FIXED 6.5              | CUSIP: 3133W6EF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      489367 | PA      | $511096.89      | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-62                                                 | FANNIE MAE FNR 2016 62 SC                                | CUSIP: 3136ATWH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2731750 | PA      | $293798.36      | 0.00%             | 2046-09-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                   | REACH FINANCIAL LLC REACH 2024 2A A 144A                 | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      466221 | PA      | $467193.29      | 0.00%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13107.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR26 XCME 20260616                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -11696 | NC      | $12234403.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-58                                                 | FANNIE MAE FNR 2021 58 IO                                | CUSIP: 3136BGXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5637021 | PA      | $486059.48      | 0.00%             | 2061-09-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4         | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5847616 | PA      | $5809230.99     | 0.04%             | 2036-06-25      | Floating      | 4.25%                 | 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        |     3742248 | PA      | $3413718.62     | 0.02%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -122000000 | NC      | $-2757.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-1                                                  | FANNIE MAE FNR 2016 1 SI                                 | CUSIP: 3136AQG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1808960 | PA      | $192493.22      | 0.00%             | 2046-02-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0134 FN 03/55 FIXED 6.5                      | CUSIP: 3140Y6EG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3106187 | PA      | $3246993.83     | 0.02%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2566 FN 07/55 FIXED VAR                      | CUSIP: 3140W2Z87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8066316 | PA      | $8523926.13     | 0.06%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-42                                                 | FANNIE MAE FNR 2016 42 IG                                | CUSIP: 3136AS2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1289230 | PA      | $191464.38      | 0.00%             | 2045-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BH6393 G2 07/48 FIXED 4.5                   | CUSIP: 3617H4C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      443868 | PA      | $429781.61      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                      | COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A            | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1006172 | PA      | $988836.17      | 0.01%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-48                                                 | FANNIE MAE FNR 2016 48 SH                                | CUSIP: 3136ATLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5802730 | PA      | $817603.43      | 0.01%             | 2046-08-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD4259 FR 11/53 FIXED 6.5              | CUSIP: 3132E0WU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8062998 | PA      | $8465412.97     | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 7A1               | CUSIP: 46628KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7431 | PA      | $7301.03        | 0.00%             | 2035-04-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-55                                                 | FANNIE MAE FNR 2016 55 EI                                | CUSIP: 3136ATJG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4831611 | PA      | $573322.86      | 0.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U98WA9 PIMCO FPPSWAPTION 4.285 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35400000 | NC      | $1611783.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                 | CENTEX HOME EQUITY CXHE 2005 B M4                        | CUSIP: 152314NE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1652947 | PA      | $1649450.18     | 0.01%             | 2035-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P3 A4          | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $2007365.80     | 0.01%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-435                                                       | FANNIEMAE STRIP FNS 435 C27                              | CUSIP: 31424UBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47549599 | PA      | $7726428.94     | 0.06%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004426 G2 04/39 FIXED 6                     | CUSIP: 36202E4K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4204 | PA      | $4419.69        | 0.00%             | 2039-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                             | BWAY MORTGAGE TRUST BWAY 2021 1450 D 144A                | CUSIP: 12430YAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6385222.90     | 0.05%             | 2036-09-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC1351 FN 08/54 FIXED 6.5                      | CUSIP: 3140ANQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      521273 | PA      | $543269.97      | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA4630 FN 05/39 FIXED 4.5                      | CUSIP: 31416NEC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68943 | PA      | $68268.20       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                      | VASA TRUST VASA 2021 VASA B 144A                         | CUSIP: 92230AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12350000 | PA      | $11950521.96    | 0.09%             | 2039-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4804                                                   | FREDDIE MAC FHR 4804 QS                                  | CUSIP: 3137FGLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      887456 | PA      | $113207.69      | 0.00%             | 2048-06-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2301 FN 05/45 FIXED VAR                      | CUSIP: 3140W2RX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25472781 | PA      | $26352614.54    | 0.19%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A        | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3670219 | PA      | $3088679.54     | 0.02%             | 2036-12-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16 LLC                                                        | CASCADE FUNDING MORTGAGE TRUST CFMT 2025 HB16 A 144A     | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7951394 | PA      | $7827778.28     | 0.06%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4973                                                   | FREDDIE MAC FHR 4973 IK                                  | CUSIP: 3137FT2D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16804958 | PA      | $3504556.35     | 0.03%             | 2050-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 158 AS           | CUSIP: 38377RGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      748663 | PA      | $709305.45      | 0.01%             | 2040-12-20      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-C                                      | COLLEGE AVE STUDENT LOANS CASL 2021 C A2 144A            | CUSIP: 19424WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3664110 | PA      | $3418917.32     | 0.03%             | 2055-07-26      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                           | DETROIT MI DET 04/44 ADJUSTABLE VAR                      | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |     4573863 | PA      | $3526566.38     | 0.03%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5297 FR 04/54 FIXED 6                | CUSIP: 3132DS3E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3272086 | PA      | $3387926.19     | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-188                                                      | FREDDIEMAC STRIP FHS 188 PO                              | CUSIP: 31351BGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2331 | PA      | $2281.97        | 0.00%             | 2027-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD           | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7605210 | PA      | $7721494.65     | 0.06%             | 2074-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2004-91                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 91 PS            | CUSIP: 38374JJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      177560 | PA      | $854.46         | 0.00%             | 2034-11-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1505 FR 06/55 FIXED 6.5              | CUSIP: 31427NU72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5480462 | PA      | $5795393.15     | 0.04%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2221 FR 04/55 FIXED 6                | CUSIP: 31426LPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3651093 | PA      | $3794712.30     | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8AUA7 PIMCO FPPSWAPTION 4.098 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35100000 | NC      | $2454427.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                      | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A          | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5536546 | PA      | $5576241.47     | 0.04%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A       | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2774912 | PA      | $2802343.54     | 0.02%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                                 | FANNIE MAE FNR 2016 63 SJ                                | CUSIP: 3136ATXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194001 | PA      | $21060.06       | 0.00%             | 2046-09-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A           | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1451633 | PA      | $764410.27      | 0.01%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-11                                                 | FANNIE MAE FNR 2016 11 BI                                | CUSIP: 3136ARPK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1647851 | PA      | $217401.50      | 0.00%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A      | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2616853 | PA      | $2506028.57     | 0.02%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                                                 | FANNIE MAE FNR 2016 52 PI                                | CUSIP: 3136AS6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1724640 | PA      | $179340.44      | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2017 1 M2 144A            | CUSIP: 89173FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6020000 | PA      | $5822944.93     | 0.04%             | 2056-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB8697 FN 07/54 FIXED 5.5                      | CUSIP: 3140AJUX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3604292 | PA      | $3698999.18     | 0.03%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                                        | FANNIE MAE FNR 2020 38 NS                                | CUSIP: 3136BACX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7730250 | PA      | $600488.90      | 0.00%             | 2050-06-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5597 G2 11/48 FIXED 5                     | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5713 | PA      | $5767.28        | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                                                 | FANNIE MAE FNR 2016 52 MI                                | CUSIP: 3136AS6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3466789 | PA      | $499513.29      | 0.00%             | 2045-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3X 144A          | CUSIP: 46654AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    60099596 | PA      | $1768959.50     | 0.01%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2         | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2048977 | PA      | $1990816.40     | 0.01%             | 2035-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-79                                                 | FANNIE MAE FNR 2016 79 LS                                | CUSIP: 3136AUHB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1085365 | PA      | $117653.03      | 0.00%             | 2046-11-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-12232.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGGE ACQUIS CORP 2005-OPT2                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M4        | CUSIP: 46626LEP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      415966 | PA      | $411733.86      | 0.00%             | 2035-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A1         | CUSIP: 59022VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7253411 | PA      | $6724458.35     | 0.05%             | 2037-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4447                                                   | FREDDIE MAC FHR 4447 SC                                  | CUSIP: 3137BGXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      201556 | PA      | $129955.21      | 0.00%             | 2045-03-15      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2D             | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4643288 | PA      | $1948642.90     | 0.01%             | 2036-09-25      | Floating      | 4.25%                 | 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        |    53017080 | PA      | $48685998.35    | 0.36%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -250850000 | PA      | $-242130464.03  | -1.77%            | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBKWA9 PIMCO SWAPTION 3.48 CALL USD 2026071           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   296300000 | NC      | $1865208.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY4549 FN 09/53 FIXED 6.5                      | CUSIP: 3140NMBT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1481011 | PA      | $1557003.54     | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 77 GI            | CUSIP: 38378PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      804355 | PA      | $64961.55       | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A      | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1766185 | PA      | $1774806.26     | 0.01%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-INV1                         | SALUDA GRADE ALTERNATIVE MORTG GRADE 2024 INV1 A1 144A   | CUSIP: 795924AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7529267 | PA      | $7565065.82     | 0.06%             | 2059-08-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-58                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 58 ID            | CUSIP: 38382RFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2947777 | PA      | $80047.77       | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BO5023 FN 12/49 FIXED 3                        | CUSIP: 3140K0SM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      324384 | PA      | $290277.22      | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS4616 FN 05/43 FIXED VAR                      | CUSIP: 3140XLDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6876850 | PA      | $6961420.43     | 0.05%             | 2043-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2001-M2                                                   | FANNIEMAE ACES FNA 2001 M2 Z2                            | CUSIP: 313920HM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10074 | PA      | $10032.30       | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A      | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8818884 | PA      | $8860442.50     | 0.06%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783320 GN 03/41 FIXED 4.5                      | CUSIP: 36241LVM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5424092 | PA      | $5285503.70     | 0.04%             | 2041-03-15      | Fixed         | 4.50%                 | 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        |   534938000 | PA      | $552956562.73   | 4.05%             | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -32000000 | NC      | $-94524.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                              | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2376000 | PA      | $2362798.77     | 0.02%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF6           | CUSIP: 759950GY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2134217 | PA      | $929909.96      | 0.01%             | 2036-05-25      | Variable      | 5.75%                 | 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        |     3585492 | PA      | $3491434.78     | 0.03%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SNT8 PIMCO CDSOPT CALL USD 100.00000000 2           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -92500000 | NC      | $-117678.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 729139 G2 12/41 FIXED 4.5                   | CUSIP: 3620AGBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29137 | PA      | $28523.64       | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1039 FN 01/38 FIXED 4                        | CUSIP: 3140Q8EM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      403111 | PA      | $395502.19      | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-65                                                 | FANNIE MAE FNR 2020 65 AI                                | CUSIP: 3136BBUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15016948 | PA      | $2219949.39     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-3                                    | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 3 M6             | CUSIP: 29256PAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3552106 | PA      | $3355218.71     | 0.02%             | 2035-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -885605000 | PA      | $-776682297.89  | -5.69%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-66                                                 | FANNIE MAE FNR 2017 66 GS                                | CUSIP: 3136AYDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9167473 | PA      | $1077970.10     | 0.01%             | 2047-09-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 3 A29 144A      | CUSIP: 17332RCX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15087175 | PA      | $15175800.07    | 0.11%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-88                                                 | FANNIE MAE FNR 2016 88 AF                                | CUSIP: 3136AUTX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      727866 | PA      | $721424.04      | 0.01%             | 2046-12-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3927 FN 03/38 FIXED VAR                      | CUSIP: 3140J8LH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6578911 | PA      | $6483738.57     | 0.05%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-95                                                 | FANNIE MAE FNR 2024 95 KF                                | CUSIP: 3136BTS53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      147580 | PA      | $148509.88      | 0.00%             | 2054-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9671 FN 05/47 FIXED 4                        | CUSIP: 3138WKW92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3932 | PA      | $3768.82        | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-71                                                        | FANNIE MAE FNR 2003 71 DS                                | CUSIP: 31393EKS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253030 | PA      | $238630.34      | 0.00%             | 2033-08-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-136                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 136 WI           | CUSIP: 38380HJC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3052969 | PA      | $174579.15      | 0.00%             | 2047-01-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                   | FREDDIE MAC FHR 4120 HS                                  | CUSIP: 3137AVDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      963120 | PA      | $624483.81      | 0.00%             | 2042-10-15      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5068                                                   | FREDDIE MAC FHR 5068 GI                                  | CUSIP: 3137F8PA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9396294 | PA      | $1011069.41     | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 22                                              | FANNIEMAE STRIP FNS 422 C10                              | CUSIP: 31397VSM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7506580 | PA      | $1299244.97     | 0.01%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/09/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4833180.72     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| THUNDERBOLT II AIRCRAFT LEASE LTD 2018-A                                  | THUNDERBOLT AIRCRAFT LEASE LIM TBOLT 2018 A A 144A       | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     1650041 | PA      | $1650902.27     | 0.01%             | 2038-09-15      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2025-INV3                                        | OCEANVIEW MORTGAGE TRUST BVINV 2025 3 AF1 144A           | CUSIP: 67648CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11661436 | PA      | $11692234.08    | 0.09%             | 