# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007201
**Filing Date:** 2026-5
**Character Count:** 1014640
**Document Hash:** 2eea4d32cb089ce80b37c647b3b974d8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007201.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007201

**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:** 261043366

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 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:** $9108805663.33

**Total Liabilities:** $7921725478.25

**Net Assets:** $1187080185.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 23637.195800 | **1-Year:** 33325.166400 | **5-Year:** 1034824.863200 | **10-Year:** 187316.612500 | **30-Year:** 1728.175000

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

- **3-Month:** 591.629400 | **1-Year:** 3188.775800 | **5-Year:** 20406.742000 | **10-Year:** 3887.291800 | **30-Year:** 74.028000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027281 | 0.86%                | 2.55%                | -3.91%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3591066.18              | $1593931.21                                |
| Month 2  | $6755770.43              | $27656096.08                               |
| Month 3  | $-14472167.04            | $-40072880.15                              |

### 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-G96-3                                                  | FANNIE MAE FNR G96 3 Z                                 | CUSIP: 31359KV87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6558 | PA      | $6567.28       | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781696 GN 04/33 FIXED 6.5                    | CUSIP: 36225B3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21551 | PA      | $22400.28      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617332 GN 12/36 FIXED 6.5                    | CUSIP: 36290TY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        824 | PA      | $875.82        | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080708 G2 07/33 FLOATING VAR              | CUSIP: 36225CYE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     247236 | PA      | $250667.80     | 0.02%             | 2033-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2122 FN 06/53 FIXED 5                      | CUSIP: 3140NJLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190832 | PA      | $190745.05     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 808373 FN 12/34 FIXED 5.5                    | CUSIP: 31406FCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219081 | PA      | $224717.44     | 0.02%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769702 FN 04/34 FIXED 5.5                    | CUSIP: 31404JDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10439 | PA      | $10603.19      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD3541 G2 10/47 FIXED 3.5                 | CUSIP: 3617BJ5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230930 | PA      | $213512.08     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-1                            | MASTR SEASONED SECURITIZATION MSSTR 2005 1 3A1         | CUSIP: 55265WCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26284 | PA      | $24524.47      | 0.00%             | 2032-10-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0200 FN 10/29 FIXED 4.5                    | CUSIP: 31417YGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11225 | PA      | $11238.06      | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A72667 FG 02/38 FIXED 5              | CUSIP: 3128L56C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13447 | PA      | $13614.64      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A          | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     910176 | PA      | $911077.98     | 0.08%             | 2031-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605631 GN 08/34 FIXED 6.5                    | CUSIP: 36200NY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $840.48        | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626938 GN 04/45 FIXED 4                      | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     682983 | PA      | $665394.17     | 0.06%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725946 FN 11/34 FIXED VAR                    | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17820 | PA      | $18203.50      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | 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      | $119522.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775778 FN 05/34 FIXED 5.5                    | CUSIP: 31404Q2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8484 | PA      | $8533.90       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 887583 FN 07/36 FIXED 6                      | CUSIP: 31410FCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3644 | PA      | $3799.69       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004553 G2 10/39 FIXED 4.5                 | CUSIP: 36202FBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55993 | PA      | $54889.71      | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA4844 GN 06/42 FIXED 3.5                    | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48828 | PA      | $45907.81      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | 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        |       3647 | PA      | $3176.49       | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2            | CUSIP: 3137HA4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6100000 | PA      | $6168640.86    | 0.52%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937666 FN 06/37 FIXED 6                      | CUSIP: 31412XFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3986 | PA      | $4171.74       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7441 FN 05/51 FIXED VAR                    | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2965059 | PA      | $2611176.79    | 0.22%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05109 FG 11/36 FIXED 5.5            | CUSIP: 3128M7AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1689 | PA      | $1740.41       | 0.00%             | 2036-11-01      | 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        |     340574 | PA      | $325978.07     | 0.03%             | 2035-12-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-5A                                          | CIFC FUNDING LTD CIFC 2017 5A AR 144A                  | CUSIP: 12551MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5006973.15    | 0.42%             | 2037-07-17      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725880 FN 09/34 FIXED VAR                    | CUSIP: 31402DM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $395.79        | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 988578 FN 08/38 FIXED 5.5                    | CUSIP: 31415TFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50906 | PA      | $52407.62      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05267 FG 12/38 FIXED 5.5            | CUSIP: 3128M7FG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12977 | PA      | $13360.05      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | 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        |      60692 | PA      | $58611.99      | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03870 FG 02/38 FIXED 5              | CUSIP: 3128M5T34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9857 | PA      | $9972.68       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP          | CUSIP: 38378MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1774403 | PA      | $195490.58     | 0.02%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                     | ARGENT SECURITIES INC. ARSI 2005 W2 M1                 | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89947 | PA      | $89819.95      | 0.01%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 137825 FN 10/31 FLOATING VAR                 | CUSIP: 31365UA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10091 | PA      | $9870.70       | 0.00%             | 2031-10-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A   | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13601259 | PA      | $11811213.40   | 0.99%             | 2052-09-25      | Variable      | 3.00%                 | 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        |     459752 | PA      | $441119.94     | 0.04%             | 2048-06-01      | Fixed         | 4.00%                 | 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        |     233004 | PA      | $229046.12     | 0.02%             | 2037-05-25      | Floating      | 4.89%                 | 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        |    6160109 | PA      | $5705505.40    | 0.48%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 703002 GN 04/39 FIXED 4.5                    | CUSIP: 36296WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9074 | PA      | $9150.59       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942912 FN 08/37 FIXED 6                      | CUSIP: 31413EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23050 | PA      | $23723.33      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617153 GN 07/36 FIXED 6.5                    | CUSIP: 36290TTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $468.89        | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03156 FG 08/37 FIXED 5.5            | CUSIP: 3128M4ZV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2562 | PA      | $2648.35       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR2210 FN 05/43 FIXED 4                      | CUSIP: 3138NYN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117306 | PA      | $113531.12     | 0.01%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A2                             | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     506732 | PA      | $497961.58     | 0.04%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ3615 FN 11/41 FIXED 4                      | CUSIP: 3138AVAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80690 | PA      | $77975.97      | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX3410 G2 03/47 FIXED 3.5                 | CUSIP: 36196EYF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8735 | PA      | $8129.37       | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS5671 FN 08/45 FIXED 4                      | CUSIP: 3138WFJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1531388 | PA      | $1474454.60    | 0.12%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 654758 GN 09/36 FIXED 6.5                    | CUSIP: 36294NMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11403 | PA      | $12066.09      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C31320 FG 10/29 FIXED 7              | CUSIP: 31293WPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $134.01        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008927 G2 07/26 FLOATING VAR              | CUSIP: 36202K4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $166.48        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 805413 FN 01/35 FIXED 5.5                    | CUSIP: 31406BYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49741 | PA      | $51355.79      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786521 FN 06/34 FIXED 5                      | CUSIP: 31405DYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50688 | PA      | $50484.43      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676927 GN 04/38 FIXED 5.5                    | CUSIP: 36295QA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20938 | PA      | $21719.70      | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782808 GN 11/39 FIXED 5.5                    | CUSIP: 36241LDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7520 | PA      | $7822.76       | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | 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        |     103969 | PA      | $7301.68       | 0.00%             | 2036-08-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8810 FR 03/52 FIXED 3              | CUSIP: 3133B6YF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     559346 | PA      | $492560.98     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                          | LEHMAN XS TRUST LXS 2006 16N A322                      | CUSIP: 52522DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1567954 | PA      | $1233187.34    | 0.10%             | 2046-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 772029 GN 07/41 FIXED 4                      | CUSIP: 36176PPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29063 | PA      | $27950.44      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 782431 G2 10/38 FIXED 5                   | CUSIP: 36241KVY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58968 | PA      | $60056.50      | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03132 FG 07/37 FIXED 5.5            | CUSIP: 3128M4Y56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6399 | PA      | $6522.06       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35283 FG 06/35 FIXED 5.5            | CUSIP: 31297Q2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5292 | PA      | $5451.69       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323702 FN 05/29 FIXED VAR                    | CUSIP: 31374TRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        690 | PA      | $703.68        | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080070 G2 05/27 FLOATING VAR              | CUSIP: 36225CCG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $163.62        | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080114 G2 09/27 FLOATING VAR              | CUSIP: 36225CDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $89.88         | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831936 FN 11/36 FIXED 6                      | CUSIP: 31407JHM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9864 | PA      | $10160.23      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03614 FG 05/37 FIXED 5.5            | CUSIP: 3128M5K33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44148 | PA      | $45607.81      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57475 FG 02/37 FIXED 5.5            | CUSIP: 3128KLJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1387 | PA      | $1425.31       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722831 GN 12/39 FIXED 6                      | CUSIP: 3620A9A84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7951 | PA      | $8182.85       | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1        | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312861 | PA      | $123950.43     | 0.01%             | 2037-05-25      | Floating      | 4.27%                 | 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        |     992318 | PA      | $966735.26     | 0.08%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20D                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1          | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     210054 | PA      | $211482.87     | 0.02%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2341                                                  | FREDDIE MAC FHR 2341 PZ                                | CUSIP: 313398DG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65959 | PA      | $68172.90      | 0.01%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 678761 GN 11/37 FIXED 6                      | CUSIP: 36295SB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48046 | PA      | $49969.20      | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04595 FG 12/33 FIXED 5.5            | CUSIP: 3128M6NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8184 | PA      | $8239.57       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8781 FN 07/33 FIXED 4.86                   | CUSIP: 3140LKXK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2560717.63    | 0.22%             | 2033-07-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A32162 FG 03/35 FIXED 5              | CUSIP: 31297MMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41792 | PA      | $41645.65      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 640070 FN 03/32 FIXED 6.5                    | CUSIP: 31390ACF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $317.71        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                             | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6           | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9084981 | PA      | $217939.60     | 0.02%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                                  | FREDDIE MAC FHR 2061 Z                                 | CUSIP: 3133TEJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7760 | PA      | $7862.37       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 614894 FN 12/31 FIXED 6                      | CUSIP: 31388UC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $364.57        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771022 FN 04/34 FIXED 5.5                    | CUSIP: 31404KSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13495 | PA      | $13573.08      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765853 FN 02/34 FIXED 5.5                    | CUSIP: 31404DZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        520 | PA      | $522.54        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080220 G2 08/28 FLOATING VAR              | CUSIP: 36225CG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1943 | PA      | $1951.92       | 0.00%             | 2028-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q21792 FG 09/43 FIXED 4.5            | CUSIP: 3132JN7D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137589 | PA      | $136199.27     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1       | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36656 | PA      | $36123.89      | 0.00%             | 2030-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM6156 FN 01/49 FLOATING VAR                 | CUSIP: 3140JAZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985732 | PA      | $1024850.26    | 0.09%             | 2049-01-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ9265 G2 05/47 FIXED 3.5                 | CUSIP: 36197NJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     403419 | PA      | $375310.53     | 0.03%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                                         | FANNIE MAE FNR 2012 77 IO                              | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264196 | PA      | $12083.19      | 0.00%             | 2052-07-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782295 GN 03/38 FIXED 5.5                    | CUSIP: 36241KRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9965 | PA      | $10365.91      | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832238 FN 08/35 FIXED 6                      | CUSIP: 31407JS37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27700 | PA      | $28257.54      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080686 G2 04/33 FLOATING VAR              | CUSIP: 36225CXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     316910 | PA      | $321383.68     | 0.03%             | 2033-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01226 FG 06/41 FIXED 5              | CUSIP: 3132GELF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3155 | PA      | $3186.56       | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1514 FN 09/49 FIXED VAR                    | CUSIP: 3140X4VG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3013736 | PA      | $2655839.65    | 0.22%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0072 G2 05/27 FIXED 2.5                 | CUSIP: 36179MCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77695 | PA      | $77014.02      | 0.01%             | 2027-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904601 FN 11/36 FIXED 6                      | CUSIP: 31411DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1541 | PA      | $1617.27       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                   | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1              | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142802 | PA      | $60162.44      | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | 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        |     211342 | PA      | $208194.37     | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                           | FREDDIE MAC FHR 4438 WI                                | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271746 | PA      | $14823.77      | 0.00%             | 2038-11-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 748612 FN 01/34 FIXED 5.5                    | CUSIP: 31403GVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10331 | PA      | $10390.03      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080416 G2 06/30 FLOATING VAR              | CUSIP: 36225CPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96401 | PA      | $96110.42      | 0.01%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A50941 FG 07/36 FIXED 6.5            | CUSIP: 3128KDBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1712 | PA      | $1797.10       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783610 GN 11/41 FIXED 4.5                    | CUSIP: 3622A2AK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11654 | PA      | $11569.84      | 0.00%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56000 05/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-141486.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 674772 FN 01/33 FIXED 6                      | CUSIP: 31391RT51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11729 | PA      | $11960.56      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658374 GN 11/36 FIXED 6.5                    | CUSIP: 36294SMX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $666.62        | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448355 GN 04/31 FIXED 7.5                    | CUSIP: 36208EBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        721 | PA      | $733.05        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q60520 FG 12/48 FIXED 4              | CUSIP: 3132VLSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1284924 | PA      | $1233120.19    | 0.10%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 694182 GN 10/38 FIXED 6                      | CUSIP: 36296LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4158 | PA      | $4300.96       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2820                                                  | FREDDIE MAC FHR 2820 FY                                | CUSIP: 31395CEC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        337 | PA      | $336.31        | 0.00%             | 2034-07-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0379 FN 09/43 FIXED 4                      | CUSIP: 3138W9M56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130015 | PA      | $126373.10     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77057 FG 05/38 FIXED 5.5            | CUSIP: 3128LAZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6329 | PA      | $6515.23       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-276.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685630 GN 04/38 FIXED 6                      | CUSIP: 36296AVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19719 | PA      | $20336.49      | 0.00%             | 2038-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UCFC MANU HOUSING 1996-1                                          | UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M          | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9645 | PA      | $9139.38       | 0.00%             | 2028-01-15      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93343 FG 08/40 FIXED 5              | CUSIP: 312941WC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5132 | PA      | $5195.85       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5523 FN 02/37 FIXED 4                      | CUSIP: 3140FRD51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     704690 | PA      | $686183.17     | 0.06%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A47293 FG 10/35 FIXED 5.5            | CUSIP: 3128K8C61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15709 | PA      | $16275.58      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q00626 FG 05/41 FIXED 5              | CUSIP: 3132GDVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5567 | PA      | $5613.84       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 678100 GN 01/39 FIXED 5.5                    | CUSIP: 36295RKM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8905 | PA      | $9151.37       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD1201 FN 06/46 FIXED 4                      | CUSIP: 3140F8KP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192558 | PA      | $185319.49     | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 925139 FN 07/37 FIXED 6                      | CUSIP: 31412GZC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91503 | PA      | $94923.11      | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                        | LCM LTD PARTNERSHIP LCM 30A AR 144A                    | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1260141 | PA      | $1261547.57    | 0.11%             | 2031-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1      | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92145 | PA      | $83968.38      | 0.01%             | 2036-01-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75437 FG 03/38 FIXED 5.5            | CUSIP: 3128L9BE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3329 | PA      | $3402.47       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | 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        |     214040 | PA      | $210540.23     | 0.02%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003876 G2 07/36 FIXED 5                   | CUSIP: 36202EJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16370 | PA      | $16618.22      | 0.00%             | 2036-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 753079 FN 01/34 FIXED 5.5                    | CUSIP: 31403MUC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1963 | PA      | $2007.37       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 495830 GN 01/29 FIXED 6.5                    | CUSIP: 36210LY31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1447 | PA      | $1502.83       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668342 FN 12/32 FIXED 6                      | CUSIP: 31391JP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12598 | PA      | $12847.67      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1      | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5089 | PA      | $4249.41       | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 360765 GN 12/28 FIXED 6.5                    | CUSIP: 36203VW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        878 | PA      | $910.83        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 646394 GN 04/36 FIXED 5                      | CUSIP: 36292EC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16676 | PA      | $16938.57      | 0.00%             | 2036-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1     | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19830 | PA      | $19326.01      | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700778 GN 10/38 FIXED 5.5                    | CUSIP: 36296TQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2575 | PA      | $2637.99       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20E                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20E 1          | CUSIP: 83162CRU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     207155 | PA      | $208701.21     | 0.02%             | 2028-05-01      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-77                                         | FANNIE MAE FNR 2002 77 WF                              | CUSIP: 31392F6W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6981 | PA      | $6963.40       | 0.00%             | 2032-12-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.18500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1700107.84   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0200 FN 04/51 FIXED 3                      | CUSIP: 3140QKGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11065245 | PA      | $9754516.58    | 0.82%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783473 GN 11/41 FIXED 3.5                    | CUSIP: 36241L2E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     668342 | PA      | $630696.77     | 0.05%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777438 FN 04/34 FIXED 5.5                    | CUSIP: 31404SV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1633 | PA      | $1656.82       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940642 FN 08/37 FIXED 6                      | CUSIP: 31413BP39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4194 | PA      | $4338.07       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A38082 FG 09/35 FIXED 5              | CUSIP: 31297T6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9368 | PA      | $9437.73       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4262                                           | FREDDIE MAC FHR 4262 SB                                | CUSIP: 3137B4XS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3233054 | PA      | $3064513.63    | 0.26%             | 2041-05-15      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 768155 FN 03/34 FIXED 5.5                    | CUSIP: 31404GMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11149 | PA      | $11213.53      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | 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        |      35372 | PA      | $35225.90      | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781936 GN 06/35 FIXED 4.5                    | CUSIP: 36241KEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2747 | PA      | $2742.77       | 0.00%             | 2035-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745257 FN 01/36 FIXED VAR                    | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2541 | PA      | $2666.84       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | 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        |    1781095 | PA      | $107160.83     | 0.01%             | 2042-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9977 FN 10/26 FIXED 3                      | CUSIP: 3138AQCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1426 | PA      | $1418.66       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                               | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB      | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32229 | PA      | $31189.02      | 0.00%             | 2033-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784010 GN 03/45 FIXED 4                      | CUSIP: 3622A2N32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1332968 | PA      | $1298834.41    | 0.11%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1       | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975526 | PA      | $961120.23     | 0.08%             | 2034-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719922 GN 10/39 FIXED 5.5                    | CUSIP: 3620A5YT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74729 | PA      | $77223.65      | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $599247.80     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 782156 G2 05/37 FIXED 5                   | CUSIP: 36241KMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16676 | PA      | $16958.09      | 0.00%             | 2037-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C73849 FG 12/32 FIXED 5              | CUSIP: 31288CH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $140.61        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080727 G2 08/33 FLOATING VAR              | CUSIP: 36225CYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92382 | PA      | $93673.14      | 0.01%             | 2033-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080259 G2 02/29 FLOATING VAR              | CUSIP: 36225CJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1118 | PA      | $1120.49       | 0.00%             | 2029-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002885 G2 02/30 FIXED 8.5                 | CUSIP: 36202DF22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        771 | PA      | $788.65        | 0.00%             | 2030-02-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659684 GN 10/36 FIXED 6.5                    | CUSIP: 36294T2R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16318 | PA      | $17486.68      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | 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        |   54800000 | PA      | $54167958.72   | 4.56%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01304 FG 06/41 FIXED 5              | CUSIP: 3132GENV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103583 | PA      | $104873.36     | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05120 FG 12/38 FIXED 5.5            | CUSIP: 3128M7AV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115786 | PA      | $119202.18     | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4      | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885744 | PA      | $1802257.59    | 0.15%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9166 FN 10/51 FIXED VAR                    | CUSIP: 3140XDFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2014532 | PA      | $1773531.06    | 0.15%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05181 FG 01/39 FIXED 5.5            | CUSIP: 3128M7CS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50750 | PA      | $52392.70      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                    | LUMINENT MORTGAGE TRUST LUM 2006 7 1A1                 | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175320 | PA      | $172755.93     | 0.01%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ9192 FN 01/27 FIXED 3                      | CUSIP: 3138E2GA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18065 | PA      | $17961.62      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04216 FG 12/37 FIXED 5.5            | CUSIP: 3128M6AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20050 | PA      | $20726.36      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942569 FN 08/37 FIXED 6                      | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1823 | PA      | $1891.61       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722785 GN 10/39 FIXED 6                      | CUSIP: 3620A86W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3433 | PA      | $3530.84       | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 081016 G2 08/34 FLOATING VAR              | CUSIP: 36225DDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74838 | PA      | $75820.38      | 0.01%             | 2034-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31300 FG 07/36 FIXED 4.5            | CUSIP: 31281BNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4402 | PA      | $4343.01       | 0.00%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0156 FN 08/29 FIXED 5                      | CUSIP: 31417YE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10198 | PA      | $10272.39      | 0.00%             | 2029-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05283 FG 01/39 FIXED 5.5            | CUSIP: 3128M7FY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4028 | PA      | $4155.08       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0361 FN 09/39 FIXED VAR                    | CUSIP: 31418MMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63574 | PA      | $66724.00      | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689545 FN 01/33 FIXED 6                      | CUSIP: 31400KBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        390 | PA      | $399.50        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU7367 FN 09/43 FIXED 5                      | CUSIP: 3138X7FH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13015 | PA      | $13086.72      | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS8686 FN 01/47 FIXED 3                      | CUSIP: 3138WJUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482463 | PA      | $434971.07     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92922 FG 07/40 FIXED 5              | CUSIP: 312941G76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52974 | PA      | $53633.93      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773676 FN 04/34 FIXED 5.5                    | CUSIP: 31404NQ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6178 | PA      | $6211.58       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                  | FREDDIE MAC FHR 4836 PO                                | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8630716 | PA      | $5481230.52    | 0.46%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8813 G2 04/48 FIXED 4                   | CUSIP: 3617B0YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     618294 | PA      | $579932.09     | 0.05%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                          | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1       | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        922 | PA      | $908.79        | 0.00%             | 2033-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-H16                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 F          | CUSIP: 38382YGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24303478 | PA      | $24966345.90   | 2.10%             | 2071-09-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 481483 FN 02/29 FIXED 6                      | CUSIP: 31382F2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        142 | PA      | $144.36        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535078 FN 02/29 FIXED VAR                    | CUSIP: 31384VM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $211.97        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5089 FR 06/53 FIXED 5              | CUSIP: 3133C5UN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179149 | PA      | $178758.55     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 821365 FN 05/35 FLOATING VAR                 | CUSIP: 31406VQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20696 | PA      | $21154.77      | 0.00%             | 2035-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08448 FG 05/41 FIXED 5              | CUSIP: 3128MJQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25540 | PA      | $25839.41      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93156 FG 07/40 FIXED 5              | CUSIP: 312941QH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39620 | PA      | $39418.17      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658132 GN 10/36 FIXED 6                      | CUSIP: 36294SED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5062 | PA      | $5338.08       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11       | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1808753 | PA      | $1485685.90    | 0.13%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688031 GN 10/38 FIXED 6.5                    | CUSIP: 36296DLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6560 | PA      | $6980.86       | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 373182 FN 05/36 FLOATING VAR                 | CUSIP: 31377CRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        835 | PA      | $823.26        | 0.00%             | 2036-05-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS         | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1736402 | PA      | $1126292.88    | 0.09%             | 2045-09-20      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452469 FN 11/28 FIXED 6.5                    | CUSIP: 31380WT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $151.58        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV0016 FN 10/28 FIXED 3                      | CUSIP: 3138XBAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35962 | PA      | $35417.51      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3        | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192833 | PA      | $50741.21      | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002231 G2 06/26 FIXED 7                   | CUSIP: 36202CPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.62          | 0.00%             | 2026-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2004-3                            | RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 AV2A        | CUSIP: 759950DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108036 | PA      | $96402.39      | 0.01%             | 2034-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002645 G2 09/28 FIXED 7                   | CUSIP: 36202C5E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $620.77        | 0.00%             | 2028-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8982 FR 10/32 FIXED 2.5            | CUSIP: 3131XC6T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6133 | PA      | $5890.60       | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8533 FR 05/55 FIXED 5.5            | CUSIP: 3132DWPS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     891286 | PA      | $896269.85     | 0.08%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799689 FN 11/34 FIXED 5.5                    | CUSIP: 31405UNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $86.47         | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A45408 FG 06/35 FIXED 6.5            | CUSIP: 3128K6AH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2091 | PA      | $2164.91       | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710859 GN 09/39 FIXED 5                      | CUSIP: 36297FWU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29484 | PA      | $30116.07      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776973 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121211 | PA      | $124013.40     | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A       | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25456 | PA      | $25312.25      | 0.00%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692396 GN 02/39 FIXED 6.5                    | CUSIP: 36296JGD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43916 | PA      | $46353.79      | 0.00%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8567 FR 02/32 FIXED 2.5            | CUSIP: 3131XCQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27656 | PA      | $26539.14      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948697 FN 08/37 FIXED 6                      | CUSIP: 31413LNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6668 | PA      | $6918.06       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 390256 FH 07/30 FLOATING VAR         | CUSIP: 31346VH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35907 | PA      | $35224.35      | 0.00%             | 2030-07-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/55 4.75                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  131600000 | PA      | $128268875.00  | 10.81%            | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020455<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18600000 | PA      | $17115897.63   | 1.44%             | 2041-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3800000 | PA      | $3874040.15    | 0.33%             | 2056-04-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 594701 GN 01/33 FIXED 5.5                    | CUSIP: 36201VU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32752 | PA      | $32938.70      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02976 FG 06/37 FIXED 5.5            | CUSIP: 3128M4T94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10706 | PA      | $11067.12      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698060 GN 02/39 FIXED 5.5                    | CUSIP: 36296QQM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27741 | PA      | $28703.13      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79792 FG 07/38 FIXED 5              | CUSIP: 3128LD2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40213 | PA      | $40093.47      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896344 FN 10/36 FIXED 6                      | CUSIP: 31410SZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12221 | PA      | $12792.31      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323591 FN 03/29 FIXED VAR                    | CUSIP: 31374TNG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $475.95        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00835 FG 07/29 FIXED 6.5            | CUSIP: 31292G4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $99.26         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323412 FN 12/28 FIXED VAR                    | CUSIP: 31374TGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        569 | PA      | $588.04        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8509 FR 01/32 FIXED 2.5            | CUSIP: 3131XCN29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251803 | PA      | $242473.28     | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0465 G2 10/42 FIXED 5                   | CUSIP: 36179MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19454 | PA      | $19831.54      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080542 G2 09/31 FLOATING VAR              | CUSIP: 36225CS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47747 | PA      | $47893.13      | 0.00%             | 2031-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2407 G2 04/48 FIXED 4                   | CUSIP: 3617G8U84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153164 | PA      | $144416.23     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ8426 G2 03/47 FIXED 3.5                 | CUSIP: 36197MLF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     408300 | PA      | $379858.11     | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C90968 FG 05/26 FIXED 5              | CUSIP: 3128P7CD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $56.99         | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003747 G2 08/35 FIXED 5                   | CUSIP: 36202EEU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6630 | PA      | $6718.57       | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904864 FN 01/37 FIXED 6                      | CUSIP: 31411DJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1511 | PA      | $1548.65       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555436 FN 05/33 FIXED VAR                    | CUSIP: 31385XBD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26561 | PA      | $27322.49      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C     | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5462326 | PA      | $4975286.67    | 0.42%             | 2046-09-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BS5111 GN 01/50 FIXED 3.5                    | CUSIP: 3617MFVC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68938 | PA      | $63809.94      | 0.01%             | 2050-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32650000 | PA      | $30589416.06   | 2.58%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795410 FN 09/34 FIXED 6.5                    | CUSIP: 31405PVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10148 | PA      | $10499.83      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | 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      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080113 G2 09/27 FLOATING VAR              | CUSIP: 36225CDT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $102.00        | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4583 FN 09/42 FIXED VAR                    | CUSIP: 3140J9CV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218947 | PA      | $206738.18     | 0.02%             | 2042-09-01      | 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        |     705551 | PA      | $716707.09     | 0.06%             | 2028-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764480 GN 05/41 FIXED 5                      | CUSIP: 36176FCR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4196 | PA      | $4236.50       | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | 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        |   10653212 | PA      | $9870268.70    | 0.83%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 678950 GN 10/37 FIXED 6.5                    | CUSIP: 36295SH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15860 | PA      | $16635.28      | 0.00%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 617739 FN 08/32 FIXED 6                      | CUSIP: 31388XHQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3034 | PA      | $3094.37       | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080201 G2 05/28 FLOATING VAR              | CUSIP: 36225CGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2238 | PA      | $2237.92       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252453 FN 03/29 FIXED 6.5                    | CUSIP: 31371HMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $334.19        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698370 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55224 | PA      | $54559.05      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                                           | FREDDIE MAC FHR 4338 SB                                | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171023 | PA      | $9714.52       | 0.00%             | 2041-10-15      | Floating      | 2.35%                 | 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        |      96986 | PA      | $4287.59       | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8096 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2215000 | PA      | $2242873.60    | 0.19%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3036 G2 08/45 FIXED 4.5                 | CUSIP: 36179RLR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     956921 | PA      | $946218.96     | 0.08%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                   | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A             | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82035 | PA      | $81300.73      | 0.01%             | 2040-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773752 FN 04/34 FIXED 5.5                    | CUSIP: 31404NTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3530 | PA      | $3548.89       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                           | FREDDIE MAC FHR 4165 TI                                | CUSIP: 3137AYSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1225919 | PA      | $55406.02      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                                    | COUNTRYWIDE HOME LOANS CWHL 2004 20 3A1                | CUSIP: 12669F2J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93572 | PA      | $90288.22      | 0.01%             | 2034-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2007-A                           | BAYVIEW FINANCIAL ACQUISITION BAYV 2007 A 2A           | CUSIP: 07325VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     543254 | PA      | $521179.36     | 0.04%             | 2037-05-28      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008876 G2 05/26 FLOATING VAR              | CUSIP: 36202K2H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $53.94         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775641 FN 05/34 FIXED 5.5                    | CUSIP: 31404QWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71019 | PA      | $71744.03      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD8163 G2 12/47 FIXED 3.5                 | CUSIP: 3617BQB80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     324455 | PA      | $301855.76     | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02689 FG 01/37 FIXED 6.5            | CUSIP: 3128M4KA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13502 | PA      | $14159.98      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A64516 FG 08/37 FIXED 6.5            | CUSIP: 3128KVAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7529 | PA      | $7978.07       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605561 GN 11/34 FIXED 5.5                    | CUSIP: 36200NWW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26205 | PA      | $26227.58      | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670665 GN 08/37 FIXED 6                      | CUSIP: 36295HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        769 | PA      | $808.41        | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003840 G2 04/36 FIXED 5                   | CUSIP: 36202EHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20625 | PA      | $20901.00      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5502 FR 06/51 FIXED 3              | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2319373 | PA      | $2042385.67    | 0.17%             | 2051-06-01      | Fixed         | 3.00%                 | 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        |     451177 | PA      | $409367.94     | 0.03%             | 2047-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A         | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1608 | PA      | $1635.12       | 0.00%             | 2034-03-25      | Floating      | 5.60%                 | 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        |  220662564 | PA      | $217368504.42  | 18.31%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002898 G2 03/30 FIXED 8.5                 | CUSIP: 36202DGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $351.67        | 0.00%             | 2030-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01578 FG 04/33 FIXED 6.5            | CUSIP: 31292HXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1000 | PA      | $1035.71       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A44573 FG 04/36 FIXED 5.5            | CUSIP: 3128K5CJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9415 | PA      | $9674.48       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH3643 FN 06/47 FIXED 5                      | CUSIP: 3140GSBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122500 | PA      | $121524.30     | 0.01%             | 2047-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1       | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285083 | PA      | $88594.30      | 0.01%             | 2037-06-25      | Floating      | 4.09%                 | 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        |     388730 | PA      | $24874.49      | 0.00%             | 2044-07-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662443 GN 06/37 FIXED 6                      | CUSIP: 36294W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1384 | PA      | $1435.00       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904015 FN 01/37 FIXED 6                      | CUSIP: 31411CK42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4985 | PA      | $5158.26       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434128 GN 12/28 FIXED 6.5                    | CUSIP: 36207KHD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $115.08        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0818 FN 08/31 FIXED 4                      | CUSIP: 31417Y4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88741 | PA      | $88083.75      | 0.01%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928184 FN 04/37 FIXED 5.5                    | CUSIP: 31412LFZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9634 | PA      | $9860.59       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781048 GN 06/29 FIXED 6.5                    | CUSIP: 36225BEV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5792 | PA      | $5926.69       | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 651871 GN 10/36 FIXED 6.5                    | CUSIP: 36292LFL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1075 | PA      | $1094.46       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716206 GN 05/39 FIXED 5                      | CUSIP: 3620A1U71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1908 | PA      | $1940.52       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A60094 FG 05/37 FIXED 5.5            | CUSIP: 3128KQC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4920 | PA      | $5050.64       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37900 FG 09/35 FIXED 4.5            | CUSIP: 31297TX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5519 | PA      | $5472.02       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                                         | FANNIE MAE FNR 2015 10 SA                              | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     601840 | PA      | $32313.74      | 0.00%             | 2045-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782716 GN 07/39 FIXED 5                      | CUSIP: 36241LAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79337 | PA      | $79788.42      | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 687923 GN 09/38 FIXED 6                      | CUSIP: 36296DG85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4845 | PA      | $5025.78       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781339 GN 09/31 FIXED 8                      | CUSIP: 36225BPY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1194 | PA      | $1267.73       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03447 FG 10/37 FIXED 5.5            | CUSIP: 3128M5EU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3704 | PA      | $3829.36       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03837 FG 02/38 FIXED 5.5            | CUSIP: 3128M5S27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2392 | PA      | $2433.46       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 503097 GN 04/29 FIXED 6.5                    | CUSIP: 36210U3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4292 | PA      | $4377.36       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 649488 GN 09/35 FIXED 5                      | CUSIP: 36292HRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1062 | PA      | $1075.96       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1        | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119016 | PA      | $110986.07     | 0.01%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1248 FN 11/42 FIXED 3                      | CUSIP: 31418AL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     807458 | PA      | $732866.70     | 0.06%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 893898 FN 10/36 FIXED 6                      | CUSIP: 31410QDB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3378 | PA      | $3535.78       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689889 GN 09/38 FIXED 6                      | CUSIP: 36296FNE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $944.25        | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A          | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4402399 | PA      | $4236876.98    | 0.36%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080578 G2 02/32 FLOATING VAR              | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27292 | PA      | $27601.84      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080651 G2 11/32 FLOATING VAR              | CUSIP: 36225CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3985 | PA      | $4060.61       | 0.00%             | 2032-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C     | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1155305 | PA      | $1006570.81    | 0.08%             | 2046-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56993 FG 02/37 FIXED 5              | CUSIP: 3128KKXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60163 | PA      | $59887.53      | 0.01%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900134 FN 09/36 FIXED 6                      | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17913 | PA      | $18464.28      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754803 FN 01/34 FIXED 5.5                    | CUSIP: 31403QRY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3244 | PA      | $3270.20       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782775 GN 10/39 FIXED 6                      | CUSIP: 36241LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6452 | PA      | $6799.91       | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2537 FN 06/53 FIXED 5                      | CUSIP: 3140NJZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94776 | PA      | $94949.40      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |     734308 | PA      | $739862.98     | 0.06%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 920731 FN 01/37 FIXED 6                      | CUSIP: 31412B4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4677 | PA      | $4859.09       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D97932 FG 07/28 FIXED 5              | CUSIP: 3128E4Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5269 | PA      | $5295.22       | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531039 GN 08/32 FIXED 6.5                    | CUSIP: 36212D4Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18658 | PA      | $19117.33      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                      | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116323 | PA      | $44815.84      | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783363 GN 02/41 FIXED 5.5                    | CUSIP: 36241LWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7519 | PA      | $7797.96       | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 065581 FN 08/28 FLOATING VAR                 | CUSIP: 31362M2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4887 | PA      | $4847.03       | 0.00%             | 2028-08-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 953930 FN 12/37 FIXED 6.5                    | CUSIP: 31413SHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $279.97        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 566499 GN 10/33 FIXED 5                      | CUSIP: 36213WKL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1894 | PA      | $1892.15       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782888 GN 02/40 FIXED 5                      | CUSIP: 36241LF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19826 | PA      | $20248.60      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704672 GN 08/39 FIXED 5.5                    | CUSIP: 36296X2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29935 | PA      | $30737.00      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01967 FG 11/30 FIXED 5.5            | CUSIP: 3128LXFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1987 | PA      | $2018.82       | 0.00%             | 2030-11-01      | 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                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3571624.04    | 0.30%             | 2056-04-21      | Fixed         | 3.00%                 | 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        |     743000 | PA      | $740736.17     | 0.06%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 911582 FN 04/37 FIXED 5.5                    | CUSIP: 31411LXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1563 | PA      | $1609.12       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771778 FN 03/34 FIXED 5.5                    | CUSIP: 31404LM31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        778 | PA      | $783.46        | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804320 