2055-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 M1 144A          | CUSIP: 59981TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4657561.50     | 0.03%             | 2059-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9776 FN 06/37 FIXED 4                        | CUSIP: 3138WK2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1000065 | PA      | $982973.80      | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-81                                                 | FANNIE MAE FNR 2019 81 PI                                | CUSIP: 3136B8EF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2270791 | PA      | $546118.59      | 0.00%             | 2050-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                      | FREDDIEMAC STRIP FHS 362 C9                              | CUSIP: 31325W4U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13224482 | PA      | $2296060.83     | 0.02%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-7                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2            | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2081301 | PA      | $2046764.41     | 0.01%             | 2035-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052458<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -257100000 | PA      | $-261915395.59  | -1.92%            | 2041-05-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-2                                                    | CHASEFLEX TRUST CFLX 2007 2 A2                           | CUSIP: 16165WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      656525 | PA      | $630492.07      | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM17 TRUST                                                      | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM17 A1 144A          | CUSIP: 673911AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3737035 | PA      | $3757173.06     | 0.03%             | 2064-11-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A      | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2915826 | PA      | $2926398.87     | 0.02%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY0222 G2 01/47 FIXED 3.5                   | CUSIP: 36196PG71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      587781 | PA      | $546836.45      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A2 144A     | CUSIP: 75585RQM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     3376326 | PA      | $2420149.34     | 0.02%             | 2053-08-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A      | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74651 | PA      | $69784.71       | 0.00%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7275 FN 10/53 FIXED 6.5                      | CUSIP: 3140QTCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11282732 | PA      | $11861270.50    | 0.09%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 734361 G2 03/42 FIXED 3.5                   | CUSIP: 3620AMZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49041 | PA      | $45223.07       | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C18                             | CUSIP: 3142G9U81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22302499 | PA      | $3189965.43     | 0.02%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3171                                                          | FREDDIE MAC FHR 3171 OJ                                  | CUSIP: 31396TUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1192342 | PA      | $972353.84      | 0.01%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS4556 FN 03/40 FIXED 3.5                      | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      223027 | PA      | $212090.86      | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-2                                 | TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A       | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      357657 | PA      | $332048.67      | 0.00%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                                   | FREDDIE MAC FHR 5500 QF                                  | CUSIP: 3137HJBW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29269390 | PA      | $29497006.34    | 0.22%             | 2054-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8288 FR 03/39 FIXED 5.5              | CUSIP: 3132D6F54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      172842 | PA      | $176437.82      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1          | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1610825 | PA      | $1541788.16     | 0.01%             | 2035-12-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5442                                                   | FREDDIE MAC FHR 5442 FB                                  | CUSIP: 3137HF4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18066090 | PA      | $18189623.87    | 0.13%             | 2054-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SM10 PIMCO CDSOPT CALL USD 98.46875000 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    60500000 | NC      | $130764.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                             | CUSIP: 21H032647<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -113000000 | PA      | $-103662564.79  | -0.76%            | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC8831 FR 10/51 FIXED 3                | CUSIP: 3133ATY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      950836 | PA      | $850252.06      | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H05 FC           | CUSIP: 38376RU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      407350 | PA      | $408573.59      | 0.00%             | 2067-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UB29A5 PIMCO SWAPTION 4.75 PUT USD 20260515           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1146100000 | NC      | $146930.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5158                                                   | FREDDIE MAC FHR 5158 PI                                  | CUSIP: 3137H3ZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    54729339 | PA      | $12951884.25    | 0.09%             | 2049-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE0546 FN 05/40 FIXED 5.5                      | CUSIP: 3140BCTC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1165773 | PA      | $1195456.27     | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-145                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 145 IQ           | CUSIP: 38380BHF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      215021 | PA      | $5525.36        | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                    | FREDDIEMAC STRIP FHS 408 C46                             | CUSIP: 3142G6F35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46073792 | PA      | $5510114.09     | 0.04%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004308 G2 12/38 FIXED 5                     | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17129 | PA      | $17102.59       | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-145                                                | FANNIE MAE FNR 2012 145 EI                               | CUSIP: 3136AAZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181177 | PA      | $2873.02        | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCN3 PIMCO CDSOPT PUT USD 102.23437500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -51000000 | NC      | $-164796.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                              | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1457000 | PA      | $1452025.23     | 0.01%             | 2026-05-05      | None          | 0.00%                 | 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        |     1193000 | PA      | $1570672.14     | 0.01%             | 2049-12-21      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5455 FR 04/54 FIXED 6.5              | CUSIP: 3132DTBY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      669248 | PA      | $703936.56      | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A2B       | CUSIP: 863579ZD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2930391 | PA      | $2809964.36     | 0.02%             | 2035-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ1667 FN 12/47 FIXED 4                        | CUSIP: 3140H2Z92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2158265 | PA      | $2070289.88     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-74                                                 | FANNIE MAE FNR 2024 74 SE                                | CUSIP: 3136BS3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36510323 | PA      | $3676720.92     | 0.03%             | 2054-10-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0307 FR 01/55 FIXED 5.5              | CUSIP: 31427MKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24062676 | PA      | $24575123.03    | 0.18%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-7 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 7 A1 144A       | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3427941 | PA      | $3431759.18     | 0.03%             | 2029-11-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-31                                                 | FANNIE MAE FNR 2013 31 YI                                | CUSIP: 3136ADFK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      566182 | PA      | $7507.40        | 0.00%             | 2028-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4            | CUSIP: 232422AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1434512 | PA      | $1406667.05     | 0.01%             | 2046-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175QT9F4 PIMCO FLOOR USD 0.0268 USD SOFR COMP           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -2092000000 | NC      | $-686385.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-37                                                 | FANNIE MAE FNR 2018 37 IP                                | CUSIP: 3136B17H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      717788 | PA      | $130147.12      | 0.00%             | 2048-06-25      | Fixed         | 4.00%                 | 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        |     7369862 | PA      | $7425687.57     | 0.05%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                           | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A             | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      671427 | PA      | $674604.84      | 0.00%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32600000 | NC      | $1660399.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4562                                                   | FREDDIE MAC FHR 4562 CI                                  | CUSIP: 3137BNB60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1435637 | PA      | $59321.08       | 0.00%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A       | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6677595 | PA      | $6743958.03     | 0.05%             | 2056-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                      | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A3            | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13712715 | PA      | $4464203.19     | 0.03%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004215 G2 08/38 FIXED 5.5                   | CUSIP: 36202EVG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7665 | PA      | $7729.37        | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-6                                             | GSAA HOME EQUITY TRUST GSAA 2005 6 M2                    | CUSIP: 36242D3Y7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2299052 | PA      | $2292118.98     | 0.02%             | 2035-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF D 144A          | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13939000 | PA      | $13786977.08    | 0.10%             | 2035-04-15      | Floating      | 5.95%                 | 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        |     1784441 | PA      | $826717.95      | 0.01%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4                           | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A      | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       85668 | PA      | $85509.92       | 0.00%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-30                                                 | FANNIE MAE FNR 2013 30 JI                                | CUSIP: 3136ADNA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      253566 | PA      | $27519.43       | 0.00%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KL926 PIMCO FLOOR USD 0.02593 USD SOFR COM           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -880000000 | NC      | $-1270456.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 TI                                 | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41070282 | PA      | $7012003.20     | 0.05%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-6 2009-6                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 6 7A3 144A      | CUSIP: 17315JCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1704267 | PA      | $570911.38      | 0.00%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 FE                                  | CUSIP: 3137HFWZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11482682 | PA      | $11521954.88    | 0.08%             | 2054-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 A2 144A      | CUSIP: 22945AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6580000 | PA      | $6179303.66     | 0.05%             | 2057-07-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                                   | FREDDIE MAC FHR 4165 TI                                  | CUSIP: 3137AYSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2127527 | PA      | $96154.64       | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0144 FN 03/55 FIXED 6.5                      | CUSIP: 3140Y6ES5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3775720 | PA      | $3951404.82     | 0.03%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A       | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      162346 | PA      | $162542.29      | 0.00%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY6116 G2 01/47 FIXED 3.5                   | CUSIP: 36196VYM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      952545 | PA      | $886547.43      | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | 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        |      244604 | PA      | $152916.54      | 0.00%             | 2047-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1514 FN 09/49 FIXED VAR                      | CUSIP: 3140X4VG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7418428 | PA      | $6537451.87     | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5121                                                   | FREDDIE MAC FHR 5121 QI                                  | CUSIP: 3137H13A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9983787 | PA      | $1785058.10     | 0.01%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2              | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE2 A1A        | CUSIP: 04541GWC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1414363 | PA      | $1319767.34     | 0.01%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004771 G2 08/40 FIXED 4.5                   | CUSIP: 36202FJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1167938 | PA      | $1156657.74     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-12                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 12 AX1 144A          | CUSIP: 46592WBU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    43004392 | PA      | $1216977.00     | 0.01%             | 2052-02-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8026 FN 02/54 FIXED 6.5                      | CUSIP: 3140QT4L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14299527 | PA      | $14831855.20    | 0.11%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040446<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    70600000 | PA      | $68959794.68    | 0.50%             | 2041-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-79                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 79 PO            | CUSIP: 38376LPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      473727 | PA      | $368870.02      | 0.00%             | 2040-06-20      | None          | 0.00%                 | 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        |      193858 | PA      | $200707.62      | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0851 FN 01/55 FIXED 6.5                      | CUSIP: 3140B05M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      448074 | PA      | $469392.68      | 0.00%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5011                                                   | FREDDIE MAC FHR 5011 BI                                  | CUSIP: 3137FVSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6595527 | PA      | $1536369.38     | 0.01%             | 2050-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A A 144A                       | CUSIP: ACI2SNZ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    39166163 | PA      | $51751730.14    | 0.38%             | 2066-05-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-22                                                        | FANNIE MAE FNR 2008 22 FD                                | CUSIP: 31397LGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      916550 | PA      | $924187.88      | 0.01%             | 2048-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q56894 FG 06/48 FIXED 4                | CUSIP: 3132Y0UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      796905 | PA      | $764608.22      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1712 FN 12/55 FIXED 6                        | CUSIP: 3140Y73W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14209219 | PA      | $14748329.70    | 0.11%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS4835 FN 02/53 FIXED VAR                      | CUSIP: 3140XLLR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7216142 | PA      | $7624354.18     | 0.06%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-132                                                | FANNIE MAE FNR 2012 132 IK                               | CUSIP: 3136AAPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      508319 | PA      | $32507.58       | 0.00%             | 2032-12-25      | Fixed         | 3.00%                 | 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        |       41628 | PA      | $40999.75       | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A C 144A                       | CUSIP: ACI2SNZ69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     5212000 | PA      | $6881698.48     | 0.05%             | 2066-05-16      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1               | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      453340 | PA      | $342479.57      | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL5 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL5 A1 144A    | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10807900 | PA      | $10833352.58    | 0.08%             | 2055-05-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3315.