FN 11/34 FIXED 5.5                    | CUSIP: 31406ASH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24831 | PA      | $24966.45      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782407 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199755 | PA      | $207770.70     | 0.02%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663884 GN 02/37 FIXED 6                      | CUSIP: 36294YRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5403 | PA      | $5556.21       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 641859 FN 04/32 FIXED 6.5                    | CUSIP: 31390CB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1442 | PA      | $1491.83       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | 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        |     153642 | PA      | $145889.65     | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-56                                                | FANNIE MAE FNR 2001 56 KZ                              | CUSIP: 313921FR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67308 | PA      | $69238.61      | 0.01%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 780123 FN 05/34 FIXED 5.5                    | CUSIP: 31404VVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26104 | PA      | $26286.54      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0382 FN 04/30 FIXED 4                      | CUSIP: 31417YM87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $462.49        | 0.00%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433689 GN 04/28 FIXED 7                      | CUSIP: 36207JXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.32         | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903822 FN 12/36 FIXED 6.5                    | CUSIP: 31411CD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28405 | PA      | $29381.26      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4643 FN 05/42 FIXED 3                      | CUSIP: 31418EER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     872207 | PA      | $804291.97     | 0.07%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 499440 GN 04/29 FIXED 6.5                    | CUSIP: 36210QZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        921 | PA      | $942.62        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A     | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614476 | PA      | $609639.41     | 0.05%             | 2037-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W2                                      | FANNIEMAE WHOLE LOAN FNW 2001 W2 AF6                   | CUSIP: 313920XZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.72         | 0.00%             | 2031-10-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                   | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1             | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     379129 | PA      | $189017.85     | 0.02%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782729 GN 06/39 FIXED 6                      | CUSIP: 36241LA63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        842 | PA      | $887.52        | 0.00%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 623611 FN 02/32 FIXED 6                      | CUSIP: 31389EYG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53720 | PA      | $54780.81      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6       | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354442 | PA      | $257331.23     | 0.02%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A     | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293454 | PA      | $277248.85     | 0.02%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A       | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167366 | PA      | $156715.20     | 0.01%             | 2037-03-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2378 FN 10/41 FIXED VAR                    | CUSIP: 3138EJUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53554 | PA      | $51752.26      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008874 G2 05/26 FLOATING VAR              | CUSIP: 36202K2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.99         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899732 FN 09/37 FIXED 6.5                    | CUSIP: 31410WSV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12973 | PA      | $13730.85      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81280 FG 08/38 FIXED 5              | CUSIP: 312927M52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5202 | PA      | $5188.14       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 679243 GN 12/37 FIXED 6                      | CUSIP: 36295SS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3189 | PA      | $3327.78       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | 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        |     214267 | PA      | $12474.75      | 0.00%             | 2038-06-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4989 FN 04/27 FIXED 2                      | CUSIP: 31417BRK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        948 | PA      | $937.66        | 0.00%             | 2027-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673003 GN 08/38 FIXED 5.5                    | CUSIP: 36295KU43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2635 | PA      | $2721.46       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2431                                                  | FREDDIE MAC FHR 2431 F                                 | CUSIP: 31339NQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.37         | 0.00%             | 2032-03-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545051 FN 09/29 FIXED VAR                    | CUSIP: 31385HQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $82.23         | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06193 FG 05/40 FIXED 5.5            | CUSIP: 3128M8GA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39816 | PA      | $41033.80      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 812521 FN 02/35 FIXED 6                      | CUSIP: 31406KVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10889 | PA      | $11142.75      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        230 | PA      | $233.05        | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO0095 GN 07/45 FIXED 3                      | CUSIP: 3617A0C87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235484 | PA      | $211685.92     | 0.02%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 449010 GN 08/27 FIXED 8.5                    | CUSIP: 36208EYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11472 | PA      | $11614.57      | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 757194 FN 12/33 FIXED 5.5                    | CUSIP: 31403TGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31810 | PA      | $31982.71      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8084 FN 01/36 FIXED VAR                    | CUSIP: 3138EQ6W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     678055 | PA      | $665083.94     | 0.06%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676015 GN 08/38 FIXED 6.5                    | CUSIP: 36295PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2158 | PA      | $2279.69       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1J1219 FH 10/35 FLOATING VAR         | CUSIP: 3128NHK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9309 | PA      | $9525.97       | 0.00%             | 2035-10-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1004 FN 10/43 FIXED 5                      | CUSIP: 3138XCDJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28228 | PA      | $28257.12      | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A53035 FG 10/36 FIXED 6.5            | CUSIP: 3128KFLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8779 | PA      | $9281.25       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN0932 FN 12/48 FIXED 4                      | CUSIP: 3140JHBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1971104 | PA      | $1888027.76    | 0.16%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0574 FN 09/43 FIXED 5                      | CUSIP: 3138W9T83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51713 | PA      | $52172.68      | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 555732 GN 03/32 FIXED 6.5                    | CUSIP: 36213JLM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $362.74        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256821 FN 07/27 FIXED 6.5                    | CUSIP: 31371NG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4095 | PA      | $4234.86       | 0.00%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080115 G2 09/27 FLOATING VAR              | CUSIP: 36225CDV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1144 | PA      | $1147.12       | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT8403 FN 06/43 FIXED 4                      | CUSIP: 3138WWKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     633473 | PA      | $613696.09     | 0.05%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782336 GN 05/38 FIXED 6                      | CUSIP: 36241KSZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7171 | PA      | $7472.33       | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 774477 FN 04/34 FIXED 5.5                    | CUSIP: 31404PM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9834 | PA      | $9890.79       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 801462 FN 11/34 FIXED 5.5                    | CUSIP: 31405WMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1040.18       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1512 FN 06/53 FIXED 5                      | CUSIP: 3140NHVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154344 | PA      | $154636.19     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0140 FN 08/29 FIXED 4.5                    | CUSIP: 31417YEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23032 | PA      | $23061.91      | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 968312 FN 02/38 FIXED 4.5                    | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4603 | PA      | $4607.27       | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 665963 GN 02/38 FIXED 6                      | CUSIP: 36295BZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14465 | PA      | $15205.77      | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  331400000 | PA      | $290640312.01  | 24.48%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AU4789 G2 11/46 FIXED 3.5                 | CUSIP: 36194SKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146193 | PA      | $135137.79     | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                    | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194245 | PA      | $184861.03     | 0.02%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0606 FN 12/30 FIXED 4.5                    | CUSIP: 31417YU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5222 | PA      | $5232.96       | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9982 FN 10/45 FIXED VAR                    | CUSIP: 3138ESCU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181881 | PA      | $183914.66     | 0.02%             | 2045-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 703036 GN 07/39 FIXED 4.5                    | CUSIP: 36296WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     653895 | PA      | $659380.17     | 0.06%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677323 GN 09/38 FIXED 6.5                    | CUSIP: 36295QPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $139.74        | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737532 GN 10/40 FIXED 4                      | CUSIP: 3620ARLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6620 | PA      | $6323.74       | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782789 GN 10/39 FIXED 5.5                    | CUSIP: 36241LC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2825 | PA      | $2938.89       | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK3399 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3X48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17272 | PA      | $16725.89      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | 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        |    1132295 | PA      | $1078411.21    | 0.09%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1            | CUSIP: 59020UUK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2301 | PA      | $2108.00       | 0.00%             | 2035-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 313343 FN 02/27 FLOATING VAR                 | CUSIP: 31374GBL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $464.01        | 0.00%             | 2027-02-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902551 FN 11/36 FIXED 6                      | CUSIP: 31411AWL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        999 | PA      | $1042.96       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0698 G2 01/43 FIXED 3                   | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2053256 | PA      | $1883054.86    | 0.16%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452035 FN 11/28 FIXED 5.5                    | CUSIP: 31380WEG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1323.85       | 0.00%             | 2028-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783748 GN 04/43 FIXED 3.5                    | CUSIP: 3622A2EV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     270419 | PA      | $254387.09     | 0.02%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809177 FN 01/35 FLOATING VAR                 | CUSIP: 31406F6N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4901 | PA      | $4960.95       | 0.00%             | 2035-01-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                            | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A          | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132289 | PA      | $138508.85     | 0.01%             | 2029-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847996 FN 11/35 FLOATING VAR                 | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3464 | PA      | $3545.55       | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                                      | VENDEE MORTGAGE TRUST VENDE 1998 3 E                   | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48275 | PA      | $48426.39      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0209 FN 08/43 FIXED 3.5                    | CUSIP: 3138W9GT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $487.32        | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                               | GSAMP TRUST GSAMP 2006 S6 A1B                          | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7469904 | PA      | $32072.03      | 0.00%             | 2036-10-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799712 FN 11/34 FIXED 5.5                    | CUSIP: 31405UN54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13613 | PA      | $13689.96      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A       | CUSIP: 59023FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935786 | PA      | $132049.82     | 0.01%             | 2037-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 540157 GN 01/31 FIXED 7.5                    | CUSIP: 36212QB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5719 | PA      | $5868.44       | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080029 G2 01/27 FLOATING VAR              | CUSIP: 36225CA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $263.95        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783287 GN 08/40 FIXED 6                      | CUSIP: 36241LUL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28518 | PA      | $29722.30      | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                            | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A          | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42547 | PA      | $42388.35      | 0.00%             | 2031-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01975 FG 06/35 FIXED 6              | CUSIP: 3128LXFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9535 | PA      | $9873.08       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE3307 GN 10/46 FIXED 2.5                    | CUSIP: 36180VU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304612 | PA      | $265280.91     | 0.02%             | 2046-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA3979 FN 03/37 FIXED 5                      | CUSIP: 31416MM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74051 | PA      | $73676.19      | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | 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      | $548907.68     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP 419                                               | FANNIEMAE STRIP FNS 419 C3                             | CUSIP: 31395Q5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1282236 | PA      | $169327.84     | 0.01%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 472978 GN 06/29 FIXED 6.5                    | CUSIP: 36209JM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $610.45        | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A95755 FG 12/40 FIXED 5              | CUSIP: 312944MC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1157 | PA      | $1161.65       | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080319 G2 09/29 FLOATING VAR              | CUSIP: 36225CK96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2110 | PA      | $2116.31       | 0.00%             | 2029-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002947 G2 07/30 FIXED 8.5                 | CUSIP: 36202DHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $640.83        | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722770 GN 09/39 FIXED 6                      | CUSIP: 3620A86F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4299 | PA      | $4424.73       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A        | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92277 | PA      | $90584.19      | 0.01%             | 2042-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782382 GN 08/38 FIXED 5.5                    | CUSIP: 36241KUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25780 | PA      | $26570.69      | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | 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        |      80508 | PA      | $75995.15      | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9683 FN 10/28 FIXED 5.57                   | CUSIP: 3140LLXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     856286 | PA      | $860788.56     | 0.07%             | 2028-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05651 FG 09/39 FIXED 5              | CUSIP: 3128M7TG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17846 | PA      | $18068.14      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL1137 GN 01/45 FIXED 3.5                    | CUSIP: 36183WHN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34337 | PA      | $32262.53      | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 722245 FN 08/33 FIXED 5.5                    | CUSIP: 31401YL29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7495 | PA      | $7537.71       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | 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        |     440110 | PA      | $20796.55      | 0.00%             | 2055-04-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698386 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     621712 | PA      | $614220.09     | 0.05%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832802 FN 09/35 FLOATING VAR                 | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1119 | PA      | $1138.96       | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806211 FN 01/35 FIXED 5.5                    | CUSIP: 31406CVC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9178 | PA      | $9295.55       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781630 GN 07/33 FIXED 5.5                    | CUSIP: 36225BY36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        329 | PA      | $335.35        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698649 GN 11/38 FIXED 6                      | CUSIP: 36296REW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7506 | PA      | $7758.79       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21      | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162150 | PA      | $163144.15     | 0.01%             | 2045-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2800 FN 11/26 FIXED 2                      | CUSIP: 31418CDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3987 | PA      | $3958.58       | 0.00%             | 2026-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604897 GN 12/33 FIXED 5                      | CUSIP: 36200M7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        400 | PA      | $401.61        | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680512 GN 01/40 FIXED 6                      | CUSIP: 36295UAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43538 | PA      | $44779.49      | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                               | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5       | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52876 | PA      | $52648.20      | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255116 FN 02/34 FIXED 6.5                    | CUSIP: 31371LK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $309.00        | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535909 FN 05/31 FIXED VAR                    | CUSIP: 31384WKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.46         | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779022 FN 06/34 FIXED 5.5                    | CUSIP: 31404UPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9178 | PA      | $9230.03       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02188 FG 06/36 FIXED 5              | CUSIP: 3128LXND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11708 | PA      | $11841.01      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723748 GN 05/40 FIXED 4.5                    | CUSIP: 3620AABR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111485 | PA      | $112289.00     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                               | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A              | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14541 | PA      | $14599.86      | 0.00%             | 2031-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA9306 FN 02/51 FIXED 3                      | CUSIP: 3140QHKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10872667 | PA      | $9576699.77    | 0.81%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252180 FN 10/28 FIXED 6.5                    | CUSIP: 31371HCR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        390 | PA      | $406.25        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04503 FG 11/35 FIXED 5.5            | CUSIP: 3128M6KQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16623 | PA      | $17183.94      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809617 FN 02/35 FIXED 5.5                    | CUSIP: 31406GPA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $209.92        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944713 FN 07/37 FIXED 6                      | CUSIP: 31413GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16366 | PA      | $16801.01      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831646 FN 08/26 FIXED 6.5                    | CUSIP: 31407H5F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.66          | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 658394 FN 06/33 FIXED 6                      | CUSIP: 31390WNK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $113.14        | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                              | MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A3 144A     | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58286 | PA      | $39345.73      | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04567 FG 07/38 FIXED 5.5            | CUSIP: 3128M6MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20160 | PA      | $20769.51      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01005 FG 06/30 FIXED 8              | CUSIP: 31292HDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $315.91        | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02788 FG 03/37 FIXED 5.5            | CUSIP: 3128M4ND1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6430 | PA      | $6647.41       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9048 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1138849 | PA      | $1059930.75    | 0.09%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 938012 FN 07/37 FIXED 6                      | CUSIP: 31412XR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35118 | PA      | $36758.83      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTG CORP LOAN TRUST 2002-HE1                               | GMAC MORTGAGE CORPORATION LOAN GMACM 2002 HE1 A2       | CUSIP: 361856BU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3847 | PA      | $2784.26       | 0.00%             | 2029-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 526030 GN 08/30 FIXED 8.5                    | CUSIP: 36211XLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1992 | PA      | $2015.80       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779643 FN 07/34 FIXED 5.5                    | CUSIP: 31404VEQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50648 | PA      | $51225.55      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080406 G2 05/30 FLOATING VAR              | CUSIP: 36225CNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        545 | PA      | $543.41        | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A84058 FG 01/39 FIXED 5.5            | CUSIP: 312930QK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1571 | PA      | $1608.22       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0810 FN 06/51 FIXED 1.5                    | CUSIP: 3140QK3U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116049 | PA      | $89993.50      | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5280 FR 06/53 FIXED 5              | CUSIP: 3133C52M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129712 | PA      | $129383.76     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 757021 FN 04/34 FIXED 5.5                    | CUSIP: 31403TAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14410 | PA      | $14493.97      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252469 FN 10/28 FIXED 7.5                    | CUSIP: 31371HMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1623 | PA      | $1618.85       | 0.00%             | 2028-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0313 G2 08/42 FIXED 4                   | CUSIP: 36179MK25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20345 | PA      | $19160.41      | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937938 FN 06/37 FIXED 6                      | CUSIP: 31412XPX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4351 | PA      | $4513.29       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A54203 FG 11/36 FIXED 6.5            | CUSIP: 3128KGU48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3512 | PA      | $3692.22       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903011 FN 12/36 FIXED 6                      | CUSIP: 31411BGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13590 | PA      | $14223.63      | 0.00%             | 2036-12-01      | 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        |   10930000 | PA      | $9191446.88    | 0.77%             | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2001-T4                                   | FANNIEMAE GRANTOR TRUST FNGT 2001 T4 A1                | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37419 | PA      | $38032.03      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04794 FG 01/36 FIXED 5.5            | CUSIP: 3128M6UT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28301 | PA      | $29255.65      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2002-WMC1                           | SALOMON BROTHERS MORTGAGE SECU SBM7 2002 WMC1 M1       | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12464 | PA      | $12474.35      | 0.00%             | 2032-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931950 FN 01/37 FIXED 6.5                    | CUSIP: 31412QL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5874 | PA      | $6214.43       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252111 FN 09/28 FIXED 6.5                    | CUSIP: 31371HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $293.57        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 490213 GN 07/29 FIXED 6.5                    | CUSIP: 36210ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $485.38        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902164 FN 11/36 FIXED 6                      | CUSIP: 31411AJH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17692 | PA      | $18569.94      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724058 GN 11/39 FIXED 5.5                    | CUSIP: 3620AAMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15637 | PA      | $16116.09      | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2065                                                  | FREDDIE MAC FHR 2065 Z                                 | CUSIP: 3133TEFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2335 | PA      | $2368.72       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781987 GN 10/35 FIXED 5.5                    | CUSIP: 36241KF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16207 | PA      | $16857.41      | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902745 FN 11/36 FIXED 6                      | CUSIP: 31411A5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18724 | PA      | $19388.03      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05605 FG 04/39 FIXED 5.5            | CUSIP: 3128M7R24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24307 | PA      | $25076.41      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 602285 FN 08/31 FIXED 6.5                    | CUSIP: 31388ECW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4116 | PA      | $4257.46       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4645 FN 10/38 FIXED VAR                    | CUSIP: 3140J9ET4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188342 | PA      | $177424.97     | 0.01%             | 2038-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08192 FG 04/37 FIXED 5.5            | CUSIP: 3128MJGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6759 | PA      | $6986.98       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AQ3206 FN 11/42 FIXED 4                      | CUSIP: 3138MJR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331639 | PA      | $320269.36     | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080167 G2 02/28 FLOATING VAR              | CUSIP: 36225CFH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $438.88        | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1                 | CUSIP: 81744HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183718 | PA      | $125268.41     | 0.01%             | 2047-01-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080059 G2 04/27 FLOATING VAR              | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        252 | PA      | $251.55        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929207 FN 03/38 FIXED 6.5                    | CUSIP: 31412MKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12846 | PA      | $13627.84      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | 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        |    1466769 | PA      | $1498187.09    | 0.13%             | 2031-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928362 FN 06/27 FIXED 6.5                    | CUSIP: 31412LMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1438.75       | 0.00%             | 2027-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782278 GN 02/38 FIXED 5.5                    | CUSIP: 36241KQ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $514.59        | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03780 FG 01/38 FIXED 5.5            | CUSIP: 3128M5Q94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $261.78        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 774031 FN 04/34 FIXED 5.5                    | CUSIP: 31404N4Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21024 | PA      | $21162.69      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G00811 FG 08/27 FIXED 8.5            | CUSIP: 31283G3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $130.24        | 0.00%             | 2027-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3310 G2 12/45 FIXED 3.5                 | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3382666 | PA      | $3181915.31    | 0.27%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-36                                                | FANNIE MAE FNR 2000 36 F                               | CUSIP: 31358SVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10784 | PA      | $10783.63      | 0.00%             | 2030-06-25      | Floating      | 4.28%                 | 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        |    4613745 | PA      | $4204321.56    | 0.35%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08378 FG 10/39 FIXED 6              | CUSIP: 3128MJM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8814 | PA      | $9000.19       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C        | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     824303 | PA      | $189876.28     | 0.02%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678128 FN 01/33 FIXED 6                      | CUSIP: 31391VLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94869 | PA      | $96754.68      | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 542633 GN 03/31 FIXED 7.5                    | CUSIP: 36212SY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        837 | PA      | $852.13        | 0.00%             | 2031-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9465 FN 05/43 FIXED 3.5                    | CUSIP: 31417GQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6663 | PA      | $6279.39       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555254 FN 01/33 FIXED VAR                    | CUSIP: 31385WZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $524.47        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0657 FN 08/41 FIXED VAR                    | CUSIP: 3138EGWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43939 | PA      | $44431.01      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A       | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4991842 | PA      | $4341350.11    | 0.37%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 584411 GN 05/32 FIXED 6.5                    | CUSIP: 36201JGU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $205.62        | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002632 G2 08/28 FIXED 7.5                 | CUSIP: 36202C4R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $277.06        | 0.00%             | 2028-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828982 FN 08/35 FLOATING VAR                 | CUSIP: 31407E6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15510 | PA      | $15863.06      | 0.00%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802005 FN 11/34 FIXED 5.5                    | CUSIP: 31405XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13512 | PA      | $13659.91      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844425 FN 12/35 FIXED 6                      | CUSIP: 31407YD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4683 | PA      | $4901.12       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323044 FN 08/29 FLOATING VAR                 | CUSIP: 31374SZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $97.59         | 0.00%             | 2029-08-01      | Floating      | 4.35%                 | 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        |     138578 | PA      | $135046.79     | 0.01%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 785867 FH 12/26 FLOATING VAR         | CUSIP: 31348SQU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $573.94        | 0.00%             | 2026-12-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9574 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYT82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     669917 | PA      | $618758.06     | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2020 FN 05/48 FIXED 3                      | CUSIP: 3140Q9G64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     496470 | PA      | $442548.32     | 0.04%             | 2048-05-01      | Fixed         | 3.00%                 | 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    | 0.11%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RR0033 FR 10/40 FIXED 5.5            | CUSIP: 3142JCBB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     875988 | PA      | $893468.83     | 0.08%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080045 G2 02/27 FLOATING VAR              | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2254 | PA      | $2249.90       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688098 GN 11/38 FIXED 6                      | CUSIP: 36296DNP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2899 | PA      | $3006.89       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 749219 FN 10/33 FIXED 5.5                    | CUSIP: 31403HK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1237 | PA      | $1244.13       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0240 GN 04/45 FIXED 3.5                    | CUSIP: 36184KHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103787 | PA      | $97576.48      | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-HE1                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 A2        | CUSIP: 22540VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62438 | PA      | $60812.93      | 0.01%             | 2032-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256343 FN 06/26 FIXED 5                      | CUSIP: 31371MWC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        954 | PA      | $951.80        | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 834960 FN 07/35 FIXED 6                      | CUSIP: 31407MTR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2459 | PA      | $2525.69       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A83694 FG 12/38 FIXED 5.5            | CUSIP: 312930C73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37799 | PA      | $38046.72      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783646 FN 06/34 FIXED 5.5                    | CUSIP: 31405ATB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3653 | PA      | $3698.00       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B     | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187905 | PA      | $165593.00     | 0.01%             | 2046-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZL2783 FR 03/42 FIXED 3.5            | CUSIP: 3131XJCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2284 | PA      | $2162.71       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735654 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126590 | PA      | $127126.63     | 0.01%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782131 GN 12/36 FIXED 5.5                    | CUSIP: 36241KLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5461 | PA      | $5680.27       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5830 FN 09/40 FIXED 5.5                    | CUSIP: 31418FPQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     880080 | PA      | $897849.43     | 0.08%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689635 FN 02/33 FIXED 6                      | CUSIP: 31400KEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $191.62        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732933 GN 01/40 FIXED 5                      | CUSIP: 3620ALHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30439 | PA      | $30939.86      | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256946 FN 10/27 FIXED 6.5                    | CUSIP: 31371NL37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8198 | PA      | $8476.98       | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 322                                            | FREDDIEMAC STRIP FHS 322 V1                            | CUSIP: 3132HTY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1046973 | PA      | $953926.01     | 0.08%             | 2043-12-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 759477 FN 02/34 FIXED 5.5                    | CUSIP: 31403VXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4351 | PA      | $4396.73       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04631 FG 01/30 FIXED 6              | CUSIP: 3128M6PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5660 | PA      | $5777.76       | 0.00%             | 2030-01-01      | Fixed         | 6.00%                 | 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        |     830000 | PA      | $827017.19     | 0.07%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5646 FR 07/51 FIXED 3              | CUSIP: 3133KMHX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18285350 | PA      | $16113184.98   | 1.36%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI0141 FN 04/41 FIXED 4                      | CUSIP: 3138ADEP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662806 | PA      | $640654.11     | 0.05%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1             | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61777 | PA      | $59763.07      | 0.01%             | 2035-05-25      | Floating      | 5.16%                 | 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        |     578324 | PA      | $601320.05     | 0.05%             | 2048-12-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4094                                           | FREDDIE MAC FHR 4094 BZ                                | CUSIP: 3137ASV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2959505 | PA      | $2844254.40    | 0.24%             | 2032-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM8662 FN 08/51 FIXED VAR                    | CUSIP: 3140XCTU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3213643 | PA      | $2827549.55    | 0.24%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03240 FG 05/37 FIXED 5.5            | CUSIP: 3128M44Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2583 | PA      | $2670.16       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | 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        |    2648904 | PA      | $2595656.95    | 0.22%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-35                                                | FANNIE MAE FNR 2001 35 ZG                              | CUSIP: 313920SU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65586 | PA      | $67606.45      | 0.01%             | 2031-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782848 GN 08/39 FIXED 5.5                    | CUSIP: 36241LEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2701 | PA      | $2790.01       | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 974965 FN 04/38 FIXED 5                      | CUSIP: 31414STW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        836 | PA      | $845.08        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942283 FN 08/37 FIXED 6                      | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83130 | PA      | $87260.51      | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A24611 FG 06/34 FIXED 4.5            | CUSIP: 31297CDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $386.18        | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008949 G2 08/26 FLOATING VAR              | CUSIP: 36202K5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $691.52        | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545998 FN 11/32 FIXED VAR                    | CUSIP: 31385JRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8381 | PA      | $8620.48       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A83000 FG 11/38 FIXED 5.5            | CUSIP: 312929KM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12646 | PA      | $12975.81      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-2                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 2 A11 144A         | CUSIP: 46650TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     527480 | PA      | $518512.51     | 0.04%             | 2049-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A22      | CUSIP: 161631AX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1493197 | PA      | $620565.13     | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902851 FN 12/36 FIXED 6.5                    | CUSIP: 31411BBU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69233 | PA      | $72436.81      | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04692 FG 02/35 FIXED 5.5            | CUSIP: 3128M6RM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1153878 | PA      | $1182230.11    | 0.10%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.11750 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $767076.81     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR2                                  | GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1               | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100327 | PA      | $58993.44      | 0.00%             | 2036-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                            | FREDDIEMAC STRIP FHS 330 F4                            | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     406992 | PA      | $402185.00     | 0.03%             | 2037-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2570 G2 05/48 FIXED 4                   | CUSIP: 3617G82B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141189 | PA      | $133124.65     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886413 FN 08/36 FIXED 6.5                    | CUSIP: 31410DYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23633 | PA      | $24695.48      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5            | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257163 | PA      | $262060.73     | 0.02%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783292 GN 12/40 FIXED 6                      | CUSIP: 36241LUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21419 | PA      | $22576.51      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1339 FR 09/32 FIXED 3.5            | CUSIP: 3132ADPY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8321 | PA      | $8217.43       | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2107                                                  | FREDDIE MAC FHR 2107 G                                 | CUSIP: 3133TGZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10741 | PA      | $10753.51      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886048 FN 07/36 FIXED 6                      | CUSIP: 31410DL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11912 | PA      | $12468.41      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 19 IO          | CUSIP: 38373M6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582471 | PA      | $5.82          | 0.00%             | 2051-03-16      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2452                                                  | FREDDIE MAC FHR 2452 FG                                | CUSIP: 31392K6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $192.98        | 0.00%             | 2032-03-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256789 FN 06/27 FIXED 6.5                    | CUSIP: 31371NF67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3187 | PA      | $3295.03       | 0.00%             | 2027-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535126 FN 12/28 FIXED VAR                    | CUSIP: 31384VPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6516 | PA      | $6644.53       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT8165 FN 06/43 FIXED 4                      | CUSIP: 3138WWCB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1174621 | PA      | $1134910.30    | 0.10%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO9700 FN 07/42 FIXED 3.5                    | CUSIP: 3138M1X60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1047 | PA      | $988.61        | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46663 FG 08/35 FIXED 5              | CUSIP: 3128K7ML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47713 | PA      | $48355.99      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782294 GN 03/38 FIXED 5.5                    | CUSIP: 36241KRP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484479 | PA      | $503920.10     | 0.04%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10621 | PA      | $10314.87      | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713698 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3434 | PA      | $3452.91       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3              | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3218286 | PA      | $2836429.64    | 0.24%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A38107 FG 10/35 FIXED 4.5            | CUSIP: 31297UAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25073 | PA      | $24858.55      | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0940 FR 03/52 FIXED 3              | CUSIP: 3132DNBH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     428091 | PA      | $379845.63     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004058 G2 12/37 FIXED 5                   | CUSIP: 36202EQK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10770 | PA      | $10942.13      | 0.00%             | 2037-12-20      | Fixed         | 5.00%                 | 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        |   37230614 | PA      | $5629062.94    | 0.47%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A34515 FG 04/35 FIXED 4.5            | CUSIP: 31297QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1269 | PA      | $1258.57       | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB5640 GN 11/42 FIXED 3.5                    | CUSIP: 36178SHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9416 | PA      | $8831.22       | 0.00%             | 2042-11-15      | 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        |    1172949 | PA      | $1162914.34    | 0.10%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796797 FN 02/35 FIXED 5.5                    | CUSIP: 31405RGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49979 | PA      | $51098.58      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940639 FN 08/37 FIXED 6                      | CUSIP: 31413BPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8778 | PA      | $9192.22       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A96095 FG 01/41 FIXED 5.5            | CUSIP: 312944XY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28923 | PA      | $29538.39      | 0.00%             | 2041-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 695998 GN 07/38 FIXED 5.5                    | CUSIP: 36296NGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51772 | PA      | $53856.67      | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A       | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121036 | PA      | $23574.04      | 0.00%             | 2037-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700829 GN 10/38 FIXED 5.5                    | CUSIP: 36296TSS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1237 | PA      | $1263.71       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948564 FN 08/38 FIXED 6.5                    | CUSIP: 31413LJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72614 | PA      | $76175.41      | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5675 G2 07/48 FIXED 4                   | CUSIP: 3617GQJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     328541 | PA      | $318299.59     | 0.03%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 993549 FN 04/39 FIXED 4                      | CUSIP: 31415YWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58418 | PA      | $56421.32      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | 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        |      84735 | PA      | $18792.20      | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 730470 FN 08/33 FIXED 5.5                    | CUSIP: 31402JQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.01         | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254006 FN 10/31 FIXED 6                      | CUSIP: 31371KDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $119.76        | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A78296 FG 06/38 FIXED 5              | CUSIP: 3128LCGD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40047 | PA      | $39814.78      | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | 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        |     269122 | PA      | $249490.30     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080395 G2 04/30 FLOATING VAR              | CUSIP: 36225CNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192370 | PA      | $192020.74     | 0.02%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783076 GN 09/39 FIXED 6                      | CUSIP: 36241LMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        596 | PA      | $628.26        | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | 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        |     244170 | PA      | $227891.09     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | 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        |     435575 | PA      | $18508.73      | 0.00%             | 2045-11-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46280 FG 07/35 FIXED 5              | CUSIP: 3128K66R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129338 | PA      | $130731.17     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1       | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244876 | PA      | $238937.49     | 0.02%             | 2035-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03320 FG 09/37 FIXED 5.5            | CUSIP: 3128M5AV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7583 | PA      | $7833.67       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                                  | FREDDIE MAC FHR 2080 Z                                 | CUSIP: 3133TG3U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1707 | PA      | $1726.02       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764209 FN 04/34 FIXED 5.5                    | CUSIP: 31404CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3553 | PA      | $3625.17       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832864 FN 09/35 FIXED 5.5                    | CUSIP: 31407KJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        590 | PA      | $604.35        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03117 FG 11/36 FIXED 6.5            | CUSIP: 3128M4YN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40016 | PA      | $41703.84      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776975 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10557 | PA      | $10628.88      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658122 GN 10/36 FIXED 6.5                    | CUSIP: 36294SD38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2686 | PA      | $2836.78       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888352 FN 05/37 FIXED VAR                    | CUSIP: 31410F5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1157 | PA      | $1194.72       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                                           | FREDDIE MAC FHR 3598 JI                                | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37018 | PA      | $1647.84       | 0.00%             | 2037-10-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0809 G2 12/55 FIXED 3                   | CUSIP: 3618N53T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42801226 | PA      | $38258619.20   | 3.22%             | 2055-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2154 G2 03/48 FIXED 4                   | CUSIP: 3617GLMB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     213197 | PA      | $206550.43     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC2375 FN 10/38 FIXED 6.5                    | CUSIP: 31417LT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42754 | PA      | $44223.26      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | 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        |     325350 | PA      | $326938.00     | 0.03%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004924 G2 01/41 FIXED 5                   | CUSIP: 36202FPH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35630 | PA      | $36327.17      | 0.00%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810769 FN 01/35 FIXED 6                      | CUSIP: 31406HW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10605 | PA      | $10947.44      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | 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        |        232 | PA      | $239.27        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1      | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382022 | PA      | $353783.12     | 0.03%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A    | CUSIP: 126671ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637252 | PA      | $660766.93     | 0.06%             | 2032-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91255 FG 06/29 FIXED 4              | CUSIP: 3128P7MC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4600 | PA      | $4581.32       | 0.00%             | 2029-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3638 FN 08/44 FIXED VAR                    | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1270068 | PA      | $1228464.58    | 0.10%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5659 G2 04/48 FIXED 4                   | CUSIP: 3617G0JC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     904449 | PA      | $852844.62     | 0.07%             | 2048-04-20      | Fixed         | 4.00%                 | 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        |   12990998 | PA      | $11624919.27   | 0.98%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777820 FN 04/34 FIXED 5.5                    | CUSIP: 31404TDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26684 | PA      | $26830.47      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A           | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128416 | PA      | $118971.27     | 0.01%             | 2033-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002959 G2 08/30 FIXED 8.5                 | CUSIP: 36202DJC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2393 | PA      | $2499.94       | 0.00%             | 2030-08-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2338 FN 11/46 FIXED VAR                    | CUSIP: 3140XHS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4198753 | PA      | $3845390.73    | 0.32%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771034 FN 04/34 FIXED 5.5                    | CUSIP: 31404KSX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231468 | PA      | $232990.44     | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-28                                         | FANNIE MAE FNR 2013 28 YS                              | CUSIP: 3136AC5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2373389 | PA      | $268340.64     | 0.02%             | 2042-07-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9367 FN 08/33 FIXED 4.58                   | CUSIP: 3140LLMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1011586.89    | 0.09%             | 2033-08-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 920169 FN 09/36 FIXED 6.5                    | CUSIP: 31412BJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14041 | PA      | $14726.36      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 787216 FN 07/34 FIXED 5.5                    | CUSIP: 31405ESD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18016 | PA      | $18124.39      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080198 G2 05/28 FLOATING VAR              | CUSIP: 36225CGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1073.59       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1796 FH 12/35 FLOATING VAR         | CUSIP: 3128QJ7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157168 | PA      | $162630.83     | 0.01%             | 2035-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 819570 FN 04/35 FIXED 6                      | CUSIP: 31406TQX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62690 | PA      | $63926.16      | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986946 FN 09/38 FIXED 6                      | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1150 | PA      | $1192.00       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 901607 FN 11/36 FIXED 6.5                    | CUSIP: 31410YU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4867 | PA      | $5033.36       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A55128 FG 12/36 FIXED 5.5            | CUSIP: 3128KHVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3390 | PA      | $3436.82       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 617707 FN 05/32 FIXED 6                      | CUSIP: 31388XGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5311 | PA      | $5415.51       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01443 FG 01/33 FIXED 5.5            | CUSIP: 31292HS88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225345 | PA      | $233090.73     | 0.02%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27500 10/06/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $448785.52     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 774936 FN 04/34 FIXED 5.5                    | CUSIP: 31404P4V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13394 | PA      | $13470.72      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90133 FG 08/42 FIXED 4              | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2788444 | PA      | $2713713.17    | 0.23%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR2152 FN 02/43 FIXED 4                      | CUSIP: 3138NYMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54254 | PA      | $52777.50      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 507686 GN 07/30 FIXED 8.5                    | CUSIP: 36211A6X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7448 | PA      | $7524.72       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787010 FH 12/29 FLOATING VAR         | CUSIP: 31295KYF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        808 | PA      | $819.19        | 0.00%             | 2029-12-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05087 FG 01/37 FIXED 5              | CUSIP: 3128M66Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1854 | PA      | $1873.64       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | 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        |    1253360 | PA      | $1193390.57    | 0.10%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 1A1        | CUSIP: 