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 1F4A                  | CUSIP: 3622ECAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7245445 | PA      | $3140157.06     | 0.02%             | 2037-05-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1631 FN 09/49 FIXED VAR                      | CUSIP: 3140X4Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8631391 | PA      | $7606414.53     | 0.06%             | 2049-09-01      | Fixed         | 3.00%                 | 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        |      172318 | PA      | $150089.16      | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2569 FN 02/55 FIXED VAR                      | CUSIP: 3140W22B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5930361 | PA      | $6219097.04     | 0.05%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD           | CUSIP: 38382Y5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4188487 | PA      | $4262045.64     | 0.03%             | 2073-05-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE2                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE2 M1        | CUSIP: 46626LHB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1569943 | PA      | $1560903.32     | 0.01%             | 2036-02-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI           | CUSIP: 38376T6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      987402 | PA      | $41779.56       | 0.00%             | 2045-09-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2437                                                          | FREDDIE MAC FHR 2437 BO                                  | CUSIP: 31339WW51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5515 | PA      | $5379.44        | 0.00%             | 2032-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-29                                                 | FANNIE MAE FNR 2014 29 PA                                | CUSIP: 3136AJT97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15963 | PA      | $15415.17       | 0.00%             | 2044-01-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                | FANNIE MAE FNR 2006 113 SA                               | CUSIP: 31396LZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      233621 | PA      | $17297.16       | 0.00%             | 2036-12-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAPWA9 PIMCO SWAPTION 4.75 PUT USD 20260409           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    58300000 | NC      | $11.66          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                  | LEHMAN XS TRUST LXS 2007 15N 2A1                         | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1146298 | PA      | $1133616.89     | 0.01%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-42                                                 | FANNIE MAE FNR 2017 42 TS                                | CUSIP: 3136AWY50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      499318 | PA      | $332151.83      | 0.00%             | 2043-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6578 FN 06/54 FIXED 7                        | CUSIP: 3140AGJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      398971 | PA      | $421953.58      | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4362                                                   | FREDDIE MAC FHR 4362 AS                                  | CUSIP: 3137BCG36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      496953 | PA      | $377192.78      | 0.00%             | 2043-05-15      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2807 FN 01/49 FIXED VAR                      | CUSIP: 3140W3DM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15352917 | PA      | $14711687.72    | 0.11%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5338 FR 03/45 FIXED 6                | CUSIP: 3133KY4X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      354043 | PA      | $362106.13      | 0.00%             | 2045-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                           | PROJECT NOVA TERM LOAN                                   | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     2800000 | PA      | $2800000.00     | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | 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        |     1374218 | PA      | $1228906.39     | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-97                                                 | FANNIE MAE FNR 2017 97 BF                                | CUSIP: 3136B0DY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29947030 | PA      | $29295478.16    | 0.21%             | 2047-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-80                                                 | FANNIE MAE FNR 2019 80 ES                                | CUSIP: 3136B74R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1506725 | PA      | $179661.72      | 0.00%             | 2050-01-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 2A1 144A        | CUSIP: 3623413J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1734047 | PA      | $1563095.60     | 0.01%             | 2036-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 405                                             | FANNIEMAE STRIP FNS 405 1                                | CUSIP: 3136FGS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      218952 | PA      | $174056.63      | 0.00%             | 2040-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 2A3          | CUSIP: 54251UAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22406750 | PA      | $5574548.38     | 0.04%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0243 FN 08/54 FIXED 6.5                      | CUSIP: 3140AMHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      590264 | PA      | $615531.58      | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004774 G2 08/40 FIXED 6                     | CUSIP: 36202FJT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1995 | PA      | $2094.04        | 0.00%             | 2040-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z1A3 PIMCO FPPSWAPTION 4.46 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    90600000 | NC      | $5425590.06     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3780 FN 07/47 FIXED 4.5                      | CUSIP: 3140FPFW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3275250 | PA      | $3226952.97     | 0.02%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-9                                    | JP MORGAN MORTGAGE TRUST JPMMT 2025 9 A11 144A           | CUSIP: 46594GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34002084 | PA      | $34091947.89    | 0.25%             | 2056-03-25      | Floating      | 4.96%                 | 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        |       98016 | PA      | $85640.71       | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-4                                     | CONSECO FINANCE SECURITIZATION CNF 2000 4 A6             | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19650450 | PA      | $2357183.48     | 0.02%             | 2032-05-01      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD1329 FN 02/40 FIXED 4.5                      | CUSIP: 31418NPP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      180120 | PA      | $177490.97      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 KS                                  | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9877577 | PA      | $1136803.41     | 0.01%             | 2050-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 SA 144A     | CUSIP: 17332KAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30358 | PA      | $30096.76       | 0.00%             | 2065-02-25      | Variable      | 0.00%                 | 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        |      887269 | PA      | $896180.66      | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4121                                                   | FREDDIE MAC FHR 4121 UI                                  | CUSIP: 3137AV7B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5068369 | PA      | $552486.70      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-11                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 11 1A1          | CUSIP: 863579RP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      708857 | PA      | $589778.87      | 0.00%             | 2035-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-20                                                 | FANNIE MAE FNR 2022 20 ZP                                | CUSIP: 3136BL6W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7673123 | PA      | $6302851.59     | 0.05%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL4307 FR 03/56 FIXED 5                | CUSIP: 31427RYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3879986 | PA      | $3868731.47     | 0.03%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3753                                                   | FREDDIE MAC FHR 3753 F                                   | CUSIP: 3137A3L31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1283184 | PA      | $1274905.10     | 0.01%             | 2040-11-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-99                                                 | FANNIE MAE FNR 2012 99 SD                                | CUSIP: 3136A8TN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2810266 | PA      | $442250.40      | 0.00%             | 2042-09-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5460                                                   | FREDDIE MAC FHR 5460 SG                                  | CUSIP: 3137HFUG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50504539 | PA      | $4952848.87     | 0.04%             | 2054-10-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-A                                       | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 A A 144A         | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4148103 | PA      | $4171346.38     | 0.03%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM6158 FN 12/48 FLOATING VAR                   | CUSIP: 3140JAZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      366065 | PA      | $380620.44      | 0.00%             | 2048-12-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A3           | CUSIP: 802919AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4960658 | PA      | $4969956.70     | 0.04%             | 2029-01-16      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A            | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10283400 | PA      | $10104625.17    | 0.07%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                       | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A      | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $4967422.85     | 0.04%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-84                                                 | FANNIE MAE FNR 2014 84 AI                                | CUSIP: 3136AL2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2772186 | PA      | $15191.86       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7901 FN 01/44 FIXED VAR                      | CUSIP: 3140XPX79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2949463 | PA      | $2848279.13     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC1922 G2 09/47 FIXED 3.5                   | CUSIP: 3617B5D35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      468996 | PA      | $436498.62      | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5004                                                   | FREDDIE MAC FHR 5004 YI                                  | CUSIP: 3137FVBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6141762 | PA      | $653634.57      | 0.00%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-1                                                  | FANNIE MAE FNR 2021 1 IJ                                 | CUSIP: 3136BDT24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35032630 | PA      | $5041871.62     | 0.04%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0566 FR 01/55 FIXED 6.5              | CUSIP: 31427MTY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14148221 | PA      | $14923149.56    | 0.11%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF           | CUSIP: 38382YV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1674372 | PA      | $1681908.72     | 0.01%             | 2072-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.01250 04/09/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5567492.22     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A        | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2011535 | PA      | $2012598.85     | 0.01%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                | FANNIE MAE FNR 2012 138 EI                               | CUSIP: 3136AAFB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      586803 | PA      | $7845.91        | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | 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        |     1903800 | PA      | $610750.01      | 0.00%             | 2047-02-25      | Variable      | 6.20%                 | 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        |   526000000 | PA      | $535406289.68   | 3.92%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3151                                                          | FREDDIE MAC FHR 3151 PO                                  | CUSIP: 31396NU46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59907 | PA      | $51204.57       | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX5040 FN 01/53 FIXED 6                        | CUSIP: 3140N9S64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19055660 | PA      | $19560021.11    | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1626 FR 12/54 FIXED 5.5              | CUSIP: 31425VYY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1149302 | PA      | $1163168.34     | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC4782 G2 08/47 FIXED 3.5                   | CUSIP: 3617B8J33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31612 | PA      | $29383.97       | 0.00%             | 2047-08-20      | 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        |   437900000 | PA      | $432849436.56   | 3.17%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-2                                             | LENDMARK FUNDING TRUST LFT 2024 2A A 144A                | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $699126.75      | 0.01%             | 2034-02-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-39                                                 | FANNIE MAE FNR 2023 39 IO                                | CUSIP: 3136BQFT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   152230564 | PA      | $25498238.81    | 0.19%             | 2052-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH5835 FR 11/53 FIXED 5.5              | CUSIP: 3133CJPU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2455860 | PA      | $2498768.41     | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B E 144A       | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1428656 | PA      | $1437105.71     | 0.01%             | 2032-09-15      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                               | WATR 2026 1 B 144A                                       | CUSIP: 990ADAAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6818000 | PA      | $6826858.35     | 0.05%             | 2051-04-19      | Fixed         | 5.56%                 | No            |                  3 | 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        |   397000000 | PA      | $373850016.90   | 2.74%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-46                                                 | FANNIE MAE FNR 2021 46 IC                                | CUSIP: 3136BH3S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3822302 | PA      | $723252.49      | 0.01%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                      | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A            | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      732755 | PA      | $733965.84      | 0.01%             | 2047-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B           | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       39634 | PA      | $39640.09       | 0.00%             | 2027-09-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5038                                                   | FREDDIE MAC FHR 5038 MI                                  | CUSIP: 3137FXNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4096482 | PA      | $857431.85      | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | 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      | $-17.30         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 2 A2           | CUSIP: 80287NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9621719 | PA      | $9628267.85     | 0.07%             | 2028-06-15      | Fixed         | 4.71%                 | 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        |      248447 | PA      | $128174.79      | 0.00%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AI4         | CUSIP: 76112BR28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5930688 | PA      | $5394737.58     | 0.04%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A90              | CUSIP: 46631NDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      953662 | PA      | $442920.30      | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAFPA9 PIMCO SWAPTION 2.5 CALL USD 20260616           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   305000000 | NC      | $76036.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1741 FR 12/54 FIXED 6.5              | CUSIP: 31427N5B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15852488 | PA      | $16679070.64    | 0.12%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                             | GSAA HOME EQUITY TRUST GSAA 2007 9 A1A                   | CUSIP: 3622EEAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         711 | PA      | $896.47         | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                         | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 2A2           | CUSIP: 61756HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263845 | PA      | $258178.39      | 0.00%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0237 FN 04/37 FIXED 4                        | CUSIP: 3140GNHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92882 | PA      | $91546.94       | 0.00%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                              | FANNIEMAE WHOLE LOAN FNW 2002 W4 A6                      | CUSIP: 31392DUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11290 | PA      | $11230.82       | 0.00%             | 2042-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8157 FN 03/54 FIXED 6                        | CUSIP: 3140QUB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5270944 | PA      | $5469358.76     | 0.04%             | 2054-03-01      | Fixed         | 6.00%                 | 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        |     9000000 | PA      | $8036154.09     | 0.06%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-95                                                 | FANNIE MAE FNR 2025 95 FG                                | CUSIP: 3136BXN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15786714 | PA      | $15842021.57    | 0.12%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-35                                                 | FANNIE MAE FNR 2018 35 SA                                | CUSIP: 3136B1D27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3597598 | PA      | $456988.18      | 0.00%             | 2048-05-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2004-1                                                   | MORTGAGEIT TRUST MHL 2004 1 A1                           | CUSIP: 61913PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72878 | PA      | $71297.95       | 0.00%             | 2034-11-25      | Floating      | 4.57%                 | 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        |    77655071 | PA      | $69503932.96    | 0.51%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-35                                                        | FANNIE MAE FNR 2003 35 UC                                | CUSIP: 31393BL86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         648 | PA      | $644.76         | 0.00%             | 2033-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 63 ZW            | CUSIP: 38383RFE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23520597 | PA      | $16938743.67    | 0.12%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9377 FN 09/28 FIXED 4.64                     | CUSIP: 3140LLM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4884179 | PA      | $4934818.17     | 0.04%             | 2028-09-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BG5674 GN 07/48 FIXED 4                        | CUSIP: 3617GQJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2480794 | PA      | $2416836.53     | 0.02%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ5228 FR 11/55 FIXED 5.5              | CUSIP: 3142GVY21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2668062 | PA      | $2729394.43     | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019 57                                                 | FANNIE MAE FNR 2019 57 SB                                | CUSIP: 3136B6QD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2817501 | PA      | $340701.85      | 0.00%             | 2049-10-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9B7A0 PIMCO FPPSWAPTION 4.43 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34900000 | NC      | $2113854.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4140                                                   | FREDDIE MAC FHR 4140 GI                                  | CUSIP: 3137AWRZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      474336 | PA      | $7583.88        | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H13                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H13 FC           | CUSIP: 38383KB92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29437665 | PA      | $29952376.27    | 0.22%             | 2074-08-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   109500000 | NC      | $17498.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                            | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A1                  | CUSIP: 126694US5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      803276 | PA      | $770220.20      | 0.01%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0838 FN 01/55 FIXED 6                        | CUSIP: 3140B04Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      525754 | PA      | $542344.08      | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                   | FREDDIE MAC FHR 4182 SH                                  | CUSIP: 3137B0ZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2592294 | PA      | $2317815.31     | 0.02%             | 2033-02-15      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A     | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8007905 | PA      | $8028307.25     | 0.06%             | 2055-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2021 NQM1 B1 144A    | CUSIP: 36262EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5664000 | PA      | $4675574.23     | 0.03%             | 2061-07-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-56                                                 | FANNIE MAE FNR 2021 56 HI                                | CUSIP: 3136BGM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16861316 | PA      | $1324930.17     | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST 2007-4A                                              | RIVERVIEW HECM TRUST RVMLT 2007 4A A 144A                | CUSIP: 76942LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700877 | PA      | $626859.42      | 0.00%             | 2047-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D B 144A                         | CUSIP: 22411JAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6500000 | PA      | $6508940.75     | 0.05%             | 2029-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                   | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2          | CUSIP: 03072SXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      629246 | PA      | $659479.96      | 0.00%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AV3040 G2 10/46 FIXED 3.5                   | CUSIP: 36195DLV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      591646 | PA      | $550443.42      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-28                                                 | FANNIE MAE FNR 2021 28 KS                                | CUSIP: 3136BHMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7424989 | PA      | $2600631.49     | 0.02%             | 2051-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-20477.72      | -0.00%            |  |  |  | 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        |     2176547 | PA      | $565633.80      | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175QL9F1 PIMCO FLOOR USD 0.0325 USD SOFR COMP           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  2092000000 | NC      | $1387832.