07384MWW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35874 | PA      | $35494.72      | 0.00%             | 2033-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL AGRICULTURE MTG CORP HM-1021                              | FEDERAL AGRICULTURAL MORTGAGE AMBS HM 1021 1           | CUSIP: 31316XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18846 | PA      | $18992.05      | 0.00%             | 2030-04-25      | Fixed         | 8.85%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14805 FG 10/33 FIXED 5              | CUSIP: 31296PKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5015 | PA      | $5080.41       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2         | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12066 | PA      | $12126.50      | 0.00%             | 2033-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008909 G2 07/26 FLOATING VAR              | CUSIP: 36202K3S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $135.67        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1       | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244830 | PA      | $252168.09     | 0.02%             | 2034-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4070 FN 06/53 FIXED 5                      | CUSIP: 3140NLQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     388931 | PA      | $390173.99     | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | 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      | $1404457.24    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942463 FN 08/37 FIXED 6.5                    | CUSIP: 31413DQQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24550 | PA      | $25705.42      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                              | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 1A1          | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48211 | PA      | $47809.04      | 0.00%             | 2034-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781029 GN 05/29 FIXED 6.5                    | CUSIP: 36225BEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17667 | PA      | $18102.16      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -902 | NC      | $2016518.84    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783571 GN 12/33 FIXED 5                      | CUSIP: 36241L6G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8337 | PA      | $8444.67       | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 641967 GN 04/36 FIXED 5.5                    | CUSIP: 36291YFG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1832 | PA      | $1888.02       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06031 FG 03/40 FIXED 5.5            | CUSIP: 3128M8A87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97274 | PA      | $100178.82     | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254447 FN 09/32 FIXED 6                      | CUSIP: 31371KTC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2971 | PA      | $3054.43       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                    | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4960 | PA      | $4701.02       | 0.00%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662759 GN 12/36 FIXED 6.5                    | CUSIP: 36294XJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11207 | PA      | $11850.19      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 745636 GN 12/41 FIXED 4                      | CUSIP: 3620C1LR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11377 | PA      | $11024.25      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2084                                                  | FREDDIE MAC FHR 2084 ZC                                | CUSIP: 3133TG5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3928 | PA      | $3988.28       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1885 FN 12/33 FIXED 4                      | CUSIP: 3138XDCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     575270 | PA      | $564718.92     | 0.05%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A97218 FG 03/41 FIXED 5              | CUSIP: 312946AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249404 | PA      | $252510.58     | 0.02%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080636 G2 09/32 FLOATING VAR              | CUSIP: 36225CV60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68531 | PA      | $68538.19      | 0.01%             | 2032-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080074 G2 05/27 FLOATING VAR              | CUSIP: 36225CCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $185.81        | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784433 G2 02/48 FIXED 3.5                 | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4929537 | PA      | $4588955.04    | 0.39%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618650 GN 09/36 FIXED 6.5                    | CUSIP: 36290VH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $406.92        | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37326 FG 09/35 FIXED 5              | CUSIP: 31297TD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11289 | PA      | $11289.14      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 WO                                | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21427756 | PA      | $13740272.02   | 1.16%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0169 FN 01/57 FIXED 3.5                    | CUSIP: 3140FXFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5858012 | PA      | $5382021.91    | 0.45%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06951 FG 08/40 FIXED 5.5            | CUSIP: 3128M9BU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7427 | PA      | $7651.27       | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686876 GN 05/38 FIXED 6                      | CUSIP: 36296CCM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19614 | PA      | $20227.20      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 782244 FN 07/34 FIXED 5.5                    | CUSIP: 31404YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16388 | PA      | $16521.46      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.45250 03/08/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $238943.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q25578 FG 04/44 FIXED 4              | CUSIP: 3132M52K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76472 | PA      | $73993.82      | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8211 FN 05/28 FIXED 4.55                   | CUSIP: 3140LKDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $201591.10     | 0.02%             | 2028-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 785186 FN 06/34 FIXED 5.5                    | CUSIP: 31405CJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9206 | PA      | $9258.29       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A5        | CUSIP: 06050HKT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        396 | PA      | $387.29        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9178 FN 10/28 FIXED 5.73                   | CUSIP: 3140LLFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1122000 | PA      | $1165181.17    | 0.10%             | 2028-10-01      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545511 FN 12/31 FLOATING VAR                 | CUSIP: 31385JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        725 | PA      | $737.56        | 0.00%             | 2031-12-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 826082 FN 07/35 FLOATING VAR                 | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5228 | PA      | $5322.77       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 664543 GN 01/38 FIXED 6.5                    | CUSIP: 36295AHU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1450 | PA      | $1528.53       | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05326 FG 02/38 FIXED 5              | CUSIP: 3128M7HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     778101 | PA      | $786480.98     | 0.07%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 789552 FH 05/32 FLOATING VAR         | CUSIP: 31295NTH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3684 | PA      | $3752.42       | 0.00%             | 2032-05-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A37622 FG 09/35 FIXED 5.5            | CUSIP: 31297TPF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34944 | PA      | $35887.38      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A   | CUSIP: 16678RAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99352 | PA      | $94590.23      | 0.01%             | 2035-01-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 653158 GN 04/36 FIXED 5.5                    | CUSIP: 36292MTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1536 | PA      | $1586.01       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781920 GN 05/35 FIXED 5.5                    | CUSIP: 36241KDZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2002 | PA      | $2058.37       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779479 FN 06/34 FIXED 5.5                    | CUSIP: 31404U6Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13239 | PA      | $13315.52      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899495 FN 05/37 FIXED 6                      | CUSIP: 31410WKG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62025 | PA      | $64027.33      | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725495 FN 02/34 FLOATING VAR                 | CUSIP: 31402C7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4546 | PA      | $4619.65       | 0.00%             | 2034-02-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782280 GN 02/38 FIXED 5.5                    | CUSIP: 36241KQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4297 | PA      | $4470.23       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.13500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $754752.93     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080102 G2 08/27 FLOATING VAR              | CUSIP: 36225CDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        573 | PA      | $573.69        | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW4752 FN 06/44 FIXED 5                      | CUSIP: 3138XUH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44880 | PA      | $45300.80      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786384 FN 07/34 FIXED 6                      | CUSIP: 31405DUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218790 | PA      | $228828.28     | 0.02%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4256 FN 02/51 FIXED 2.5                    | CUSIP: 31418DWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2270563 | PA      | $1929962.71    | 0.16%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1       | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36167 | PA      | $34456.14      | 0.00%             | 2035-05-25      | Floating      | 4.23%                 | 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        |  -14507548 | PA      | $-11688776.69  | -0.98%            | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 471809 GN 03/28 FIXED 6.5                    | CUSIP: 36209HDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $718.44        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0302 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3KP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     520117 | PA      | $483886.97     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0480 G2 07/55 FIXED 3                   | CUSIP: 3618N5RA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25580809 | PA      | $22869847.16   | 1.93%             | 2055-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR6606 GN 02/50 FIXED 3                      | CUSIP: 3617M5KT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     223284 | PA      | $199597.29     | 0.02%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928206 FN 04/37 FIXED 6                      | CUSIP: 31412LGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2373 | PA      | $2490.62       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF9539 G2 04/48 FIXED 3.5                 | CUSIP: 3617GGS48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     649040 | PA      | $604060.57     | 0.05%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                           | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1       | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37785 | PA      | $36839.05      | 0.00%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080187 G2 04/28 FLOATING VAR              | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1022 | PA      | $1021.05       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1513 FN 06/53 FIXED 5                      | CUSIP: 3140NHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337337 | PA      | $336187.66     | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5653 G2 12/48 FIXED 5                   | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178606 | PA      | $180111.68     | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1         | CUSIP: 05946XXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174277 | PA      | $167121.29     | 0.01%             | 2035-05-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323362 FN 11/28 FIXED VAR                    | CUSIP: 31374TFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $785.07        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | 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        |   42900000 | PA      | $41398616.69   | 3.49%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 893888 FN 10/36 FIXED 6                      | CUSIP: 31410QCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $307.90        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7020 FR 03/52 FIXED 2.5            | CUSIP: 3133KNYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268450 | PA      | $228976.44     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT0861 GN 03/50 FIXED 3                      | CUSIP: 3617MN5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3448032 | PA      | $3082219.53    | 0.26%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949728 FN 09/37 FIXED 6.5                    | CUSIP: 31413MSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7688 | PA      | $7950.72       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04837 FG 09/37 FIXED 5.5            | CUSIP: 3128M6V62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1636 | PA      | $1690.89       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5162 FR 06/42 FIXED 3              | CUSIP: 3133KYWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5738301 | PA      | $5325986.02    | 0.45%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003013 G2 12/30 FIXED 8.5                 | CUSIP: 36202DK26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        188 | PA      | $196.15        | 0.00%             | 2030-12-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG3914 G2 05/48 FIXED 3.5                 | CUSIP: 3617GNK33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347893 | PA      | $323654.35     | 0.03%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0681 G2 10/55 FIXED 3                   | CUSIP: 3618N5XK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17701988 | PA      | $15825995.33   | 1.33%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784041 GN 08/45 FIXED 4                      | CUSIP: 3622A2P22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2486774 | PA      | $2423063.69    | 0.20%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080221 G2 08/28 FLOATING VAR              | CUSIP: 36225CG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $773.14        | 0.00%             | 2028-08-20      | Floating      | 5.38%                 | 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        |     359893 | PA      | $348471.49     | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848408 FN 12/35 FIXED 6                      | CUSIP: 31408DR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2407 | PA      | $2518.72       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357515 FN 03/34 FIXED 5.5                    | CUSIP: 31376KDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4607 | PA      | $4647.87       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806313 FN 11/34 FIXED 6                      | CUSIP: 31406CYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4427 | PA      | $4563.15       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256653 FN 03/27 FIXED 6.5                    | CUSIP: 31371NBW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        602 | PA      | $622.71        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04585 FG 02/38 FIXED 5.5            | CUSIP: 3128M6NA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4442 | PA      | $4592.53       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782350 GN 06/38 FIXED 5.5                    | CUSIP: 36241KTF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37344 | PA      | $38848.85      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 759000 FN 01/34 FIXED 5.5                    | CUSIP: 31403VGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29783 | PA      | $29953.71      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 E A1         | CUSIP: 06050HJH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14744 | PA      | $14904.23      | 0.00%             | 2031-06-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776396 FN 04/34 FIXED 5.5                    | CUSIP: 31404RRR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3013 | PA      | $3106.38       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04573 FG 07/38 FIXED 5.5            | CUSIP: 3128M6MW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14785 | PA      | $15226.33      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4010 FN 07/43 FIXED VAR                    | CUSIP: 3138ELN41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $477.81        | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783177 GN 09/40 FIXED 4.5                    | CUSIP: 36241LQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19497 | PA      | $19396.98      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                | FANNIE MAE FNR 1997 79 PL                              | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13695 | PA      | $13703.91      | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21      | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420540 | PA      | $144316.70     | 0.01%             | 2035-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677309 GN 09/38 FIXED 6.5                    | CUSIP: 36295QN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9672 | PA      | $10245.47      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3862 FN 01/38 FIXED 3                      | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2621721 | PA      | $2468243.53    | 0.21%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758788 FN 12/33 FIXED 5.5                    | CUSIP: 31403U6Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17047 | PA      | $17197.27      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4015 FN 06/53 FIXED 5                      | CUSIP: 3140NLN96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114505 | PA      | $114553.67     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05329 FG 03/39 FIXED 4.5            | CUSIP: 3128M7HE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69564 | PA      | $68969.44      | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 690977 GN 05/38 FIXED 5.5                    | CUSIP: 36296GUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        540 | PA      | $555.33        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AW8634 G2 04/47 FIXED 3.5                 | CUSIP: 36195XSX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238071 | PA      | $221571.86     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 067697 FN 11/28 FLOATING VAR                 | CUSIP: 31362QGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6732 | PA      | $6654.93       | 0.00%             | 2028-11-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782404 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46167 | PA      | $48022.06      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 634253 FN 03/32 FIXED 6.5                    | CUSIP: 31389STJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5938 | PA      | $6140.81       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030447<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53675000 | PA      | $51270399.18   | 4.32%             | 2041-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675059 GN 01/38 FIXED 5.5                    | CUSIP: 36295M5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19998 | PA      | $20664.21      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                                         | FANNIE MAE FNR 2014 45 SA                              | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226426 | PA      | $16514.23      | 0.00%             | 2044-08-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7001 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     779424 | PA      | $665220.20     | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-17                                         | FANNIE MAE FNR 2016 17 CS                              | CUSIP: 3136ARWA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234483 | PA      | $11151.96      | 0.00%             | 2046-04-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683112 FN 02/33 FIXED 5.5                    | CUSIP: 31400B3V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2683 | PA      | $2698.36       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002591 G2 05/28 FIXED 7                   | CUSIP: 36202C2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        451 | PA      | $464.68        | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1       | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125838 | PA      | $120376.64     | 0.01%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676842 GN 05/38 FIXED 5.5                    | CUSIP: 36295P5B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25738 | PA      | $26773.78      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08111 FG 02/36 FIXED 5.5            | CUSIP: 3128MJDR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15223 | PA      | $15736.91      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01623 FG 09/33 FIXED 5.5            | CUSIP: 31292HYU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $169.01        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0441 FN 05/40 FIXED VAR                    | CUSIP: 31419AP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268227 | PA      | $284576.34     | 0.02%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A2A       | CUSIP: 41161PFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320126 | PA      | $300376.91     | 0.03%             | 2034-08-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918178 FN 05/37 FIXED 6                      | CUSIP: 31411YCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $696.92        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1         | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     977308 | PA      | $942879.23     | 0.08%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735504 FN 04/35 FIXED VAR                    | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47880 | PA      | $49351.90      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 505641 FN 06/29 FLOATING VAR                 | CUSIP: 31383KWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3922 | PA      | $3972.19       | 0.00%             | 2029-06-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI8200 G2 09/48 FIXED 4.5                 | CUSIP: 3617HJDD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173668 | PA      | $168187.70     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BR8465 FN 04/51 FIXED 2.5                    | CUSIP: 3140L7MP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1833648 | PA      | $1558021.35    | 0.13%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10        | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349431 | PA      | $325309.45     | 0.03%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2385                                                  | FREDDIE MAC FHR 2385 FA                                | CUSIP: 31339L4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114281 | PA      | $115237.44     | 0.01%             | 2031-04-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555640 FN 07/33 FIXED VAR                    | CUSIP: 31385XHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1322 | PA      | $1359.33       | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 467628 GN 03/29 FIXED 6.5                    | CUSIP: 36209CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $707.47        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA4216 FR 12/50 FIXED 2.5            | CUSIP: 3133KKVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4001368 | PA      | $3398349.20    | 0.29%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9545 FN 10/31 FIXED 4                      | CUSIP: 3138APTB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21731 | PA      | $21453.48      | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5084 FR 06/53 FIXED 5              | CUSIP: 3133C5UH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106756 | PA      | $106727.16     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782754 GN 09/39 FIXED 6                      | CUSIP: 36241LBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2027 | PA      | $2138.14       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                                  | FREDDIE MAC FHR 2104 ZM                                | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20287 | PA      | $20650.72      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 3A          | CUSIP: 86359BWG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8079 | PA      | $7893.21       | 0.00%             | 2034-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI2052 FN 05/41 FIXED 4                      | CUSIP: 3138AFH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     461431 | PA      | $445911.67     | 0.04%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783024 GN 07/40 FIXED 5                      | CUSIP: 36241LLD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18789 | PA      | $19187.96      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 513655 GN 08/29 FIXED 6.5                    | CUSIP: 36211HTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3091 | PA      | $3163.45       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA3813 G2 07/47 FIXED 3.5                 | CUSIP: 3617AGGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416766 | PA      | $387732.10     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.99750 09/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $495050.17     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A MV1                     | CUSIP: 152314ER7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159675 | PA      | $176646.30     | 0.01%             | 2032-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A4      | CUSIP: 92922F4D7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70955 | PA      | $67417.87      | 0.01%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02162 FG 05/36 FIXED 5.5            | CUSIP: 3128LXMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8323 | PA      | $8603.79       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS8787 FN 02/32 FIXED 2                      | CUSIP: 3138WJXR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12499 | PA      | $11885.43      | 0.00%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 440805 FN 09/28 FIXED 6                      | CUSIP: 31380HU62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $68.25         | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                               | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1          | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77461 | PA      | $44796.73      | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | 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      | $-28625.