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4124                                                   | FREDDIE MAC FHR 4124 SA                                  | CUSIP: 3137AUR68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1189390 | PA      | $60849.43       | 0.00%             | 2042-04-15      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 IL                                  | CUSIP: 3137F9C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25201245 | PA      | $4545777.96     | 0.03%             | 2051-02-25      | Fixed         | 3.00%                 | 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        |      989878 | PA      | $518264.04      | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B C 144A       | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      561258 | PA      | $565310.13      | 0.00%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G07335 FG 03/39 FIXED 7                | CUSIP: 3128M9PU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10501 | PA      | $11124.77       | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX C 144A     | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3802144.00     | 0.03%             | 2038-09-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q55189 FG 04/48 FIXED 4                | CUSIP: 3132XXXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      403738 | PA      | $387377.76      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4792                                                   | FREDDIE MAC FHR 4792 LI                                  | CUSIP: 3137F5B81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      490070 | PA      | $82667.46       | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-60                                                 | FANNIE MAE FNR 2020 60 EI                                | CUSIP: 3136BBZX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4089577 | PA      | $807143.86      | 0.01%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H16 FA           | CUSIP: 38375B4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64124 | PA      | $64171.21       | 0.00%             | 2063-07-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5075.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A   | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2230000 | PA      | $880419.32      | 0.01%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2013-17                                                 | FANNIE MAE FNR 2013 17 NS                                | CUSIP: 3136ACGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      996936 | PA      | $109558.42      | 0.00%             | 2043-03-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-2                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 CB1           | CUSIP: 007036CG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5928140 | PA      | $5831294.53     | 0.04%             | 2035-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -220500000 | NC      | $-1256651.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0788 FR 02/55 FIXED 6                | CUSIP: 31427M2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2015331 | PA      | $2081466.27     | 0.02%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7885 FN 05/49 FIXED VAR                      | CUSIP: 3140XPXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2243541 | PA      | $2166831.56     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2583 FR 01/55 FIXED 5.5              | CUSIP: 31425W2R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7529905 | PA      | $7685871.78     | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-53                                                        | FANNIE MAE FNR 2008 53 LF                                | CUSIP: 31397LC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70371 | PA      | $70899.19       | 0.00%             | 2038-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 NINE A 144A    | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9931704.00     | 0.07%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-20                                                 | FANNIE MAE FNR 2013 20 IY                                | CUSIP: 3136ACVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1205326 | PA      | $211981.97      | 0.00%             | 2043-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                   | FREDDIE MAC FHR 4579 SD                                  | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1319939 | PA      | $62590.47       | 0.00%             | 2038-01-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                   | FREDDIE MAC FHR 5009 NI                                  | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27730345 | PA      | $5263957.12     | 0.04%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2021-61                                                        | FANNIE MAE FNR 2021 61 KI                                | CUSIP: 3136BGVA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33247027 | PA      | $4959871.22     | 0.04%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                      | VASA TRUST VASA 2021 VASA C 144A                         | CUSIP: 92230AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16314000 | PA      | $15388647.08    | 0.11%             | 2039-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4385                                                   | FREDDIE MAC FHR 4385 LS                                  | CUSIP: 3137BDTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2935733 | PA      | $2552270.71     | 0.02%             | 2037-07-15      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-10                                                 | FANNIE MAE FNR 2019 10 S                                 | CUSIP: 3136B3N30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2700228 | PA      | $236778.91      | 0.00%             | 2049-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9723 FN 10/28 FIXED 5.23                     | CUSIP: 3140LLYV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8806000 | PA      | $9024010.05     | 0.07%             | 2028-10-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2D             | CUSIP: 61753EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3545812 | PA      | $1630293.27     | 0.01%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7445 FN 11/53 FIXED 6.5                      | CUSIP: 3140QTHX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2106898 | PA      | $2212458.72     | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |      103776 | PA      | $95839.33       | 0.00%             | 2035-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5361 FN 09/50 FIXED VAR                      | CUSIP: 3140XL5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3156943 | PA      | $3116287.18     | 0.02%             | 2050-09-01      | Fixed         | 4.50%                 | 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        |     3795563 | PA      | $3777301.79     | 0.03%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA4304 FR 01/37 FIXED 4.2              | CUSIP: 3132WYAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1218454 | PA      | $1207688.35     | 0.01%             | 2037-01-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                   | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10302778 | PA      | $9545588.80     | 0.07%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3905 FR 01/56 FIXED 5.5              | CUSIP: 31427RKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2514589 | PA      | $2575406.46     | 0.02%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-9                                                  | FANNIE MAE FNR 2021 9 GI                                 | CUSIP: 3136BD5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31443002 | PA      | $4705174.87     | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | 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        |     2279000 | PA      | $2202000.93     | 0.02%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AT7456 G2 05/46 FIXED 3.5                   | CUSIP: 36194GH98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59993 | PA      | $55837.74       | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9151 FN 09/54 FIXED 6                        | CUSIP: 3140QVEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27500702 | PA      | $28610680.87    | 0.21%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5356 FR 07/45 FIXED 6                | CUSIP: 3133KY5R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      874902 | PA      | $894849.19      | 0.01%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 PI                                  | CUSIP: 3137F7ZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9334980 | PA      | $1457014.86     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH8387 FR 01/54 FIXED 6.5              | CUSIP: 3133CMJ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1793971 | PA      | $1872225.06     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8471 FR 10/54 FIXED 6.5              | CUSIP: 3132DWMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   127640917 | PA      | $132049653.57   | 0.97%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-NC1                                              | ACE SECURITIES CORP. ACE 2003 NC1 A1                     | CUSIP: 004421CN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3747707 | PA      | $3653107.85     | 0.03%             | 2033-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-7                                                  | FANNIE MAE FNR 2021 7 CI                                 | CUSIP: 3136BDB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33190786 | PA      | $4924719.34     | 0.04%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL13 LLC                                                       | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL13 A1 144A   | CUSIP: 74143UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8207539 | PA      | $8183295.76     | 0.06%             | 2055-12-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7612 FN 03/37 FIXED 4                        | CUSIP: 3140FTN64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1407306 | PA      | $1385118.84     | 0.01%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                                    | APIDOS CLO APID 2012 11A AR4 144A                        | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2400000 | PA      | $2403128.54     | 0.02%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7122 FR 11/54 FIXED 6.5              | CUSIP: 3132DU4F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3284696 | PA      | $3454005.95     | 0.03%             | 2054-11-01      | Fixed         | 6.50%                 | 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        |   512000000 | PA      | $503956843.52   | 3.69%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-115                                                | FANNIE MAE FNR 2012 115 MS                               | CUSIP: 3136A9CF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2947945 | PA      | $469220.22      | 0.00%             | 2042-10-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A      | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4464216 | PA      | $4461970.09     | 0.03%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3359 FN 04/38 FIXED 3                        | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3435263 | PA      | $3238587.78     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005019 G2 04/41 FIXED 6                     | CUSIP: 36202FSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1334 | PA      | $1401.71        | 0.00%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC6315 FN 04/46 FIXED 4                        | CUSIP: 3140F2AR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26385 | PA      | $25246.48       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3393                                                   | FREDDIE MAC FHR 3393 JO                                  | CUSIP: 31397PGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4257 | PA      | $3890.88        | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 GI                                  | CUSIP: 3137F7Y82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      203702 | PA      | $21679.89       | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4813                                                   | FREDDIE MAC FHR 4813 CS                                  | CUSIP: 3137FGSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2604005 | PA      | $326041.50      | 0.00%             | 2048-08-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4615                                                          | FREDDIE MAC FHR 4615 AS                                  | CUSIP: 3137BRYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1944098 | PA      | $104740.80      | 0.00%             | 2038-10-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -60152000 | PA      | $-48438807.36   | -0.35%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9EFA5 PIMCO FPPSWAPTION 4.52 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35700000 | NC      | $1872989.79     | 0.01%             |  |  |  | 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        |      678934 | PA      | $706974.19      | 0.01%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 84 LI            | CUSIP: 38379XGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2690113 | PA      | $405911.39      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                                    | FREDDIEMAC STRIP FHS 303 C19                             | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3326555 | PA      | $528220.53      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 25-NPL14                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL14 A1 144A   | CUSIP: 69393CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5907187 | PA      | $5871659.24     | 0.04%             | 2055-12-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SGA7 PIMCO CDSOPT PUT USD 103.57812500 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -390000000 | NC      | $-558441.00     | -0.00%            |  |  |  | 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        |     2637524 | PA      | $2640922.98     | 0.02%             | 2074-02-20      | Floating      | 4.32%                 | 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        |     6412976 | PA      | $5852591.17     | 0.04%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN5171 FN 04/27 FIXED 3.29                     | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46900000 | PA      | $46512906.16    | 0.34%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4544                                                   | FREDDIE MAC FHR 4544 IP                                  | CUSIP: 3137BMQG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3356710 | PA      | $574820.09      | 0.00%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3798                                                   | FREDDIE MAC FHR 3798 PS                                  | CUSIP: 3137A6AN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      196541 | PA      | $18729.27       | 0.00%             | 2041-01-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 6M1           | CUSIP: 007036LZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1656727 | PA      | $1584488.94     | 0.01%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9585 FN 09/28 FIXED 4.815                    | CUSIP: 3140LLUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7900000 | PA      | $8000242.07     | 0.06%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8278 FR 01/39 FIXED 5.5              | CUSIP: 3132D6FT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2323279 | PA      | $2370187.14     | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8626 FN 10/30 FIXED 4.49                     | CUSIP: 3140LKSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1740385 | PA      | $1755396.34     | 0.01%             | 2030-10-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -109500000 | NC      | $-375322.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 B 144A                | CUSIP: 07403PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $1392696.60     | 0.01%             | 2036-03-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BC1102 GN 07/47 FIXED 4                        | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268875 | PA      | $255308.05      | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2C         | CUSIP: 81376GAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19270845 | PA      | $13865999.42    | 0.10%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DF5101 FN 12/55 FIXED 5.5                      | CUSIP: 3140BVU32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      907427 | PA      | $924847.53      | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6676 FN 07/53 FIXED 6                        | CUSIP: 3140QSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      904234 | PA      | $937993.73      | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                              | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A           | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2380215.00     | 0.02%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A F 144A                       | CUSIP: ACI2SNZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      956000 | PA      | $1269900.77     | 0.01%             | 2066-05-16      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2015-159                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE           | CUSIP: 38379FWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      773581 | PA      | $677251.35      | 0.00%             | 2045-08-20      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BC1138 GN 08/47 FIXED 4                        | CUSIP: 3617B4HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      473082 | PA      | $449210.81      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A          | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         689 | PA      | $699.15         | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | 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        |       11578 | PA      | $11036.30       | 0.00%             | 2034-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                         | FREDDIE MAC   SCRT SCRT 2019 4 M 144A                    | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26953173 | PA      | $26219343.60    | 0.19%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                       | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 B              | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20000000 | PA      | $20042810.00    | 0.15%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2004-25CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 25CB A1        | CUSIP: 12667FWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2416480 | PA      | $2088310.15     | 0.02%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM7 A1 144A           | CUSIP: 67117XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2511420 | PA      | $2525167.36     | 0.02%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES4                                       | TOWD POINT MORTGAGE TRUST TPMT 2025 CES4 A1A 144A        | CUSIP: 89170UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13743793 | PA      | $13684069.37    | 0.10%             | 2065-10-25      | Variable      | 5.09%                 | 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        |     1484547 | PA      | $1497584.31     | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A       | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4287608 | PA      | $4246104.90     | 0.03%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                                                 | FANNIE MAE FNR 2018 85 IO                                | CUSIP: 3136B3QF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6900994 | PA      | $871984.74      | 0.01%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2024-3A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2024 3A A2 144A       | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2721641 | PA      | $2724306.66     | 0.02%             | 2029-10-15      | Fixed         | 4.97%                 | 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        |       23887 | PA      | $22682.41       | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H060648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12450000 | PA      | $12661182.50    | 0.09%             | 2056-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-66                                                 | FANNIE MAE FNR 2023 66 IO                                | CUSIP: 3136BQWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   283257297 | PA      | $14696776.55    | 0.11%             | 2037-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0323 FR 03/35 FIXED 4.84             | CUSIP: 3132WRK28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1925590 | PA      | $1940025.10     | 0.01%             | 2035-03-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA5229 FN 02/50 FIXED 3                        | CUSIP: 3140QCY34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8312033 | PA      | $7312318.71     | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                                        | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF6 A1 144A    | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7783284 | PA      | $7718795.76     | 0.06%             | 2055-12-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8208 FR 01/38 FIXED 5.5              | CUSIP: 3132D6DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33019 | PA      | $33708.12       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3611                                                   | FREDDIE MAC FHR 3611 PO                                  | CUSIP: 31398LSE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36733 | PA      | $32863.83       | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM7152 FN 02/28 VARIABLE                       | CUSIP: 3140JB5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24932456 | PA      | $24884315.25    | 0.18%             | 2028-02-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR -0.15000 03/18/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $636872.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL TA2928 FR 01/56 FIXED 5.5              | CUSIP: 3142JRHE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1542241 | PA      | $1569584.51     | 0.01%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1278 FN 06/48 FLOATING VAR                   | CUSIP: 3140HEM41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106583 | PA      | $106040.02      | 0.00%             | 2048-06-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2611                                                          | FREDDIE MAC FHR 2611 SQ                                  | CUSIP: 31393QYH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2311 | PA      | $2346.78        | 0.00%             | 2033-05-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5465 FN 06/54 FIXED 6.5                      | CUSIP: 3140AFCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      801116 | PA      | $850181.35      | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                      | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M8            | CUSIP: 9497ENAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12824000 | PA      | $12783328.68    | 0.09%             | 2035-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                             | ARGENT SECURITIES INC. ARSI 2006 M1 A1                   | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10363034 | PA      | $9494660.90     | 0.07%             | 2036-07-25      | Floating      | 4.09%                 | 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        |     2300000 | PA      | $2317156.85     | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 4 LP 2024-2                                         | PK ALIFT LOAN FUNDING PKAIR 2024 2 A 144A                | CUSIP: 69381EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5466873 | PA      | $5484981.01     | 0.04%             | 2039-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-9AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 9AR 2A           | CUSIP: 61748HQY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1469176 | PA      | $1374541.96     | 0.01%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                  | LEHMAN XS TRUST LXS 2006 14N 3A2                         | CUSIP: 52522CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53454 | PA      | $64016.67       | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ7                              | GS MORTGAGE BACKED SECURITIES GSMBS 2024 PJ7 A25 144A    | CUSIP: 362949BR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3434877 | PA      | $3443984.04     | 0.03%             | 2054-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3800                                                   | FREDDIE MAC FHR 3800 B                                   | CUSIP: 3137A7G46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12682 | PA      | $12577.92       | 0.00%             | 2031-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5              | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23089065 | PA      | $23218044.70    | 0.17%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0938 FN 03/55 FIXED VAR                      | CUSIP: 3140W1BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26236072 | PA      | $27295018.14    | 0.20%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-176                                                      | FREDDIEMAC STRIP FHS 176 PO                              | CUSIP: 31282XVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $20.23          | 0.00%             | 2026-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS4796 FN 04/45 FIXED 3.5                      | CUSIP: 3138WEKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1639543 | PA      | $1540432.36     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 AI                                  | CUSIP: 3137F9VX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34133162 | PA      | $6282300.60     | 0.05%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -128000000 | NC      | $-694950.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                                                 | FANNIE MAE FNR 2015 10 SA                                | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1053220 | PA      | $56549.06       | 0.00%             | 2045-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-61                                                 | FANNIE MAE FNR 2004 61 NS                                | CUSIP: 31394ATH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87581 | PA      | $5178.56        | 0.00%             | 2034-08-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1013 FR 03/54 FIXED 6.5              | CUSIP: 3142GRDT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7359886 | PA      | $7743648.29     | 0.06%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                                | FANNIE MAE FNR 2012 111 NI                               | CUSIP: 3136A9GA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      116428 | PA      | $2151.47        | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9746 FN 10/28 FIXED 5.61                     | CUSIP: 3140LLZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1808000 | PA      | $1817647.40     | 0.01%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2566 FR 09/54 FIXED 6                | CUSIP: 3133CSZ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3400809 | PA      | $3521630.30     | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4143                                                   | FREDDIE MAC FHR 4143 HE                                  | CUSIP: 3137AX7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1120306 | PA      | $1099512.45     | 0.01%             | 2027-12-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                       | UPSTART SECURITIZATION TRUST UPST 2025 3 B 144A          | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1201472.88     | 0.01%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5460                                                   | FREDDIE MAC FHR 5460 FB                                  | CUSIP: 3137HFS71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      477904 | PA      | $480730.36      | 0.00%             | 2054-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5476                                                   | FREDDIE MAC FHR 5476 SA                                  | CUSIP: 3137HHFE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68671871 | PA      | $3849525.34     | 0.03%             | 2054-11-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1         | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526839 | PA      | $499601.67      | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3842                                                   | FREDDIE MAC FHR 3842 PH                                  | CUSIP: 3137A9QP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5934 | PA      | $5880.24        | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9105 FN 08/40 FIXED 4.5                      | CUSIP: 31418XDK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      116177 | PA      | $115039.11      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A3        | CUSIP: 021468AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1329864 | PA      | $143075.45      | 0.00%             | 2036-06-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DF1941 FN 10/55 FIXED 5.5                      | CUSIP: 3140BSEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      364709 | PA      | $373449.42      | 0.00%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                      | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN A2 144A   | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    30000000 | PA      | $21445978.00    | 0.16%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                        | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2         | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6388402 | PA      | $2712421.14     | 0.02%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                              | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1830000 | PA      | $1817418.25     | 0.01%             | 2026-06-09      | None          | 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                  | Short            | ABS-MBS          | USGSE             | US        |   -99000000 | PA      | $-100801322.82  | -0.74%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8711 FN 07/33 FIXED 4.84                     | CUSIP: 3140LKVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1539215.88     | 0.01%             | 2033-07-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 IB                                 | CUSIP: 3136BDYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13715215 | PA      | $2297880.02     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7380 FN 01/47 FLOATING VAR                   | CUSIP: 3140FTFW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       98244 | PA      | $98770.51       | 0.00%             | 2047-01-01      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC3605 FN 04/46 FIXED 4                        | CUSIP: 3140EYAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42433 | PA      | $40820.13       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2005-22                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 22 SA            | CUSIP: 38374KJ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      587300 | PA      | $1969.39        | 0.00%             | 2035-03-16      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4059                                                   | FREDDIE MAC FHR 4059 HT                                  | CUSIP: 3137AQZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      563821 | PA      | $538404.15      | 0.00%             | 2042-06-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                          | FREDDIE MAC FHR 3117 EO                                  | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27996 | PA      | $25108.39       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   119400000 | NC      | $6968804.88     | 0.05%             |  |  |  | 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        |      460938 | PA      | $436795.23      | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD9692 FN 05/55 FIXED 6                        | CUSIP: 3140BAXW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3055527 | PA      | $3179784.95     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/06/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2262961.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                        | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A8           | CUSIP: 94985JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17940 | PA      | $15817.31       | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                       | UPSTART SECURITIZATION TRUST UPST 2025 3 A2 144A         | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5818721 | PA      | $5820445.71     | 0.04%             | 2035-09-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                              | EURO GALAXY CLO DAC EGLXY 2013 3A BR1 144A               | CUSIP: ACI1W6FG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2800000 | PA      | $3029501.46     | 0.02%             | 2034-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                             | GREYWOLF CLO LTD GWOLF 2020 3RA A2R2 144A                | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7700000 | PA      | $7714401.08     | 0.06%             | 2033-04-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-856362.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2006-R2                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R2 M3           | CUSIP: 03072SZ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12700000 | PA      | $11932902.22    | 0.09%             | 2036-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD 2026-20A                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2026 20A B 144A      | CUSIP: 03333NAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5200000 | PA      | $5200000.00     | 0.04%             | 2042-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-2                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M2           | CUSIP: 68389FHC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1350654 | PA      | $1321855.01     | 0.01%             | 2035-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 12A                                                            | C BASS LTD CBCL 12A A 144A                               | CUSIP: 12498CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15662101 | PA      | $1051522.11     | 0.01%             | 2034-12-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RR0039 FR 11/40 FIXED 5.5              | CUSIP: 3142JCBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1165711 | PA      | $1188973.71     | 0.01%             | 2040-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2921 FN 09/55 FIXED VAR                      | CUSIP: 3140W3G78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1385628 | PA      | $1411807.20     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 2A5           | CUSIP: 05950BBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1060290 | PA      | $834020.62      | 0.01%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                   | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   243350655 | PA      | $223431681.25   | 1.64%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RAAC 2004-SP1                                                             | RAAC SERIES RAAC 2004 SP1 AII                            | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26558 | PA      | $26533.39       | 0.00%             | 2034-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1583 FR 06/55 FIXED 5.5              | CUSIP: 31427NXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9177662 | PA      | $9337463.34     | 0.07%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q19236 FG 06/43 FIXED 4                | CUSIP: 3132JAV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13499 | PA      | $13046.10       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 367                                                    | FREDDIEMAC STRIP FHS 367 C30                             | CUSIP: 31325X3J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11390112 | PA      | $1942449.21     | 0.01%             | 2050-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                             | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A2                   | CUSIP: 12544RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22706 | PA      | $8462.52        | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004804 G2 09/40 FIXED 6                     | CUSIP: 36202FKR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16044 | PA      | $16866.99       | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 M1 144A      | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $814214.90      | 0.01%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-93                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 93 PI            | CUSIP: 38378TUW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      248248 | PA      | $39708.64       | 0.00%             | 2043-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                   | FREDDIE MAC FHR 4923 SE                                  | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12319671 | PA      | $1546200.05     | 0.01%             | 2048-04-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT5613 FN 02/43 FIXED 3                        | CUSIP: 3138WTGX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      488354 | PA      | $464154.90      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-72                                                 | FANNIE MAE FNR 2006 72 GO                                | CUSIP: 31396KJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5479 | PA      | $4871.93        | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A        | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4685738 | PA      | $4659042.31     | 0.03%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9228 FN 12/54 FIXED 5.5                      | CUSIP: 3140AXHE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4105541 | PA      | $4195378.36     | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-INV1                                                       | CIM TRUST CIM 2021 INV1 AX2 144A                         | CUSIP: 12566PBL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    76870046 | PA      | $2395286.02     | 0.02%             | 2051-07-01      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD 2021-62A                                                | ARES CLO LTD ARES 2021 62A A1R 144A                      | CUSIP: 00192WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    25200000 | PA      | $25208265.85    | 0.18%             | 2034-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-24                                                 | FANNIE MAE FNR 2018 24 SD                                | CUSIP: 3136B1LT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1808360 | PA      | $215497.92      | 0.00%             | 2048-04-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-83                                                 | FANNIE MAE FNR 2016 83 PI                                | CUSIP: 3136AUDP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      760179 | PA      | $63649.71       | 0.00%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B B 144A         | CUSIP: 83206NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19353854 | PA      | $18870705.91    | 0.14%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                         | GPMT LTD. GPMT 2021 FL3 C 144A                           | CUSIP: 36264BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    10000000 | PA      | $9998798.50     | 0.07%             | 2035-07-16      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REVERSE REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -1931760572 | PA      | $-1935817269.08 | -14.18%           |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF7                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 RF7 AIO         | CUSIP: 86359DWU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4174519 | PA      | $68055.93       | 0.00%             | 2035-11-25      | Variable      | 0.48%                 | 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        |      134117 | PA      | $135817.82      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4                | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3621109 | PA      | $3474375.44     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4041 FR 01/55 FIXED 6                | CUSIP: 31425YP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1863895 | PA      | $1935522.38     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.17000 04/15/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4350268.