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03052 FG 06/37 FIXED 5.5            | CUSIP: 3128M4WM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2154 | PA      | $2226.96       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7152 FN 02/28 VARIABLE                     | CUSIP: 3140JB5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5983789 | PA      | $5972235.66    | 0.50%             | 2028-02-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 068530 FN 09/27 FLOATING VAR                 | CUSIP: 31362REB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $28.99         | 0.00%             | 2027-09-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080397 G2 04/30 FLOATING VAR              | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9497 | PA      | $9511.81       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7402 FN 06/39 FIXED 4.5                    | CUSIP: 31416RGL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204549 | PA      | $202546.93     | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC4                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC4 M5       | CUSIP: 76112BC81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134290 | PA      | $1124056.52    | 0.09%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01953 FG 10/35 FIXED 4.5            | CUSIP: 3128LXE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114831 | PA      | $113850.58     | 0.01%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2503                                                  | FREDDIE MAC FHR 2503 PZ                                | CUSIP: 31392UMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8664 | PA      | $8939.87       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | 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        |   24999922 | PA      | $21940746.04   | 1.85%             | 2056-05-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                             | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1         | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268714 | PA      | $267629.49     | 0.02%             | 2032-08-25      | Floating      | 4.43%                 | 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        |    5387096 | PA      | $722324.50     | 0.06%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                             | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A        | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31623 | PA      | $13317.08      | 0.00%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 772350 FN 03/34 FIXED 5.5                    | CUSIP: 31404MBT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41414 | PA      | $41652.95      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 759098 FN 01/34 FIXED 5.5                    | CUSIP: 31403VKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $96.33         | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2053                                                  | FREDDIE MAC FHR 2053 Z                                 | CUSIP: 3133TDE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5497 | PA      | $5531.22       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR         | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        984 | PA      | $999.95        | 0.00%             | 2030-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -36870000 | PA      | $-33764980.05  | -2.84%            | 2056-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE6600 GN 06/43 FIXED 3.5                    | CUSIP: 36181AKM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38364 | PA      | $36001.06      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1       | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672088 | PA      | $603336.33     | 0.05%             | 2045-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2414 G2 04/48 FIXED 4                   | CUSIP: 3617GLVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142443 | PA      | $134307.91     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7772 FN 11/35 FIXED VAR                    | CUSIP: 3138EQT69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2378507 | PA      | $2330252.00    | 0.20%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7589 G2 09/51 FIXED 2.5                 | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31751469 | PA      | $27364575.46   | 2.31%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005176 G2 09/41 FIXED 5                   | CUSIP: 36202FXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4131 | PA      | $4203.22       | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783638 GN 07/41 FIXED 5.5                    | CUSIP: 3622A2BF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9873 | PA      | $10227.03      | 0.00%             | 2041-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678888 FN 01/33 FIXED 6                      | CUSIP: 31391WF55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4509 | PA      | $4599.36       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                              | FREDDIE MAC FHR 2142 Z                                 | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5905 | PA      | $5940.27       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01883 FG 08/35 FIXED 5              | CUSIP: 3128LXCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        251 | PA      | $253.91        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | 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        |     157572 | PA      | $12719.60      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668895 FN 10/32 FIXED 6                      | CUSIP: 31391KC88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5099 | PA      | $5200.12       | 0.00%             | 2032-10-01      | 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        |     891419 | PA      | $584093.30     | 0.05%             | 2045-10-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH7500 FN 11/47 FIXED 3.5                    | CUSIP: 3140GWKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1279796 | PA      | $1182070.67    | 0.10%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV2                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV2 A3B 144A | CUSIP: 17331WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1253376 | PA      | $1278191.38    | 0.11%             | 2054-06-25      | Variable      | 6.50%                 | 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        |     196276 | PA      | $186372.62     | 0.02%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                  | FREDDIE MAC FHR 2177 F                                 | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $121.73        | 0.00%             | 2029-08-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800747 FN 10/34 FIXED 5.5                    | CUSIP: 31405VTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48404 | PA      | $48758.15      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A2             | CUSIP: 5899292N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1956 | PA      | $1938.65       | 0.00%             | 2028-10-25      | Floating      | 4.86%                 | 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        |     210890 | PA      | $205452.61     | 0.02%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05179 FG 01/39 FIXED 5.5            | CUSIP: 3128M7CQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     504591 | PA      | $521097.80     | 0.04%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                 | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     172721 | PA      | $170264.69     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04633 FG 01/37 FIXED 5              | CUSIP: 3128M6PS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3108 | PA      | $3140.44       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD2154 FN 05/40 FIXED 5                      | CUSIP: 31418PMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99866 | PA      | $100023.78     | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-NC1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1        | CUSIP: 04542BAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83966 | PA      | $86322.10      | 0.01%             | 2032-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923142 FN 04/36 FIXED 6                      | CUSIP: 31412ES72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37797 | PA      | $38549.72      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 410836 FH 08/30 FLOATING VAR         | CUSIP: 31337A4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $144.36        | 0.00%             | 2030-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 081404 G2 07/35 FLOATING VAR              | CUSIP: 36225DR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99281 | PA      | $99293.97      | 0.01%             | 2035-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782889 GN 02/40 FIXED 5                      | CUSIP: 36241LF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51466 | PA      | $52563.80      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 517675 FN 07/29 FIXED 6.5                    | CUSIP: 31384ACL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $165.99        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04538 FG 03/38 FIXED 5.5            | CUSIP: 3128M6LT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        834 | PA      | $858.49        | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14624 FG 10/33 FIXED 5              | CUSIP: 31296PD58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1302 | PA      | $1319.09       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE7017 GN 06/43 FIXED 3.5                    | CUSIP: 36181AYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2173203 | PA      | $2033859.80    | 0.17%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535533 FN 10/30 FIXED VAR                    | CUSIP: 31384V4S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1751 | PA      | $1819.01       | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A       | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2084 | PA      | $1988.81       | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764521 FN 05/34 FIXED 5.5                    | CUSIP: 31404CLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3607 | PA      | $3763.49       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | 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        |     511441 | PA      | $509029.38     | 0.04%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080283 G2 05/29 FLOATING VAR              | CUSIP: 36225CJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4809 | PA      | $4802.11       | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5            | CUSIP: 3128M5ED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76289 | PA      | $78866.33      | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4695 FN 07/42 FIXED 3                      | CUSIP: 31418EGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132489 | PA      | $122148.98     | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800929 FN 10/34 FIXED 5.5                    | CUSIP: 31405VY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7166 | PA      | $7205.09       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617710 GN 09/37 FIXED 6.5                    | CUSIP: 36290UGT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3969 | PA      | $4165.45       | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782150 GN 04/37 FIXED 5.5                    | CUSIP: 36241KL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20131 | PA      | $20841.86      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806506 FN 10/44 FLOATING VAR                 | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36283 | PA      | $36723.96      | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719769 GN 02/40 FIXED 6                      | CUSIP: 3620A5T25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2246 | PA      | $2314.84       | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1026 FN 02/52 FIXED VAR                    | CUSIP: 3140XGD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181703 | PA      | $160208.52     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA8528 FN 01/51 FIXED 2.5                    | CUSIP: 3140QGPN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4256994 | PA      | $3596025.80    | 0.30%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD         | CUSIP: 38380QHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7558562 | PA      | $7662989.83    | 0.65%             | 2070-08-20      | Floating      | 4.83%                 | 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        |     235770 | PA      | $228331.26     | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF3074 G2 07/48 FIXED 4                   | CUSIP: 3617G9MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25558 | PA      | $24098.23      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                 | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2         | CUSIP: 07384YGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71859 | PA      | $72024.18      | 0.01%             | 2042-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 543845 FN 07/30 FIXED 8                      | CUSIP: 31385GES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        775 | PA      | $799.60        | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 696940 FN 04/33 FIXED 5.5                    | CUSIP: 31400THR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2040 | PA      | $2051.22       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04458 FG 06/38 FIXED 5.5            | CUSIP: 3128M6JB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2752 | PA      | $2832.91       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS9302 FN 03/37 FIXED 4                      | CUSIP: 3138WKKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1784853 | PA      | $1757511.77    | 0.15%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002826 G2 10/29 FIXED 8                   | CUSIP: 36202DD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2142 | PA      | $2208.40       | 0.00%             | 2029-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782144 GN 02/37 FIXED 6                      | CUSIP: 36241KLZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1480 | PA      | $1559.88       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05923 FG 02/40 FIXED 5.5            | CUSIP: 3128M74G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3716 | PA      | $3827.17       | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 456455 FN 01/29 FIXED 6.5                    | CUSIP: 31381CBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $134.63        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 780443 FH 03/33 FLOATING VAR         | CUSIP: 31342AP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20231 | PA      | $20649.22      | 0.00%             | 2033-03-01      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5            | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147122 | PA      | $151620.69     | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0264 FN 12/29 FIXED 4.5                    | CUSIP: 31417YJJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10168 | PA      | $10208.84      | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778871 FN 06/34 FIXED 5.5                    | CUSIP: 31404UJQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63467 | PA      | $64157.08      | 0.01%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6527 G2 02/48 FIXED 3.5                 | CUSIP: 3617G1HC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     508532 | PA      | $472665.60     | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91389 FG 08/31 FIXED 4              | CUSIP: 3128P7RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4917 | PA      | $4892.35       | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544860 FN 09/34 FLOATING VAR                 | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        769 | PA      | $762.25        | 0.00%             | 2034-09-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01818 FG 05/35 FIXED 5              | CUSIP: 3128LXAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     644071 | PA      | $650475.93     | 0.05%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03964 FG 02/38 FIXED 5.5            | CUSIP: 3128M5WZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8003 | PA      | $8247.99       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735883 FN 03/33 FIXED VAR                    | CUSIP: 31402RRC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9090 | PA      | $9383.60       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692176 GN 07/39 FIXED 6.5                    | CUSIP: 36296H6M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $377.56        | 0.00%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A1        | CUSIP: 41161PHE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13635 | PA      | $11570.25      | 0.00%             | 2034-11-19      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931056 FN 05/35 FIXED 5.5                    | CUSIP: 31412PMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37767 | PA      | $37972.03      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03202 FG 09/37 FIXED 5.5            | CUSIP: 3128M43K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8565 | PA      | $8851.29       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604712 GN 10/33 FIXED 5                      | CUSIP: 36200MYH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $809.56        | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008849 G2 04/26 FLOATING VAR              | CUSIP: 36202KZN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $27.46         | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986648 FN 09/37 FIXED 6                      | CUSIP: 31415RBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3155 | PA      | $3298.60       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8329 G2 08/47 FIXED 3.5                 | CUSIP: 3617B0HE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     589424 | PA      | $548355.33     | 0.05%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 606323 GN 06/36 FIXED 5.5                    | CUSIP: 36201XSL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9522 | PA      | $9905.02       | 0.00%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256639 FN 02/27 FIXED 5                      | CUSIP: 31371NBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        928 | PA      | $928.01        | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003029 G2 01/31 FIXED 8.5                 | CUSIP: 36202DLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2759 | PA      | $2876.43       | 0.00%             | 2031-01-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05860 FG 02/40 FIXED 5.5            | CUSIP: 3128M7ZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10394 | PA      | $10701.02      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1238866.15    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683288 FN 02/33 FIXED 5.5                    | CUSIP: 31400CCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $383.27        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04604 FG 12/34 FIXED 5.5            | CUSIP: 3128M6NV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5884 | PA      | $6030.87       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01515 FG 02/33 FIXED 5              | CUSIP: 31283HVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        207 | PA      | $209.47        | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672391 GN 12/37 FIXED 6                      | CUSIP: 36295J7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1380.50       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02308 FG 09/36 FIXED 5.5            | CUSIP: 3128LXR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1941 | PA      | $2006.96       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BP6203 GN 11/49 FIXED 3.5                    | CUSIP: 3617LC3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     492976 | PA      | $454160.83     | 0.04%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 631530 GN 07/34 FIXED 5                      | CUSIP: 36291LST3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $1002.80       | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | 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        |     747962 | PA      | $77778.52      | 0.01%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 811801 FN 02/35 FLOATING VAR                 | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11354 | PA      | $11619.97      | 0.00%             | 2035-02-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 665647 FN 10/32 FIXED 6.5                    | CUSIP: 31391FP85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1182 | PA      | $1222.17       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01737 FG 12/34 FIXED 5              | CUSIP: 31283H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1797 | PA      | $1820.57       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | 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        |     256840 | PA      | $236649.26     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 657144 GN 04/37 FIXED 6                      | CUSIP: 36294RBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1045 | PA      | $1075.80       | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                         | FANNIE MAE FNR 2014 47 BI                              | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     527272 | PA      | $26705.38      | 0.00%             | 2054-08-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545980 FN 06/32 FLOATING VAR                 | CUSIP: 31385JQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6251 | PA      | $6384.76       | 0.00%             | 2032-06-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR         | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3243 | PA      | $3328.43       | 0.00%             | 2035-08-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU0485 FN 06/43 FIXED 4                      | CUSIP: 3138WZRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     548990 | PA      | $531563.87     | 0.04%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775217 FN 05/34 FIXED 5.5                    | CUSIP: 31404QG29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17958 | PA      | $18061.74      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004795 G2 09/40 FIXED 4                   | CUSIP: 36202FKG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70113 | PA      | $66163.30      | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                              | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1          | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3770 | PA      | $3723.50       | 0.00%             | 2033-10-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949069 FN 09/37 FIXED 6.5                    | CUSIP: 31413L2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9001 | PA      | $9454.56       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486844 GN 01/29 FIXED 6.5                    | CUSIP: 36210AZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        860 | PA      | $868.02        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0185 FN 08/39 FIXED 5.5                    | CUSIP: 31417YF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     671437 | PA      | $672320.46     | 0.06%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 704664 FN 04/33 FIXED 5.5                    | CUSIP: 31401CZ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5219 | PA      | $5248.59       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 599357 GN 01/33 FIXED 5.5                    | CUSIP: 36200EZW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1836 | PA      | $1891.72       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI          | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     298797 | PA      | $13828.97      | 0.00%             | 2045-12-20      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550876 GN 09/31 FIXED 5.5                    | CUSIP: 36213C6M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $353.00        | 0.00%             | 2031-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922213 FN 11/36 FIXED 5.5                    | CUSIP: 31412DSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3771 | PA      | $3789.95       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080264 G2 03/29 FLOATING VAR              | CUSIP: 36225CJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $74.32         | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765414 FN 08/34 FIXED 6.5                    | CUSIP: 31404DK31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        522 | PA      | $544.44        | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72186 | PA      | $68481.47      | 0.01%             | 2032-09-19      | Floating      | 4.45%                 | 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        |     435164 | PA      | $415943.92     | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670978 GN 11/37 FIXED 6.5                    | CUSIP: 36295HM31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27688 | PA      | $29297.22      | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080392 G2 04/30 FLOATING VAR              | CUSIP: 36225CNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3837 | PA      | $3829.48       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 FA                              | CUSIP: 3136B6Z48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9660778 | PA      | $9534156.84    | 0.80%             | 2059-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254796 FN 07/33 FIXED 6.5                    | CUSIP: 31371K7H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2594.80       | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-53                                                | FANNIE MAE FNR 2002 53 FK                              | CUSIP: 31392EHN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $135.01        | 0.00%             | 2032-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1        | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30085 | PA      | $29806.13      | 0.00%             | 2033-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56000 04/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-209155.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QA4115 FR 11/49 FIXED 3              | CUSIP: 31339USC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2570417 | PA      | $2306079.50    | 0.19%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254676 FN 03/33 FIXED 6                      | CUSIP: 31371K2H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        898 | PA      | $925.07        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01200 11/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $681295.91     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-1                                      | VENDEE MORTGAGE TRUST VENDE 2000 1 1A                  | CUSIP: 911760NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40962 | PA      | $41778.87      | 0.00%             | 2030-01-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933505 FN 02/38 FIXED 6                      | CUSIP: 31412SR23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48184 | PA      | $49661.79      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 734431 GN 05/41 FIXED 4.5                    | CUSIP: 3620AM4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1866 | PA      | $1841.06       | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A       | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395800 | PA      | $368472.51     | 0.03%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946731 FN 09/37 FIXED 6.5                    | CUSIP: 31413JHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $287.47        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2893 G2 06/48 FIXED 4                   | CUSIP: 3617G9GA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95977 | PA      | $90480.41      | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1670 G2 06/48 FIXED 4                   | CUSIP: 3617BU2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     346411 | PA      | $335610.43     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 508450 GN 02/31 FIXED 7.5                    | CUSIP: 36211BZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        472 | PA      | $480.74        | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                  | FREDDIE MAC FHR 2395 FT                                | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4154 | PA      | $4149.25       | 0.00%             | 2031-12-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9746 FN 10/28 FIXED 5.61                   | CUSIP: 3140LLZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392000 | PA      | $394091.69     | 0.03%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809297 FN 02/35 FIXED 5.5                    | CUSIP: 31406GDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11163 | PA      | $11525.92      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531306 GN 08/30 FIXED 8.5                    | CUSIP: 36212EGP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9222 | PA      | $9480.50       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01446 FG 06/41 FIXED 5              | CUSIP: 3132GETB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10463 | PA      | $10583.57      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 547428 FN 06/30 FLOATING VAR                 | CUSIP: 31385ND97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6067 | PA      | $6166.86       | 0.00%             | 2030-06-01      | Floating      | 6.39%                 | 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        |    1460100 | PA      | $8001.50       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080428 G2 07/30 FLOATING VAR              | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64482 | PA      | $64492.95      | 0.01%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 530071 GN 08/30 FIXED 8.5                    | CUSIP: 36212C2C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        239 | PA      | $241.76        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02620 FG 02/37 FIXED 5.5            | CUSIP: 3128M4G56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $494.62        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | 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        |   73000000 | PA      | $74276920.38   | 6.26%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 751203 FN 01/34 FIXED 5.5                    | CUSIP: 31403KRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2316 | PA      | $2328.65       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                               | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1            | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105989 | PA      | $108010.41     | 0.01%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                  | FREDDIE MAC FHR 2411 FJ                                | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14281 | PA      | $14249.35      | 0.00%             | 2029-12-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AX2582 GN 02/47 FIXED 3                      | CUSIP: 36196D2P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64001 | PA      | $57520.91      | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 825393 FN 06/35 FIXED 6                      | CUSIP: 31407A7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7901 | PA      | $8085.32       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 907337 FN 03/37 FIXED 6                      | CUSIP: 31411GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4756 | PA      | $4874.53       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 968521 FN 12/37 FIXED 6.5                    | CUSIP: 31414KPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4939 | PA      | $5145.86       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 707895 GN 04/39 FIXED 5                      | CUSIP: 36297CNL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98918 | PA      | $100952.94     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ9327 FN 01/42 FIXED 3.5                    | CUSIP: 3138E2LH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101271 | PA      | $95908.12      | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758789 FN 12/33 FIXED 5.5                    | CUSIP: 31403U7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4637 | PA      | $4684.22       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2189                                                  | FREDDIE MAC FHR 2189 F                                 | CUSIP: 3133TLXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11587 | PA      | $11631.34      | 0.00%             | 2027-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889466 FN 05/38 FIXED VAR                    | CUSIP: 31410KFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4270 | PA      | $4481.97       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781205 GN 07/30 FIXED 8.5                    | CUSIP: 36225BKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1105.08       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A1 144A   | CUSIP: 16678RBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54285 | PA      | $53291.73      | 0.00%             | 2035-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 846942 FH 02/31 FLOATING VAR         | CUSIP: 3128HDWB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.97          | 0.00%             | 2031-02-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD5638 GN 05/43 FIXED 4                      | CUSIP: 36180HHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19846 | PA      | $18915.14      | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769663 FN 04/34 FIXED 5.5                    | CUSIP: 31404JB87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5100 | PA      | $5127.35       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02085 FG 03/36 FIXED 6              | CUSIP: 3128LXJ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $832.59        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080109 G2 08/27 FLOATING VAR              | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $480.19        | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008848 G2 04/26 FLOATING VAR              | CUSIP: 36202KZM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.47         | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080604 G2 05/32 FLOATING VAR              | CUSIP: 36225CU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68679 | PA      | $69569.13      | 0.01%             | 2032-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658219 GN 12/36 FIXED 6.5                    | CUSIP: 36294SG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1888 | PA      | $2036.28       | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | 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        |     580825 | PA      | $24576.21      | 0.00%             | 2045-09-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56735 FG 01/37 FIXED 5.5            | CUSIP: 3128KKPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        467 | PA      | $481.27        | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902610 FN 11/36 FIXED 6                      | CUSIP: 31411AYF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1009 | PA      | $1056.03       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949054 FN 09/37 FIXED 6.5                    | CUSIP: 31413LZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4746 | PA      | $4967.48       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3             | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439551 | PA      | $417770.19     | 0.04%             | 2035-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799982 FN 12/34 FIXED 5.5                    | CUSIP: 31405UXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.17          | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257163 FN 04/28 FIXED 5                      | CUSIP: 31371NTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27749 | PA      | $27869.20      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080387 G2 03/30 FLOATING VAR              | CUSIP: 36225CND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3705 | PA      | $3712.36       | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080444 G2 08/30 FLOATING VAR              | CUSIP: 36225CP67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3449 | PA      | $3467.92       | 0.00%             | 2030-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA8498 FN 07/37 FIXED 5.5                    | CUSIP: 31416SNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76282 | PA      | $77895.34      | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7A                                    | SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A           | CUSIP: 78442GHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     936582 | PA      | $927541.97     | 0.08%             | 2033-12-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2004-K                                | WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 K 2A3        | CUSIP: 94981VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4415 | PA      | $4532.28       | 0.00%             | 2034-07-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0406 FN 02/47 FIXED VAR                    | CUSIP: 3140XFNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800733 | PA      | $732547.90     | 0.