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-52                                                 | FANNIE MAE FNR 2014 52 QF                                | CUSIP: 3136AKF81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3010025 | PA      | $2961262.23     | 0.02%             | 2044-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-18                                                 | FANNIE MAE FNR 2013 18 BS                                | CUSIP: 3136ACXB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8723047 | PA      | $7313941.14     | 0.05%             | 2043-03-25      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAS0A8 PIMCO SWAPTION 3.11 CALL USD 2026041           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -114500000 | NC      | $-15514.75      | -0.00%            |  |  |  | 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        |    10000000 | PA      | $8864319.00     | 0.06%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                         | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A          | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    22027215 | PA      | $21946570.89    | 0.16%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5680 FN 04/45 FIXED 6                        | CUSIP: 31418FJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1368178 | PA      | $1398347.56     | 0.01%             | 2045-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 6R 2A7 144A       | CUSIP: 12643PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5721188 | PA      | $4835393.09     | 0.04%             | 2048-05-26      | Fixed         | 6.25%                 | 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        |     1144872 | PA      | $819288.35      | 0.01%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 MI                                  | CUSIP: 3137FUSA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3251893 | PA      | $753755.29      | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                 | FANNIE MAE FNR 2024 10 AI                                | CUSIP: 3136BQ6B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    43386967 | PA      | $2107994.82     | 0.02%             | 2050-12-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                        | BX TRUST BX 2021 BXMF C 144A                             | CUSIP: 05609RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1074339 | PA      | $1073214.00     | 0.01%             | 2026-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A    | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      729057 | PA      | $614198.89      | 0.00%             | 2036-10-25      | Floating      | 4.08%                 | 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        |     6992000 | PA      | $6992000.00     | 0.05%             | 2054-03-11      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | ABX.HE.AA.06-1 SP BOA                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-108268.54     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FANNIEMAE STRIP-428                                                       | FANNIEMAE STRIP FNS 428 C16                              | CUSIP: 31423YJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27362446 | PA      | $4842526.92     | 0.04%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0945 FR 07/54 FIXED 6                | CUSIP: 3133CRBN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3663939 | PA      | $3760757.79     | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-8 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 8 A1 144A       | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1464939 | PA      | $1459422.87     | 0.01%             | 2030-10-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-6                                           | ANGEL OAK MORTGAGE TRUST AOMT 2023 6 A1 144A             | CUSIP: 03464UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2498755 | PA      | $2509069.73     | 0.02%             | 2067-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                       | BCP TRUST BCP 2021 330N D 144A                           | CUSIP: 05553BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12750000 | PA      | $1764842.25     | 0.01%             | 2038-06-15      | Floating      | 6.28%                 | 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        |     1000000 | PA      | $857395.50      | 0.01%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2808 FR 05/55 FIXED 6                | CUSIP: 31426MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1587201 | PA      | $1648006.04     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-25                                                 | FANNIE MAE FNR 2019 25 PS                                | CUSIP: 3136B4ZD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4266883 | PA      | $431544.89      | 0.00%             | 2049-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2885                                                          | FREDDIE MAC FHR 2885 NS                                  | CUSIP: 31395J3Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4042 | PA      | $4338.76        | 0.00%             | 2034-11-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC77A5 PIMCO SWAPTION 4.055 PUT USD 2026040           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    77900000 | NC      | $36309.19       | 0.00%             |  |  |  | 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        |     5049442 | PA      | $5052149.83     | 0.04%             | 2033-04-20      | Floating      | 4.77%                 | 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        |       44820 | PA      | $44547.05       | 0.00%             | 2034-04-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8097 FN 04/33 FIXED 4.7                      | CUSIP: 3140LJ7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6717421 | PA      | $6801998.36     | 0.05%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-2CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 2CON A 144A      | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9778027 | PA      | $9809021.82     | 0.07%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6673 FN 06/54 FIXED 7                        | CUSIP: 3140AGMX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      328013 | PA      | $346706.14      | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAPTA3 PIMCO SWAPTION 3.26 CALL USD 2026040           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -91600000 | NC      | $-6870.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3335 FN 04/38 FIXED 3                        | CUSIP: 31418CV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      378872 | PA      | $357634.23      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | 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        |   106422904 | PA      | $113613356.65   | 0.83%             | 2055-10-25      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8VYA7 PIMCO SWAPTION 5.0 PUT USD 20260403            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   150100000 | NC      | $15.01          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 23 MS            | CUSIP: 38381RPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7097338 | PA      | $162910.89      | 0.00%             | 2035-12-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A     | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      621596 | PA      | $626022.62      | 0.00%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LOAN TRUST 2005-3                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 3 M4            | CUSIP: 83611MFQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2982865 | PA      | $3222526.47     | 0.02%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BP3476 FN 06/51 FIXED 3                        | CUSIP: 3140KA2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1323575 | PA      | $1179981.69     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2007-1                                                   | MORTGAGEIT TRUST MHL 2007 1 1A1                          | CUSIP: 61915YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1697707 | PA      | $1484040.46     | 0.01%             | 2047-06-25      | Floating      | 4.25%                 | No            |                  2 | 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        |     1628597 | PA      | $1614358.06     | 0.01%             | 2035-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL4236 FR 02/56 FIXED 5                | CUSIP: 31427RV64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19034864 | PA      | $18984114.89    | 0.14%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W14                                             | FANNIEMAE WHOLE LOAN FNW 2004 W14 1AS                    | CUSIP: 31394BT53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13985844 | PA      | $111037.81      | 0.00%             | 2044-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL3100 FR 10/55 FIXED 6                | CUSIP: 31427QNS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24502421 | PA      | $25380358.03    | 0.19%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5561 FN 11/32 FIXED 4.27                     | CUSIP: 3140Q1FB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4540000 | PA      | $4510175.74     | 0.03%             | 2032-11-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-62                                                 | FANNIE MAE FNR 2020 62 AI                                | CUSIP: 3136BBXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6039694 | PA      | $1013877.35     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A4          | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2875000 | PA      | $2872450.74     | 0.02%             | 2030-09-10      | Fixed         | 4.31%                 | 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        |      540265 | PA      | $491594.23      | 0.00%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A B 144A       | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $509250.00      | 0.00%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCADA1 PIMCO SWAPTION 3.9 PUT USD 20260529            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32500000 | NC      | $168385.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                          | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A           | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4246985 | PA      | $4247811.72     | 0.03%             | 2055-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3621                                                   | FREDDIE MAC FHR 3621 WI                                  | CUSIP: 31398W2S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104555 | PA      | $5614.53        | 0.00%             | 2037-05-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 304                                                    | FREDDIEMAC STRIP FHS 304 C46                             | CUSIP: 31325UP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59318 | PA      | $1047.87        | 0.00%             | 2027-12-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4660                                                          | FREDDIE MAC FHR 4660 TL                                  | CUSIP: 3137BVKJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4944453 | PA      | $4587252.33     | 0.03%             | 2033-01-15      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U401N7 IRO USD 1Y P 3.40000 MAY27 3.4 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   236100000 | NC      | $1527448.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1049 FN 09/55 FIXED 6.5                      | CUSIP: 3140Y7EX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5688173 | PA      | $6027966.99     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3           | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2959552 | PA      | $2962794.88     | 0.02%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4942                                                   | FREDDIE MAC FHR 4942 OQ                                  | CUSIP: 3137FQWA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      725556 | PA      | $611703.44      | 0.00%             | 2053-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9393 FN 04/47 FIXED 4                        | CUSIP: 3138WKNK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1038010 | PA      | $994697.70      | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-133                                                | FANNIE MAE FNR 2010 133 GP                               | CUSIP: 31398N6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $97530.10       | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0479 FN 08/40 FIXED 4.5                      | CUSIP: 31417YQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5761 | PA      | $5627.08        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 12A1           | CUSIP: 026935AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4176941 | PA      | $4082989.07     | 0.03%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A2          | CUSIP: 74922UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2040254 | PA      | $224269.24      | 0.00%             | 2037-06-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5123                                               | FREDDIE MAC FHR 5123 IN                                  | CUSIP: 3137H15W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24039549 | PA      | $4089644.18     | 0.03%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                             | FANNIEMAE STRIP FNS 440 C46                              | CUSIP: 31424U8A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42338827 | PA      | $8901314.14     | 0.07%             | 2053-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 D 144A                | CUSIP: 07403PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32020000 | PA      | $6866490.48     | 0.05%             | 2036-03-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-100                                                | FANNIE MAE FNR 2013 100 NS                               | CUSIP: 3136AGTH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      392673 | PA      | $234485.50      | 0.00%             | 2043-10-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2454                                                          | FREDDIE MAC FHR 2454 SQ                                  | CUSIP: 31392KCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38141 | PA      | $3143.46        | 0.00%             | 2031-06-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                    | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                     | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      593392 | PA      | $599162.11      | 0.00%             | 2059-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.79000 05/07/24-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5786931.06     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5876 FN 12/32 FIXED 4.47                     | CUSIP: 3140Q1Q60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2848600 | PA      | $2854230.60     | 0.02%             | 2032-12-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL TA0726 FR 12/55 FIXED 5.5              | CUSIP: 3142JNYY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2516791 | PA      | $2565693.93     | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-12                                      | RBSSP RESECURITIZATION TRUST RBSSP 2009 12 20A2 144A     | CUSIP: 74928UCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1745900 | PA      | $1668931.43     | 0.01%             | 2035-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9790 FN 01/55 FIXED 5.5                      | CUSIP: 3140QV2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11247603 | PA      | $11536785.57    | 0.08%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8FOA3 PIMCO FPPSWAPTION 4.245 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $2562843.59     | 0.02%             |  |  |  | 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        |    57000000 | PA      | $57256143.18    | 0.42%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI            | CUSIP: 38380CSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      685628 | PA      | $29134.12       | 0.00%             | 2045-11-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF B 144A          | CUSIP: 04410RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8335000 | PA      | $8310125.03     | 0.06%             | 2035-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1B 144A       | CUSIP: 78450XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2635049 | PA      | $2659654.29     | 0.02%             | 2056-10-16      | Floating      | 5.02%                 | 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        |   103306276 | PA      | $107319751.33   | 0.79%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM3 A1 144A    | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3233859 | PA      | $3229878.62     | 0.02%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                            | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A3                  | CUSIP: 12544AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5412547 | PA      | $2298922.94     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A      | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9500000 | PA      | $9504597.24     | 0.07%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD2 M2         | CUSIP: 07388EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      465195 | PA      | $465672.05      | 0.00%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2026-CINV1                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2026 CINV1 A11 144A | CUSIP: 161923CC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    58412174 | PA      | $58447431.81    | 0.43%             | 2057-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                           | COLT FUNDING LLC COLT 2024 3 A1 144A                     | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4915212 | PA      | $4964911.23     | 0.04%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5              | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2658451 | PA      | $2750808.55     | 0.02%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                              | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        6000 | PA      | $5996.39        | 0.00%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5083                                                   | FREDDIE MAC FHR 5083 IH                                  | CUSIP: 3137FFQB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3837470 | PA      | $590273.48      | 0.00%             | 2051-03-25      | Fixed         | 2.50%                 | 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        |     5684104 | PA      | $5718490.28     | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                 | VOYA CLO LTD INGIM 2012 4A A2R3 144A                     | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3837731 | PA      | $3844994.85     | 0.03%             | 2030-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 A1 144A      | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460336 | PA      | $416409.21      | 0.00%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-32                                                 | FANNIE MAE FNR 2019 32 SA                                | CUSIP: 3136B4XA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1694906 | PA      | $177253.80      | 0.00%             | 2049-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAPUA1 PIMCO SWAPTION 4.75 PUT USD 20260409           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1135900000 | NC      | $227.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                   | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   255202069 | PA      | $234313021.87   | 1.72%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BA7886 GN 05/47 FIXED 4                        | CUSIP: 3617ALXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      343482 | PA      | $326151.72      | 0.00%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1            | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5621566 | PA      | $3277818.02     | 0.02%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7571 FR 06/54 FIXED 6.5              | CUSIP: 3132DVMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20395856 | PA      | $21513677.95    | 0.16%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCO1 PIMCO CDSOPT PUT USD 101.11328125 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -29500000 | NC      | $-201104.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST 2021-2                                     | HOME PARTNERS OF AMERICA TRUST HPA 2021 2 A 144A         | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6320131 | PA      | $6202776.33     | 0.05%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4964                                                   | FREDDIE MAC FHR 4964 IA                                  | CUSIP: 3137FRN64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2135814 | PA      | $572390.54      | 0.00%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-24                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 24 FQ            | CUSIP: 38383WDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27860440 | PA      | $27825171.97    | 0.20%             | 2053-02-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-54                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 54 JZ            | CUSIP: 38378MRJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1248587 | PA      | $1062775.40     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                       | PRET 2025 NPL10 LLC 10/55 5.2498                         | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3698144 | PA      | $3684643.59     | 0.03%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                      | GCAT GCAT 2023 NQM4 A1 144A                              | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3456196 | PA      | $3265393.91     | 0.02%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5786 FN 09/53 FIXED VAR                      | CUSIP: 3140XMNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6434910 | PA      | $6737396.12     | 0.05%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004489 G2 07/39 FIXED 5                     | CUSIP: 36202E7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2233 | PA      | $2229.85        | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4052                                                   | FREDDIE MAC FHR 4052 LS                                  | CUSIP: 3137APQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1730046 | PA      | $169191.39      | 0.00%             | 2042-05-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAS1A7 PIMCO SWAPTION 4.5 PUT USD 20260417            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1183100000 | NC      | $44721.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAGCA1 PIMCO SWAPTION 2.5 CALL USD 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   563000000 | NC      | $145929.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A3         | CUSIP: 93364FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47672 | PA      | $43092.12       | 0.00%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -107900000 | PA      | $-99282180.22   | -0.73%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-141                                                       | FANNIE MAE FNR 2010 141 AL                               | CUSIP: 31398SXH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29385 | PA      | $28700.27       | 0.00%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-15                                                 | FANNIE MAE FNR 2013 15 PT                                | CUSIP: 3136ACQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1486676 | PA      | $1457547.51     | 0.01%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 42314                                                  | FREDDIE MAC FHR 4314 CI                                  | CUSIP: 3137B9ES0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      331832 | PA      | $57308.50       | 0.00%             | 2044-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                         | FREDDIE MAC   SCRT SCRT 2020 2 M 144A                    | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      892433 | PA      | $868826.36      | 0.01%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 3 A1 144A       | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1676397 | PA      | $1672930.14     | 0.01%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS           | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1875375 | PA      | $91564.08       | 0.00%             | 2043-06-20      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MCW1                                       | PARK PLACE SECURITIES INC PPSI 2004 MCW1 M3              | CUSIP: 70069FCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8764901 | PA      | $8838482.18     | 0.06%             | 2034-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 C 144A        | CUSIP: 39571MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1119597 | PA      | $1139988.31     | 0.01%             | 2059-06-25      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-33                                                        | FANNIE MAE FNR 2020 33 WF                                | CUSIP: 3136B9B22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1173354 | PA      | $1168886.90     | 0.01%             | 2050-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ50 A2              | CUSIP: 3137HDV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69497787 | PA      | $68476329.38    | 0.50%             | 2034-10-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8068 FN 05/55 FIXED 6                        | CUSIP: 3140B86E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      917259 | PA      | $952398.35      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-14T2                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 14T2 A1        | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12179494 | PA      | $6108010.37     | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC4566 FN 12/46 FIXED 4                        | CUSIP: 3140F0CC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49445 | PA      | $47397.23       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A      | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8671275 | PA      | $8721654.99     | 0.06%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                      | FREDDIEMAC STRIP FHS 362 C4                              | CUSIP: 31325W4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      675199 | PA      | $112628.93      | 0.00%             | 2047-12-15      | Fixed         | 3.00%                 | 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        |     2425495 | PA      | $2374721.19     | 0.02%             | 2051-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                   | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    57217294 | PA      | $52533888.34    | 0.38%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-WM2                | ACE SECURITIES CORP. ACE 2007 WM2 A2A                    | CUSIP: 00442KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2988670 | PA      | $1232349.49     | 0.01%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M2              | CUSIP: 61744CFQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72705 | PA      | $77946.50       | 0.00%             | 2034-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A6        | CUSIP: 12667GTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3833242 | PA      | $2703297.56     | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | 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        |      457300 | PA      | $444474.22      | 0.00%             | 2065-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BD2441 FN 01/47 FIXED 3.5                      | CUSIP: 3140F9WB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5601349 | PA      | $5268433.82     | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                   | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      718276 | PA      | $705790.92      | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2                                 | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 M1 144A       | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $1557870.38     | 0.01%             | 2066-06-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AR2500 FN 01/33 FIXED 2.5                      | CUSIP: 3138NYX67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1083827 | PA      | $1035142.12     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 43 IO            | CUSIP: 38378KDF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1670519 | PA      | $326.59         | 0.00%             | 2048-08-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 IE                                  | CUSIP: 3137F9XF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25398765 | PA      | $4597171.41     | 0.03%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                              | EURO GALAXY CLO DAC EGLXY 2013 3A BR2 144A               | CUSIP: ACI1W6CM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2200000 | PA      | $2527547.66     | 0.02%             | 2034-04-24      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MB0150 FN 06/42 FIXED 4                        | CUSIP: 3138MTEY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3908 | PA      | $3787.62        | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM2002 FN 10/47 FIXED VAR                      | CUSIP: 3140J6GL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3643420 | PA      | $3494406.16     | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                               | WATR 2026 1 A 144A                                       | CUSIP: 990ADAAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25994000 | PA      | $26027772.96    | 0.19%             | 2051-04-19      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BD7081 FN 03/47 FIXED 4                        | CUSIP: 3140FE2P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12108 | PA      | $11560.86       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A2AR 144A                         | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9750000 | PA      | $9769427.36     | 0.07%             | 2032-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -220500000 | NC      | $-583090.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS           | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4969935 | PA      | $586535.80      | 0.00%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A               | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6093596 | PA      | $6143886.38     | 0.04%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0128 FR 07/54 FIXED 7                | CUSIP: 3133CQD93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104964 | PA      | $110673.35      | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5118 FN 07/54 FIXED 6.5                      | CUSIP: 3140AEVL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      381487 | PA      | $394925.86      | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                    | LEHMAN XS TRUST LXS 2007 1 1A3                           | CUSIP: 525241AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3205216 | PA      | $3219852.68     | 0.02%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 1.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F012445<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9500000 | PA      | $-8543084.48    | -0.06%            | 2041-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9966 FN 02/55 FIXED 5                        | CUSIP: 3140QWCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2422041 | PA      | $2414074.11     | 0.02%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC   | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR       | CUSIP: 74042QAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1690091 | PA      | $1597135.58     | 0.01%             | 2037-09-22      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR2 2A1          | CUSIP: 07401AAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73531 | PA      | $71176.38       | 0.00%             | 2046-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6688 FN 07/53 FIXED 4.5                      | CUSIP: 3140QSNE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12915490 | PA      | $12633998.69    | 0.09%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H26                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H26 DF           | CUSIP: 38383KKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2314987 | PA      | $2306244.81     | 0.02%             | 2073-09-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-CIP                                     | BX TRUST BX 2021 CIP A 144A                              | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12465142 | PA      | $12459773.73    | 0.09%             | 2038-12-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV3                                         | HUNDRED ACRE WOOD TRUST HAWT 2021 INV3 A11 144A          | CUSIP: 44555QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6273586 | PA      | $5891397.89     | 0.04%             | 2051-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5146                                                   | FREDDIE MAC FHR 5146 KI                                  | CUSIP: 3137H2FW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11887604 | PA      | $1184485.57     | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA1014 G2 05/43 FIXED 4.5                   | CUSIP: 36179NDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      565573 | PA      | $561081.75      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV C 144A        | CUSIP: 12660WAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $1585015.50     | 0.01%             | 2038-07-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C28                             | CUSIP: 31325YX86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3912685 | PA      | $857328.16      | 0.01%             | 2052-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-49                                                 | FANNIE MAE FNR 2019 49 SB                                | CUSIP: 3136B55K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3590171 | PA      | $418940.64      | 0.00%             | 2049-09-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SB8385 FR 05/40 FIXED 5.5              | CUSIP: 3132D6J68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       69583 | PA      | $70987.53       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA4518 FR 02/51 FIXED 3.5              | CUSIP: 3133KLAT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32750447 | PA      | $30278966.54    | 0.22%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5712 FN 05/40 FIXED 5.5                      | CUSIP: 31418FK22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34009583 | PA      | $34696253.76    | 0.25%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-91                                                 | FANNIE MAE FNR 2016 91 SA                                | CUSIP: 3136AURC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2145899 | PA      | $245635.04      | 0.00%             | 2046-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                    | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A          | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    31900000 | PA      | $31879243.31    | 0.23%             | 2034-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4697 FN 08/42 FIXED 4                        | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1398790 | PA      | $1367822.94     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ49         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ49 A1              | CUSIP: 3137HBPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12778576 | PA      | $13055037.15    | 0.10%             | 2030-09-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A    | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3401872 | PA      | $3251707.00     | 0.02%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2394527.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR11                                                  | BCAP LLC TRUST BCAP 2012 RR11 1A2 144A                   | CUSIP: 05542AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1789178 | PA      | $1641183.34     | 0.01%             | 2037-01-26      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7856 FN 06/51 FIXED VAR                      | CUSIP: 3140XBWS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4777152 | PA      | $4465740.58     | 0.03%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | 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        |    14608291 | PA      | $13409135.46    | 0.10%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 PI                                  | CUSIP: 3137F9Y54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31125326 | PA      | $5568881.11     | 0.04%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9793 FN 01/55 FIXED 5.5                      | CUSIP: 3140QV3B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36557 | PA      | $37321.43       | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA4650 FN 02/56 FIXED VAR                      | CUSIP: 3140W5EY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23659482 | PA      | $23590856.61    | 0.17%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030447<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -26025000 | PA      | $-24859099.00   | -0.18%            | 2041-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-2                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 2 A4            | CUSIP: 86358EE77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31657355 | PA      | $15066675.56    | 0.11%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8N8A4 PIMCO FPPSWAPTION 4.073 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    51300000 | NC      | $3628023.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2568                                                   | FREDDIE MAC FHR 2568 D                                   | CUSIP: 31393KJC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2876 | PA      | $2952.27        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-54                                                 | FANNIE MAE FNR 2024 54 FC                                | CUSIP: 3136BSSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3431484 | PA      | $3449867.56     | 0.03%             | 2054-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0229 FN 08/54 FIXED 5.5                      | CUSIP: 3140AMHF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6323149 | PA      | $6489304.08     | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5171                                                   | FREDDIE MAC FHR 5171 AI                                  | CUSIP: 3137H4HW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27758007 | PA      | $4029949.08     | 0.03%             | 2050-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IK                                  | CUSIP: 3137H3BT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19342778 | PA      | $3011049.56     | 0.02%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4248                                                   | FREDDIE MAC FHR 4248 ES                                  | CUSIP: 3137B4UN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      782358 | PA      | $756636.79      | 0.01%             | 2041-05-15      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-20                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 20 CF            | CUSIP: 38383VYR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    53366201 | PA      | $53240529.40    | 0.39%             | 2053-02-20      | Floating      | 4.36%                 | 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        |     2139906 | PA      | $1772367.45     | 0.01%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                          | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A            | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7611108 | PA      | $7335149.39     | 0.05%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-15                                            | COUNTRYWIDE HOME LOANS CWHL 2007 15 1A16                 | CUSIP: 17025TAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56693 | PA      | $32781.26       | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/07/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4879519.66     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8952 FN 05/31 FIXED 5.17                     | CUSIP: 3140LK5N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2820300 | PA      | $2926155.98     | 0.02%             | 2031-05-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-66                                                 | FANNIE MAE FNR 2018 66 BS                                | CUSIP: 3136B25R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      737425 | PA      | $76093.09       | 0.00%             | 2048-09-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                               | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A          | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1872490 | PA      | $1866193.77     | 0.01%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004195 G2 07/38 FIXED 6                     | CUSIP: 36202EUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49947 | PA      | $52913.45       | 0.00%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0315 FR 03/36 FIXED 4.79             | CUSIP: 3132WRKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      996418 | PA      | $1002089.63     | 0.01%             | 2036-03-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004717 G2 06/40 FIXED 6                     | CUSIP: 36202FG26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16291 | PA      | $17110.16       | 0.00%             | 2040-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2606 FR 05/55 FIXED 6                | CUSIP: 31426L3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      924257 | PA      | $959916.19      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                   | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5          | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4489204.50     | 0.03%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBNHA0 PIMCO SWAPTION 2.5 CALL USD 20270726           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   764700000 | NC      | $2906012.