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA8482 G2 06/47 FIXED 3.5                 | CUSIP: 3617AMM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     324733 | PA      | $302113.91     | 0.03%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754785 FN 04/34 FIXED 5.5                    | CUSIP: 31403QRE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14879 | PA      | $14964.77      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A15539 FG 11/33 FIXED 5.5            | CUSIP: 31296QEL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119413 | PA      | $120205.47     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 845357 FN 01/36 FIXED 6                      | CUSIP: 31408AE63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        948 | PA      | $966.48        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | 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        |      92266 | PA      | $4809.51       | 0.00%             | 2037-03-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764322 GN 11/41 FIXED 3.5                    | CUSIP: 36176E4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2568 | PA      | $2427.01       | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A68524 FG 11/37 FIXED 6              | CUSIP: 3128L0PH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2126 | PA      | $2170.35       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781261 GN 02/31 FIXED 7.5                    | CUSIP: 36225BMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.48         | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C60346 FG 10/31 FIXED 6.5            | CUSIP: 31298YL33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3425 | PA      | $3546.18       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01428 FG 11/32 FIXED 5.5            | CUSIP: 31292HSR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $395.04        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831952 FN 11/36 FIXED 6.5                    | CUSIP: 31407JH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9835 | PA      | $10298.98      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677596 GN 12/37 FIXED 6                      | CUSIP: 36295QXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1056 | PA      | $1089.99       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-59                                                | FANNIE MAE FNR 1998 59 Z                               | CUSIP: 31359UB53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4555 | PA      | $4616.06       | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ7035 G2 04/47 FIXED 3.5                 | CUSIP: 36197KY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     345777 | PA      | $319625.38     | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 843026 FN 09/35 FLOATING VAR                 | CUSIP: 31407WSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19571 | PA      | $19942.92      | 0.00%             | 2035-09-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663792 GN 01/37 FIXED 5                      | CUSIP: 36294YNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21763 | PA      | $22031.67      | 0.00%             | 2037-01-15      | Fixed         | 5.00%                 | 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        |     998002 | PA      | $980397.85     | 0.08%             | 2040-06-15      | Fixed         | 4.50%                 | 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        |    3722571 | PA      | $3597406.14    | 0.30%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89839 FG 11/39 FIXED 5              | CUSIP: 3129364Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28556 | PA      | $28911.05      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0178 FN 03/30 FIXED VAR                    | CUSIP: 3138EGFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62824 | PA      | $62902.14      | 0.01%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782759 GN 09/39 FIXED 5.5                    | CUSIP: 36241LB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7643 | PA      | $7950.62       | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2518 FN 11/39 FIXED VAR                    | CUSIP: 3138EJYQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130293 | PA      | $131175.32     | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 36A A1AR 144A               | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1643219 | PA      | $1645199.09    | 0.14%             | 2032-04-20      | Floating      | 5.06%                 | 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        |    7967011 | PA      | $7701971.58    | 0.65%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008967 G2 09/26 FLOATING VAR              | CUSIP: 36202K6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.05         | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780747 GN 03/28 FIXED 6.5                    | CUSIP: 36225AZL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $63.66         | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04399 FG 07/38 FIXED 5.5            | CUSIP: 3128M6GG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8327 | PA      | $8581.86       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889883 FN 03/38 FIXED VAR                    | CUSIP: 31410KUG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7627 | PA      | $7894.87       | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771910 FN 04/34 FIXED 5.5                    | CUSIP: 31404LR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4121 | PA      | $4143.58       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 880893 FN 04/36 FIXED 6                      | CUSIP: 31409WUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1674 | PA      | $1712.64       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04629 FG 01/29 FIXED 6              | CUSIP: 3128M6PN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1471 | PA      | $1501.73       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531298 GN 08/30 FIXED 8.5                    | CUSIP: 36212EGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $145.86        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | 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     | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35287 FG 06/35 FIXED 5.5            | CUSIP: 31297Q2U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24018 | PA      | $24602.29      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI1821 FN 05/41 FIXED 4.5                    | CUSIP: 3138AFAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22326 | PA      | $22029.11      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01798 FG 12/32 FIXED 5.5            | CUSIP: 31283H7K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1671 | PA      | $1720.31       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677081 GN 07/38 FIXED 6.5                    | CUSIP: 36295QFW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7797 | PA      | $8264.38       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 846597 FN 12/35 FIXED 6.5                    | CUSIP: 31408BRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1353.25       | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO4769 FN 05/42 FIXED 4                      | CUSIP: 3138LVJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13138 | PA      | $12687.71      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-3                           | THORNBURG MORTGAGE SECURITIES TMST 2003 3 A4           | CUSIP: 885220DR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58094 | PA      | $56833.76      | 0.00%             | 2043-06-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-57                                         | FANNIE MAE FNR 2012 57 SC                              | CUSIP: 3136A6HS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378504 | PA      | $321170.64     | 0.03%             | 2042-06-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                | FANNIE MAE FNR 2007 73 A1                              | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155615 | PA      | $152807.68     | 0.01%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 610920 FH 06/28 FLOATING VAR         | CUSIP: 31337NAV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $436.28        | 0.00%             | 2028-06-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3288 FN 12/32 FIXED 2                      | CUSIP: 31418CUN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240574 | PA      | $225151.78     | 0.02%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2617 G2 06/47 FIXED 3.5                 | CUSIP: 3617AE4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     447748 | PA      | $416553.11     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A72749 FG 02/38 FIXED 5.5            | CUSIP: 3128L6BS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     276132 | PA      | $284772.24     | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4306 FN 04/51 FIXED 2.5                    | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6513708 | PA      | $5526519.91    | 0.47%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX8344 G2 04/47 FIXED 3.5                 | CUSIP: 36196LHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     266350 | PA      | $247894.87     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04845 FG 05/36 FIXED 6              | CUSIP: 3128M6WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1065635 | PA      | $1119607.44    | 0.09%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1       | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77160 | PA      | $77571.42      | 0.01%             | 2034-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9942 FN 04/48 FIXED 4                      | CUSIP: 3140HCBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116892 | PA      | $112676.92     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30419 FG 11/28 FIXED 5              | CUSIP: 3128CUPC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13513 | PA      | $13571.45      | 0.00%             | 2028-11-01      | Fixed         | 5.00%                 | 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        |     266629 | PA      | $268051.68     | 0.02%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A62249 FG 06/37 FIXED 5.5            | CUSIP: 3128KSQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4662 | PA      | $4714.15       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0204 G2 07/27 FIXED 2.5                 | CUSIP: 36179MGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56446 | PA      | $55887.45      | 0.00%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 877155 G2 05/30 FLOATING VAR              | CUSIP: 36208AMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13408 | PA      | $13500.65      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 679495 GN 01/38 FIXED 5.5                    | CUSIP: 36295S3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15096 | PA      | $15659.32      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A49539 FG 06/36 FIXED 5.5            | CUSIP: 3128KAS44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31009 | PA      | $31470.54      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A29582 FG 01/35 FIXED 4.5            | CUSIP: 31297HUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14960 | PA      | $14704.52      | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB9007 FR 02/51 FIXED 1.5            | CUSIP: 3133AGAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16441 | PA      | $12778.24      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 798412 FN 10/34 FIXED 5.5                    | CUSIP: 31405TAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        739 | PA      | $753.70        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 SN                              | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1821271 | PA      | $231312.59     | 0.02%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771924 FN 05/34 FIXED 5.5                    | CUSIP: 31404LSM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18939 | PA      | $19047.79      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77399 FG 05/38 FIXED 5              | CUSIP: 3128LBGG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12253 | PA      | $12346.55      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO9008 FN 02/50 FIXED 3                      | CUSIP: 3140K5AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3581991 | PA      | $3156575.15    | 0.27%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5249 FR 07/43 FIXED 4.5            | CUSIP: 3133KYZN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1288960 | PA      | $1284273.04    | 0.11%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5356 FR 06/53 FIXED 5              | CUSIP: 3133C55R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88046 | PA      | $87823.50      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776554 FN 04/34 FIXED 5.5                    | CUSIP: 31404RWP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12303 | PA      | $12372.82      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04625 FG 06/36 FIXED 6              | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6148 | PA      | $6293.46       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 657986 GN 10/36 FIXED 6.5                    | CUSIP: 36294R6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4081 | PA      | $4299.03       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 685049 FN 03/34 FIXED 5.5                    | CUSIP: 31400EBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2065 | PA      | $2076.51       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04626 FG 05/31 FIXED 6              | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.55         | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 704096 FN 05/33 FIXED 5.5                    | CUSIP: 31401CGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.70         | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A78147 FG 06/38 FIXED 5.5            | CUSIP: 3128LCBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2664 | PA      | $2746.70       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 609428 GN 06/33 FIXED 5.5                    | CUSIP: 36202UA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22007 | PA      | $22109.40      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815117 FN 05/35 FLOATING VAR                 | CUSIP: 31406NSE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4356 | PA      | $4405.10       | 0.00%             | 2035-05-01      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                            | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A     | CUSIP: 1248MGAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236857 | PA      | $68807.79      | 0.01%             | 2037-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802482 FN 11/34 FIXED 5.5                    | CUSIP: 31405XRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21107 | PA      | $21227.79      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32      | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1015140 | PA      | $1029868.77    | 0.09%             | 2046-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8216 FN 04/33 FIXED 4.49                   | CUSIP: 3140LKDW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2000189.90    | 0.17%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254146 FN 01/32 FIXED 6                      | CUSIP: 31371KHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1417 | PA      | $1457.46       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479099 GN 01/30 FIXED 8.5                    | CUSIP: 36209RGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        670 | PA      | $677.64        | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92821 FG 07/40 FIXED 5              | CUSIP: 312941D20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1740 | PA      | $1761.89       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2118                                                  | FREDDIE MAC FHR 2118 PE                                | CUSIP: 3133THS81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10864 | PA      | $11070.65      | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662584 GN 09/37 FIXED 6.5                    | CUSIP: 36294XCV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30638 | PA      | $32188.38      | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                                           | FREDDIE MAC FHR 3684 JI                                | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254081 | PA      | $14031.53      | 0.00%             | 2036-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2682 FN 03/33 FIXED 2                      | CUSIP: 3140Q96U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     619543 | PA      | $584658.03     | 0.05%             | 2033-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955224 FN 12/37 FIXED 6.5                    | CUSIP: 31413TVR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63584 | PA      | $66801.42      | 0.01%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555285 FN 03/33 FIXED VAR                    | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36538 | PA      | $37600.92      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0259 FN 03/37 FIXED 6                      | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2465 | PA      | $2579.56       | 0.00%             | 2037-03-01      | 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        |    1921515 | PA      | $167507.68     | 0.01%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888813 FN 03/37 FIXED VAR                    | CUSIP: 31410GN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35262 | PA      | $37193.61      | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003442 G2 09/33 FIXED 5                   | CUSIP: 36202DZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5613 | PA      | $5727.78       | 0.00%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                    | COUNTRYWIDE HOME LOANS CWHL 2004 29 1A1                | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24509 | PA      | $23905.61      | 0.00%             | 2035-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55000 12/22/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $62824.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 914458 FN 04/37 FIXED 6                      | CUSIP: 31411S5T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7756 | PA      | $8118.24       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                         | INDYMAC ARM TRUST INARM 2001 H2 A2                     | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        153 | PA      | $148.55        | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC9901 G2 11/47 FIXED 3.5                 | CUSIP: 3617BEAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     527397 | PA      | $490661.29     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0006 G2 04/27 FIXED 2.5                 | CUSIP: 36179MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9022 | PA      | $8948.08       | 0.00%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06020 FG 12/39 FIXED 5.5            | CUSIP: 3128M8AV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13312 | PA      | $13709.99      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2301 FN 12/51 FIXED 3                      | CUSIP: 3140QMRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3554018 | PA      | $3129570.80    | 0.26%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03073 FG 07/37 FIXED 5.5            | CUSIP: 3128M4XA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7734 | PA      | $7995.78       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                    | FREMONT HOME LOAN TRUST FHLT 2006 B 2A4                | CUSIP: 35729QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5687579 | PA      | $1753758.64    | 0.15%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5        | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2972021 | PA      | $2501192.08    | 0.21%             | 2047-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918546 FN 06/37 FIXED 6                      | CUSIP: 31411YP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10146 | PA      | $10525.82      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928932 FN 11/37 FIXED 6.5                    | CUSIP: 31412MA99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10901 | PA      | $11469.82      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735362 FN 03/35 FLOATING VAR                 | CUSIP: 31402Q5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10653 | PA      | $10842.53      | 0.00%             | 2035-03-01      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0198 FN 04/51 FIXED 3                      | CUSIP: 3140QKGG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2957926 | PA      | $2604910.84    | 0.22%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3273 FN 07/41 FIXED 4.5                    | CUSIP: 31416YT73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2664994 | PA      | $2638891.39    | 0.22%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 693511 GN 07/38 FIXED 6.5                    | CUSIP: 36296KN40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11741 | PA      | $12373.56      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02499 FG 12/36 FIXED 6.5            | CUSIP: 3128M4DC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8241 | PA      | $8731.43       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5            | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $90.10         | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3          | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112162 | PA      | $110613.09     | 0.01%             | 2034-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672937 GN 08/38 FIXED 6                      | CUSIP: 36295KS20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12594 | PA      | $13260.42      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A1         | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     629095 | PA      | $581867.89     | 0.05%             | 2047-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 482704 GN 08/28 FIXED 6.5                    | CUSIP: 36209VGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.29         | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08147 FG 08/36 FIXED 6.5            | CUSIP: 3128MJEV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53448 | PA      | $56201.64      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02683 FG 02/37 FIXED 6.5            | CUSIP: 3128M4J46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9625 | PA      | $10006.61      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779067 GN 04/42 FIXED 3.5                    | CUSIP: 36176XJL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27534 | PA      | $25886.97      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716768 GN 04/39 FIXED 5                      | CUSIP: 3620A2JM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28988 | PA      | $29362.87      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 803876 FN 12/34 FIXED 5.5                    | CUSIP: 31406ACM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6537 | PA      | $6692.07       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04953 FG 09/38 FIXED 4.5            | CUSIP: 3128M6ZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4080 | PA      | $4042.20       | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 648540 FN 06/32 FIXED 6                      | CUSIP: 31390KPZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5495 | PA      | $5603.54       | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1910 FN 01/44 FIXED VAR                    | CUSIP: 3140XHDQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     286795 | PA      | $271501.42     | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                                         | FANNIE MAE FNR 2015 50 SB                              | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1246249 | PA      | $68835.55      | 0.01%             | 2045-07-25      | Floating      | 2.07%                 | 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        |     819945 | PA      | $437693.20     | 0.04%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782495 GN 12/38 FIXED 5.5                    | CUSIP: 36241KXY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9780 | PA      | $10203.17      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | 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        |    4139125 | PA      | $3848309.88    | 0.32%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91164 FG 03/28 FIXED 5              | CUSIP: 3128P7JH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19678 | PA      | $19801.81      | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3670 FN 02/43 FIXED VAR                    | CUSIP: 3138ELCG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     813584 | PA      | $785698.40     | 0.07%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2       | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32728 | PA      | $14409.76      | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93293 FG 08/40 FIXED 5.5            | CUSIP: 312941US4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20186 | PA      | $20615.97      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0102 FN 06/56 FIXED 3.5                    | CUSIP: 3140FXDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6193433 | PA      | $5687112.13    | 0.48%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-RM1                                      | ACE SECURITIES CORP. ACE 2004 RM1 M1                   | CUSIP: 004421FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48199 | PA      | $47991.73      | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2419 FN 02/50 FIXED VAR                    | CUSIP: 3140X5VM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18249649 | PA      | $16082310.54   | 1.35%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03112 FG 06/37 FIXED 6.5            | CUSIP: 3128M4YH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7706 | PA      | $8031.33       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | 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        |   31800000 | PA      | $32378606.72   | 2.73%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0250 FN 11/39 FIXED 5                      | CUSIP: 31417YH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14572 | PA      | $14496.55      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844000 FN 11/35 FLOATING VAR                 | CUSIP: 31407XUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3030 | PA      | $3076.82       | 0.00%             | 2035-11-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 849803 FN 05/35 FIXED 6.5                    | CUSIP: 31408FDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5043 | PA      | $5306.72       | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5057 FR 04/51 FIXED 3              | CUSIP: 3133KLTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6513648 | PA      | $5731822.14    | 0.48%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796013 FN 09/34 FIXED 5.5                    | CUSIP: 31405QK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        694 | PA      | $699.16        | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948690 FN 08/37 FIXED 6                      | CUSIP: 31413LNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30722 | PA      | $32156.45      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4362 FN 11/32 FIXED 2                      | CUSIP: 3140H5Z46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91439 | PA      | $85381.65      | 0.01%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 990924 FN 09/38 FIXED 5.5                    | CUSIP: 31415VYV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115316 | PA      | $117943.48     | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545010 FN 05/36 FLOATING VAR                 | CUSIP: 31385HN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $593.61        | 0.00%             | 2036-05-01      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 891564 G2 10/58 FLOATING VAR              | CUSIP: 36208AZ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        962 | PA      | $968.55        | 0.00%             | 2058-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91249 FG 05/29 FIXED 4.5            | CUSIP: 3128P7L68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366270 | PA      | $367184.21     | 0.03%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3046 FN 03/52 FIXED 2.5                    | CUSIP: 3140QNL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     624448 | PA      | $533613.94     | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910930 FN 02/37 FIXED 6.5                    | CUSIP: 31411LA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9881 | PA      | $10336.09      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4799 FN 06/53 FIXED 5                      | CUSIP: 3140NMKM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     911296 | PA      | $909553.89     | 