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-155060.15     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A        | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16028811 | PA      | $16062118.72    | 0.12%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                              | ACE SECURITIES CORP. ACE 2007 HE2 A2D                    | CUSIP: 00443PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3307402 | PA      | $1758015.24     | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA0806 FR 01/40 FIXED 4.01             | CUSIP: 3132WR3D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5760244 | PA      | $5554735.09     | 0.04%             | 2040-01-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                            | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A     | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    25304116 | PA      | $25334788.01    | 0.19%             | 2035-12-31      | Floating      | 4.97%                 | 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        |       11784 | PA      | $11302.00       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-19                                                 | FANNIE MAE FNR 2019 19 CS                                | CUSIP: 3136B4SV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10299198 | PA      | $1163301.63     | 0.01%             | 2049-05-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-15                                                 | FANNIE MAE FNR 2019 15 SA                                | CUSIP: 3136B36U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7977545 | PA      | $768819.12      | 0.01%             | 2049-04-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5142                                                   | FREDDIE MAC FHR 5142 PI                                  | CUSIP: 3137H2EA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28450520 | PA      | $4948128.72     | 0.04%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-25                                                 | FANNIE MAE FNR 2021 25 IJ                                | CUSIP: 3136BHEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48419668 | PA      | $9301902.50     | 0.07%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    62200000 | NC      | $3778295.46     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                         | GPMT LTD. GPMT 2021 FL3 AS 144A                          | CUSIP: 36264BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     7085865 | PA      | $7085924.21     | 0.05%             | 2035-07-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -199210000 | PA      | $-182231136.47  | -1.33%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A       | CUSIP: 3623413V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      398766 | PA      | $320747.38      | 0.00%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FL           | CUSIP: 38383KDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      305312 | PA      | $309192.90      | 0.00%             | 2073-05-20      | Floating      | 4.77%                 | 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        |     4600000 | PA      | $4449662.80     | 0.03%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 23 CF            | CUSIP: 38381RNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1007320 | PA      | $989820.37      | 0.01%             | 2049-02-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1051 FN 09/55 FIXED 6.5                      | CUSIP: 3140Y7EZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4648781 | PA      | $4919509.58     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A2                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A2 3A           | CUSIP: 590215AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259765 | PA      | $166293.07      | 0.00%             | 2036-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 438                                             | FANNIEMAE STRIP FNS 438 C28                              | CUSIP: 31424UWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    61757107 | PA      | $12995507.24    | 0.10%             | 2053-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 BO                                  | CUSIP: 31398LQM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21748 | PA      | $19151.41       | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9OPA2 PIMCO FPPSWAPTION 4.4 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   129000000 | NC      | $6298476.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q39181 FG 03/46 FIXED 4                | CUSIP: 3132QWFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1167325 | PA      | $1126246.31     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A          | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1452342 | PA      | $1479225.52     | 0.01%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C32                             | CUSIP: 3142G4V32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22620839 | PA      | $3039855.51     | 0.02%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0207 FR 01/55 FIXED 5                | CUSIP: 31427MGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4906143 | PA      | $4893063.24     | 0.04%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U97AA5 PIMCO FPPSWAPTION 4.265 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32400000 | NC      | $1457015.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAFAA5 PIMCO SWAPTION 3.635 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    97400000 | NC      | $1838298.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-31                                                 | FANNIE MAE FNR 2015 31 FG                                | CUSIP: 3136ANPP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1990597 | PA      | $1945189.59     | 0.01%             | 2045-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                                 | FANNIE MAE FNR 2024 90 FB                                | CUSIP: 3136BTXD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2308459 | PA      | $2333922.50     | 0.02%             | 2053-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2A           | CUSIP: 14319UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5126824 | PA      | $5137633.68     | 0.04%             | 2028-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AZ7254 FN 08/45 FIXED 4                        | CUSIP: 3140E0BY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65756 | PA      | $63213.13       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-89                                                 | FANNIE MAE FNR 2020 89 LI                                | CUSIP: 3136BCL40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11097160 | PA      | $2069766.79     | 0.02%             | 2050-12-25      | Fixed         | 3.00%                 | 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        |     1529765 | PA      | $1535890.98     | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H05 FE           | CUSIP: 38380LAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      502521 | PA      | $504133.65      | 0.00%             | 2068-02-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                             | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV4 A9 144A       | CUSIP: 918307AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12890991 | PA      | $12033559.30    | 0.09%             | 2051-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1           | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      241197 | PA      | $27910.75       | 0.00%             | 2037-06-25      | Floating      | 2.85%                 | 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        |      817569 | PA      | $945930.45      | 0.01%             | 2031-01-15      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2017 BV 17-1A                                            | BNPP AM EURO CLO BNPAM 2017 1A AR 144A                   | CUSIP: ACI1G3M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      203150 | PA      | $235102.91      | 0.00%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 DI                                  | CUSIP: 3137F9BQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9818796 | PA      | $1314360.75     | 0.01%             | 2041-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71000 03/12/24-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-297455.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-85                                                 | FANNIE MAE FNR 2020 85 IJ                                | CUSIP: 3136BCU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7911698 | PA      | $1019488.77     | 0.01%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-1Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-285701.54     | -0.00%            |  |  |  | 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      | $-11805.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-11                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1          | CUSIP: 86364YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1823405 | PA      | $1588791.80     | 0.01%             | 2037-12-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4068 G2 11/46 FIXED 3                     | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1137112 | PA      | $1031489.04     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C45                             | CUSIP: 3142G9V64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    92528123 | PA      | $20060437.54    | 0.15%             | 2054-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A3          | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7392366 | PA      | $7416225.83     | 0.05%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 323                                             | FANNIEMAE STRIP FNS 323 2                                | CUSIP: 3136FAMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48349 | PA      | $3631.85        | 0.00%             | 2032-01-25      | Variable      | 5.50%                 | 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        |      558621 | PA      | $561418.01      | 0.00%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-929920.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5255 G2 06/48 FIXED 4.5                   | CUSIP: 36179TZU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      190802 | PA      | $185858.05      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2755 FR 06/51 FIXED 3                | CUSIP: 3133AMBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1521012 | PA      | $1356674.80     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                                       | MFRA TRUST MFRA 2024 RPL1 A1 144A                        | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      826483 | PA      | $788803.73      | 0.01%             | 2066-02-25      | Variable      | 4.25%                 | 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        |       97747 | PA      | $66781.13       | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 3A3            | CUSIP: 1266713X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5040310 | PA      | $5003389.13     | 0.04%             | 2034-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4010                                                   | FREDDIE MAC FHR 4010 PI                                  | CUSIP: 3137AMUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4366245 | PA      | $752338.00      | 0.01%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A        | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1950412 | PA      | $1763520.07     | 0.01%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7399 FR 12/54 FIXED 4.5              | CUSIP: 3132DVGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9578065 | PA      | $9333374.47     | 0.07%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED RESIDENTIAL SECURITIES 2006-1X                                  | PREFERRED RESIDENTIAL SECURITI PRS 2006 1X D1C REGS      | CUSIP: G7218JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4655756 | PA      | $6056539.08     | 0.04%             | 2043-12-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8910 FN 03/31 FIXED 4.99                     | CUSIP: 3140LK3U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7822766 | PA      | $7990331.10     | 0.06%             | 2031-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-FX1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 FX1 A3          | CUSIP: 17309YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5131855 | PA      | $2993389.83     | 0.02%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | 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        |     1223473 | PA      | $1060862.77     | 0.01%             | 2045-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                          | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M2            | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4286345 | PA      | $3958391.44     | 0.03%             | 2034-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3152                                                          | FREDDIE MAC FHR 3152 MO                                  | CUSIP: 31396R2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8827 | PA      | $7833.55        | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 1A             | CUSIP: 12668KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      558805 | PA      | $530175.05      | 0.00%             | 2047-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-23                                                 | FANNIE MAE FNR 2013 23 ZL                                | CUSIP: 3136ADCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1199662 | PA      | $988801.06      | 0.01%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLG8 PIMCO CDSOPT PUT USD 101.97656250 20           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -144000000 | NC      | $-597974.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-8                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 8 2A2 144A      | CUSIP: 17323AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5659468 | PA      | $5033776.33     | 0.04%             | 2037-06-27      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 003595 G2 08/34 FIXED 5                     | CUSIP: 36202D7G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1004 | PA      | $1013.04        | 0.00%             | 2034-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                      | MILL CITY MORTGAGE TRUST MCMLT 2018 4 A1B 144A           | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5995292 | PA      | $5895881.41     | 0.04%             | 2066-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5052                                                   | FREDDIE MAC FHR 5052 EI                                  | CUSIP: 3137F7HC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28066935 | PA      | $4677220.00     | 0.03%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IC                                  | CUSIP: 3137H3BN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14747138 | PA      | $2535674.52     | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA12                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA12 CB1        | CUSIP: 761118MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3712846 | PA      | $1368327.73     | 0.01%             | 2035-12-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-67                                                 | FANNIE MAE FNR 2013 67 NS                                | CUSIP: 3136AFEM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      347054 | PA      | $210141.99      | 0.00%             | 2043-07-25      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                       | MFRA TRUST MFRA 2023 INV2 A1 144A                        | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3823723 | PA      | $3848962.89     | 0.03%             | 2058-10-25      | Variable      | 6.78%                 | 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        |    70169463 | PA      | $73048011.36    | 0.53%             | 2054-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SM02 PIMCO CDSOPT PUT USD 95.46875000 202           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    60500000 | NC      | $392318.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-103                                                | FANNIE MAE FNR 2013 103 KO                               | CUSIP: 3136AGMW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2030976 | PA      | $1559430.94     | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4774 FN 07/48 FIXED VAR                      | CUSIP: 3140J9JU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11468465 | PA      | $11037674.11    | 0.08%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR-2021-SFR1                                                            | AMSR TRUST AMSR 2021 SFR1 A 144A                         | CUSIP: 00179DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3778946.80     | 0.03%             | 2038-06-17      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 B 144A                     | CUSIP: 942611AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5300000 | PA      | $5318039.29     | 0.04%             | 2050-06-17      | Fixed         | 5.56%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                                 | FANNIE MAE FNR 2013 54 KZ                                | CUSIP: 3136AEUG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104635 | PA      | $73362.79       | 0.00%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST 2018-1A                                                   | GOODGREEN TRUST GOODG 2018 1A A 144A                     | CUSIP: 38218GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     3929523 | PA      | $3684090.88     | 0.03%             | 2053-10-15      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5444                                                   | FREDDIE MAC FHR 5444 FC                                  | CUSIP: 3137HFD77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2341468 | PA      | $2356597.02     | 0.02%             | 2054-08-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2497 FR 05/55 FIXED 6                | CUSIP: 31426LX33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1689336 | PA      | $1754509.99     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR3953 FN 03/51 FIXED 3                        | CUSIP: 3140L2MB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124902 | PA      | $112787.87      | 0.00%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-16                                                 | FANNIE MAE FNR 2012 16 K                                 | CUSIP: 3136A4QV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4590 | PA      | $4552.75        | 0.00%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                                                 | FANNIE MAE FNR 2014 42 SA                                | CUSIP: 3136AKPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      464650 | PA      | $17698.85       | 0.00%             | 2044-07-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                             | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV4 AX4 144A      | CUSIP: 918307BE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19677498 | PA      | $600660.54      | 0.00%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                    | CHASEFLEX TRUST CFLX 2007 1 2A1                          | CUSIP: 16165VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4653098 | PA      | $1011436.53     | 0.01%             | 2037-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SL11 PIMCO CDSOPT CALL USD 103.68750000 2           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -215500000 | NC      | $-10645.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-33                                                 | FANNIE MAE FNR 2019 33 DS                                | CUSIP: 3136B44H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5488258 | PA      | $683739.86      | 0.01%             | 2049-07-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN8612 FN 03/28 FIXED 3.29                     | CUSIP: 3138LMSA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23874000 | PA      | $23560925.91    | 0.17%             | 2028-03-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783590 G2 06/41 FIXED 4.5                   | CUSIP: 36241L7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1048417 | PA      | $1039767.29     | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | 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        |      612202 | PA      | $565218.09      | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2025 A B 144A       | CUSIP: 02007G5E9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9895081 | PA      | $9917494.98     | 0.07%             | 2033-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U91696 FG 07/43 FIXED 4                | CUSIP: 3132HBXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      743043 | PA      | $723121.65      | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-42                                                 | FANNIE MAE FNR 2012 42 MZ                                | CUSIP: 3136A5GV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26236 | PA      | $23061.50       | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 427                                         | FANNIEMAE STRIP FNS 427 C19                              | CUSIP: 31423XMV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34663889 | PA      | $4500373.17     | 0.03%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WI            | CUSIP: 38380VEV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2560560 | PA      | $122341.26      | 0.00%             | 2047-08-20      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA3439 FN 11/53 FIXED 6.5                      | CUSIP: 3140A3ZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5951997 | PA      | $6158661.14     | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-25                                                 | FANNIE MAE FNR 2017 25 BI                                | CUSIP: 3136AWAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      418799 | PA      | $19836.15       | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF AMERICA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -43515852 | PA      | $-43607477.47   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3413 FN 07/38 FIXED 4                        | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2558695 | PA      | $2508559.25     | 0.02%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C A             | CUSIP: 83407XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    24633696 | PA      | $24592188.53    | 0.18%             | 2034-10-25      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL4 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL4 A1 144A    | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12284759 | PA      | $12305501.74    | 0.09%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5123                                               | FREDDIE MAC FHR 5123 IM                                  | CUSIP: 3137H15V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6456353 | PA      | $714267.63      | 0.01%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 A D 144A       | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      207034 | PA      | $210057.33      | 0.00%             | 2032-05-17      | Fixed         | 6.32%                 | 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