0.08%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4800 FN 06/53 FIXED 5                      | CUSIP: 3140NMKN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     874886 | PA      | $872313.50     | 0.07%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |    4201875 | PA      | $4138111.67    | 0.35%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04624 FG 02/33 FIXED 6              | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9263 | PA      | $9566.90       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A38837 FG 05/35 FIXED 4.5            | CUSIP: 31297UZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41613 | PA      | $41257.98      | 0.00%             | 2035-05-01      | Fixed         | 4.50%                 | 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        |     446817 | PA      | $424907.19     | 0.04%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080425 G2 07/30 FLOATING VAR              | CUSIP: 36225CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8828 | PA      | $8851.63       | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | 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        |    2395827 | PA      | $2077645.01    | 0.18%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655605 GN 09/36 FIXED 6.5                    | CUSIP: 36294PKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1546 | PA      | $1633.38       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 768089 GN 06/41 FIXED 4.5                    | CUSIP: 36176KC21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200575 | PA      | $197500.28     | 0.02%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 495508 FN 04/29 FIXED 6.5                    | CUSIP: 31382XNZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $111.51        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 891565 G2 01/59 FLOATING VAR              | CUSIP: 36208A2R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8832 | PA      | $8888.87       | 0.00%             | 2059-01-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080060 G2 04/27 FLOATING VAR              | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $282.36        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778067 FN 04/34 FIXED 5.5                    | CUSIP: 31404TMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3448 | PA      | $3522.88       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004083 G2 02/38 FIXED 5                   | CUSIP: 36202ERC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4768 | PA      | $4847.95       | 0.00%             | 2038-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A60612 FG 05/37 FIXED 5.5            | CUSIP: 3128KQVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5251 | PA      | $5412.94       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002989 G2 10/30 FIXED 8.5                 | CUSIP: 36202DKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $650.66        | 0.00%             | 2030-10-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922339 FN 02/37 FIXED 6.5                    | CUSIP: 31412DV88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18010 | PA      | $18821.40      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955007 FN 09/37 FIXED 6.5                    | CUSIP: 31413TNY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1082 | PA      | $1145.48       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1        | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12134 | PA      | $19916.25      | 0.00%             | 2032-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782416 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19866 | PA      | $20604.60      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080199 G2 05/28 FLOATING VAR              | CUSIP: 36225CGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        565 | PA      | $565.20        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | 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        |    2444976 | PA      | $2455094.31    | 0.21%             | 2035-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937896 FN 07/37 FIXED 6                      | CUSIP: 31412XNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16601 | PA      | $17425.95      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A83772 FG 01/39 FIXED 5.5            | CUSIP: 312930FM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1030 | PA      | $1053.23       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A       | CUSIP: 41161UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18176 | PA      | $17339.10      | 0.00%             | 2036-08-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778066 FN 05/34 FIXED 5.5                    | CUSIP: 31404TMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3283 | PA      | $3300.94       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841978 FN 03/35 FLOATING VAR                 | CUSIP: 31407VM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22584 | PA      | $22250.28      | 0.00%             | 2035-03-01      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A58677 FG 03/37 FIXED 5.5            | CUSIP: 3128KMUA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1079 | PA      | $1100.87       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 543931 GN 02/31 FIXED 7.5                    | CUSIP: 36212UHG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $435.32        | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1       | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38128 | PA      | $31597.37      | 0.00%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735501 FN 05/35 FIXED VAR                    | CUSIP: 31402RDE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116081 | PA      | $121739.74     | 0.01%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004979 G2 03/41 FIXED 5                   | CUSIP: 36202FQ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378248 | PA      | $384954.58     | 0.03%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5            | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81896 | PA      | $82096.15      | 0.01%             | 2029-03-01      | Fixed         | 4.50%                 | 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        |   12449336 | PA      | $11140045.87   | 0.94%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92666 FG 06/40 FIXED 5.5            | CUSIP: 3129406B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21283 | PA      | $21863.10      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A74678 FG 03/38 FIXED 5.5            | CUSIP: 3128L8FT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10063 | PA      | $10179.53      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713697 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6185 | PA      | $6219.06       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ4127 G2 10/48 FIXED 4.5                 | CUSIP: 3617HRSQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59372 | PA      | $57203.38      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479903 GN 01/31 FIXED 7.5                    | CUSIP: 36209SDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $343.58        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1         | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588534 | PA      | $542113.47     | 0.05%             | 2037-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 450838 FN 12/28 FIXED 5.5                    | CUSIP: 31380UZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1754 | PA      | $1798.23       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 881602 FN 02/36 FIXED 6.5                    | CUSIP: 31409XNT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        682 | PA      | $719.83        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A60884 FG 06/37 FIXED 5.5            | CUSIP: 3128KQ6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10651 | PA      | $10781.51      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 329                                            | FREDDIEMAC STRIP FHS 329 C5                            | CUSIP: 31325VHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5322593 | PA      | $842985.77     | 0.07%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080185 G2 04/28 FLOATING VAR              | CUSIP: 36225CF35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1530 | PA      | $1528.54       | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06353 FG 12/39 FIXED 5.5            | CUSIP: 3128M8MA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13591 | PA      | $13996.90      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G2602 FH 10/36 FLOATING VAR         | CUSIP: 3128QS3K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22448 | PA      | $23031.67      | 0.00%             | 2036-10-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3285 FN 09/39 FIXED 3.5                    | CUSIP: 3138WCUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238569 | PA      | $227499.47     | 0.02%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91251 FG 06/29 FIXED 4.5            | CUSIP: 3128P7L84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19692 | PA      | $19740.30      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782490 GN 12/38 FIXED 5                      | CUSIP: 36241KXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8442 | PA      | $8622.04       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | 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        |     605566 | PA      | $595703.38     | 0.05%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS6886 G2 03/46 FIXED 3.5                 | CUSIP: 36193SUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1021644 | PA      | $950878.65     | 0.08%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK3275 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3T84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40454 | PA      | $38975.95      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06021 FG 01/40 FIXED 5.5            | CUSIP: 3128M8AW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44815 | PA      | $46185.06      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB6642 FR 12/50 FIXED 1.5            | CUSIP: 3133ADLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97941 | PA      | $76010.60      | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05335 FG 03/39 FIXED 5              | CUSIP: 3128M7HL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     371842 | PA      | $376467.71     | 0.03%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 303744 FN 02/31 FLOATING VAR                 | CUSIP: 31373ULZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8768 | PA      | $8768.04       | 0.00%             | 2031-02-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080414 G2 06/30 FLOATING VAR              | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6855 | PA      | $6836.57       | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 560551 FN 11/30 FIXED 6.5                    | CUSIP: 31386DWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3922 | PA      | $4055.49       | 0.00%             | 2030-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN1091 FR 11/33 FIXED 3.5            | CUSIP: 3131Y7F85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112592 | PA      | $110604.75     | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | 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        |   33000000 | PA      | $33519799.83   | 2.82%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5733 GN 06/45 FIXED 3                      | CUSIP: 36186NLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79478 | PA      | $71445.11      | 0.01%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 691570 GN 08/38 FIXED 6.5                    | CUSIP: 36296HJP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7157 | PA      | $7560.39       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1        | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        646 | PA      | $641.46        | 0.00%             | 2034-01-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3229 FN 02/47 FIXED VAR                    | CUSIP: 3140X6ST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5422776 | PA      | $5109874.99    | 0.43%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1      | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2991 | PA      | $2917.09       | 0.00%             | 2033-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254933 FN 09/33 FIXED 6.5                    | CUSIP: 31371LEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2169 | PA      | $2243.95       | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02498 FG 12/36 FIXED 6.5            | CUSIP: 3128M4DB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20208 | PA      | $21456.14      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ3519 G2 06/47 FIXED 3.5                 | CUSIP: 36197F4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     567262 | PA      | $527745.66     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 789133 FH 03/32 FLOATING VAR         | CUSIP: 31295NEE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1622 | PA      | $1651.25       | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | 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        |  143841218 | PA      | $141879370.50  | 11.95%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 972103 FH 05/32 FLOATING VAR         | CUSIP: 31336CKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52123 | PA      | $53118.20      | 0.00%             | 2032-05-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01644 FG 02/34 FIXED 5.5            | CUSIP: 31283HZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3813 | PA      | $3902.32       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 160 IE         | CUSIP: 38380B5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126324 | PA      | $6925.47       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8806 FR 03/52 FIXED 3              | CUSIP: 3133B6YB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264220 | PA      | $232874.65     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | 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        |     278364 | PA      | $264318.40     | 0.02%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5097 FN 07/43 FIXED 4.5                    | CUSIP: 31418EUX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1415212 | PA      | $1407159.84    | 0.12%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904453 FN 11/36 FIXED 6                      | CUSIP: 31411CZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4664 | PA      | $4807.01       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 808413 FN 01/35 FIXED 5.5                    | CUSIP: 31406FDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8412 | PA      | $8596.30       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903263 FN 10/36 FIXED 6                      | CUSIP: 31411BQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10520 | PA      | $10827.31      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603250 GN 04/34 FIXED 5.5                    | CUSIP: 36200KEX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $340.87        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906131 FN 01/37 FIXED 6                      | CUSIP: 31411EVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14894 | PA      | $15545.64      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776704 FN 05/34 FIXED 5.5                    | CUSIP: 31404R3M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138369 | PA      | $141594.29     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004447 G2 05/39 FIXED 5                   | CUSIP: 36202E5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139496 | PA      | $141799.63     | 0.01%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796242 FN 11/34 FIXED 6.5                    | CUSIP: 31405QS74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15694 | PA      | $16231.90      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL CL6189 GN 03/52 FIXED 4                      | CUSIP: 3617YD2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2216148 | PA      | $2090992.18    | 0.18%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 751297 FN 03/34 FIXED 5.5                    | CUSIP: 31403KUW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5485 | PA      | $5514.62       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5034 FN 12/33 FIXED VAR                    | CUSIP: 3140J9SY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1481772 | PA      | $1474868.77    | 0.12%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080104 G2 08/27 FLOATING VAR              | CUSIP: 36225CDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $386.96        | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR         | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $361.24        | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ3493 G2 03/47 FIXED 3.5                 | CUSIP: 36197F3A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256643 | PA      | $238765.99     | 0.02%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256856 FN 08/27 FIXED 6.5                    | CUSIP: 31371NH99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $167.12        | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 389782 GN 12/32 FIXED 5.5                    | CUSIP: 36205F6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1603 | PA      | $1624.31       | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1          | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      34743 | PA      | $35391.97      | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5            | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1003252 | PA      | $1035683.44    | 0.09%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555417 FN 05/33 FIXED VAR                    | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16941 | PA      | $17422.22      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002936 G2 06/30 FIXED 8.5                 | CUSIP: 36202DHM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $370.31        | 0.00%             | 2030-06-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                | FANNIE MAE FNR 1998 22 FA                              | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $87.18         | 0.00%             | 2028-04-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                   | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1               | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195564 | PA      | $177852.74     | 0.01%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754324 FN 12/33 FIXED 5.5                    | CUSIP: 31403QAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8355 | PA      | $8400.40       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                           | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 B1       | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4919 | PA      | $4717.17       | 0.00%             | 2031-11-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852029 FN 01/36 FIXED 6                      | CUSIP: 31408HSS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        619 | PA      | $638.65        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | 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        |     655546 | PA      | $612827.32     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005261 G2 12/41 FIXED 5                   | CUSIP: 36202FZ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     546831 | PA      | $556526.72     | 0.05%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT6745 FN 05/43 FIXED 4                      | CUSIP: 3138WUP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     569044 | PA      | $549576.29     | 0.05%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 793765 FN 10/34 FIXED 5.5                    | CUSIP: 31405MZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47811 | PA      | $48119.12      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2835 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     682063 | PA      | $687693.24     | 0.06%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A       | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98233 | PA      | $86006.76      | 0.01%             | 2046-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2               | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1      | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     385604 | PA      | $365234.15     | 0.03%             | 2046-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                  | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1              | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1675 | PA      | $1661.21       | 0.00%             | 2031-06-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782055 GN 02/36 FIXED 5.5                    | CUSIP: 36241KH84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69908 | PA      | $72716.00      | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 788825 FH 11/31 FLOATING VAR         | CUSIP: 31295MYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $187.13        | 0.00%             | 2031-11-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256449 FN 10/26 FIXED 6.5                    | CUSIP: 31371MZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2723 | PA      | $2815.78       | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI6880 GN 01/45 FIXED 3                      | CUSIP: 36198TUD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130372 | PA      | $117176.57     | 0.01%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01418 FG 10/32 FIXED 5.5            | CUSIP: 31292HSF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6842 | PA      | $7074.02       | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8641 FR 02/32 FIXED 2.5            | CUSIP: 3132A9S65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49133 | PA      | $47295.77      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783313 GN 02/41 FIXED 5.5                    | CUSIP: 36241LVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7243 | PA      | $7535.20       | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5            | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5421 | PA      | $5598.59       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A       | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67711 | PA      | $66374.38      | 0.01%             | 2045-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612919 GN 07/33 FIXED 5                      | CUSIP: 36202X4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $699.12        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                             | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1       | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183479 | PA      | $179595.83     | 0.02%             | 2031-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1      | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3917 | PA      | $3933.83       | 0.00%             | 2030-11-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765983 FN 02/34 FIXED 5.5                    | CUSIP: 31404D6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50134 | PA      | $50423.22      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 652260 FN 01/30 FLOATING VAR                 | CUSIP: 31390PTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21228 | PA      | $21536.53      | 0.00%             | 2030-01-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A           | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624818 | PA      | $580455.80     | 0.05%             | 2037-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5064 GN 03/45 FIXED 3                      | CUSIP: 36184BTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47166 | PA      | $42390.97      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91194 FG 07/28 FIXED 5              | CUSIP: 3128P7KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $290.17        | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9380 FN 04/31 FIXED VAR                    | CUSIP: 3138ERM64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1463575 | PA      | $1433811.32    | 0.12%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1227 G2 08/43 FIXED 5                   | CUSIP: 36179NLG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1382270 | PA      | $1407625.54    | 0.12%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                       | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1       | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      37598 | PA      | $49817.27      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A68769 FG 10/32 FIXED 5.5            | CUSIP: 3128L0W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23790 | PA      | $23944.57      | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831618 FN 06/36 FIXED 6.5                    | CUSIP: 31407H4B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16547 | PA      | $17511.34      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781964 FN 06/34 FIXED 5.5                    | CUSIP: 31404XWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1780 | PA      | $1791.89       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889959 FN 05/36 FIXED VAR                    | CUSIP: 31410KWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32856 | PA      | $33979.99      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1         | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433700 | PA      | $205248.45     | 0.02%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462622 GN 03/28 FIXED 6.5                    | CUSIP: 36208V4F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $421.91        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756181 FN 12/33 FIXED 5.5                    | CUSIP: 31403SCS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4375 | PA      | $4423.19       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 739739 FN 12/33 FIXED 5.5                    | CUSIP: 31402VZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $50.71         | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                                  | FREDDIE MAC FHR 2091 ZC                                | CUSIP: 3133TGU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8518 | PA      | $8691.54       | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 898809 FN 11/36 FIXED 6                      | CUSIP: 31410VR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2488 | PA      | $2604.21       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5          | CUSIP: 073914F65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48745 | PA      | $8.10          | 0.00%             | 2030-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671182 GN 12/37 FIXED 6.5                    | CUSIP: 36295HUF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        404 | PA      | $424.93        | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01974 FG 12/35 FIXED 5              | CUSIP: 3128LXFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35618 | PA      | $36024.04      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00781 FG 04/29 FIXED 6.5            | CUSIP: 31292G2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $226.72        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA6424 FN 07/50 FIXED 3                      | CUSIP: 3140QED66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4034949 | PA      | $3557725.03    | 0.30%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91237 FG 02/29 FIXED 5              | CUSIP: 3128P7LS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5050 | PA      | $5075.70       | 0.00%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756230 FN 01/34 FIXED 5.5                    | CUSIP: 31403SEB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5589 | PA      | $5643.90       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658104 GN 09/36 FIXED 6.5                    | CUSIP: 36294SDH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2060 | PA      | $2165.64       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689631 FN 02/33 FIXED 5.5                    | CUSIP: 31400KEC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3657 | PA      | $3676.85       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782539 GN 11/38 FIXED 5.5                    | CUSIP: 36241KZC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65751 | PA      | $68400.07      | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 624207 GN 01/34 FIXED 5.5                    | CUSIP: 36291CNY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1652 | PA      | $1656.71       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                          | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                 | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      77807 | PA      | $77883.85      | 0.01%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 538722 GN 05/35 FIXED 6.5                    | CUSIP: 36212NPF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2924 | PA      | $3087.46       | 0.00%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786321 FH 11/27 FLOATING VAR         | CUSIP: 31295KAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7168 | PA      | $7170.82       | 0.00%             | 2027-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766667 FN 03/34 FIXED 5.5                    | CUSIP: 31404EW44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2440 | PA      | $2453.57       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 767506 FN 03/34 FIXED 5.5                    | CUSIP: 31404FU76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19381 | PA      | $19686.39      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX9643 FN 04/30 FIXED 2                      | CUSIP: 3138YBWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45693 | PA      | $44014.98      | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 788132 FN 04/32 FIXED 6                      | CUSIP: 31405FSV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        577 | PA      | $589.76        | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 796705 FN 09/34 FLOATING VAR                 | CUSIP: 31405RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21146 | PA      | $21771.56      | 0.00%             | 2034-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 824962 FN 05/35 FIXED 6                      | CUSIP: 31407AQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3084 | PA      | $3190.03       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903816 FN 12/36 FIXED 6                      | CUSIP: 31411CDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5610 | PA      | $5802.53       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QC2713 FR 04/51 FIXED 1.5            | CUSIP: 3133AMAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34856 | PA      | $27161.65      | 0.00%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735806 FN 06/35 FLOATING VAR                 | CUSIP: 31402RNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13331 | PA      | $13644.05      | 0.00%             | 2035-06-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91149 FG 01/28 FIXED 6              | CUSIP: 3128P7H22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3058 | PA      | $3120.73       | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5449 FN 06/44 FIXED VAR                    | CUSIP: 3138ENBT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45203 | PA      | $44620.29      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14446 FG 10/33 FIXED 5              | CUSIP: 31296N5F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38818 | PA      | $38724.73      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04891 FG 01/38 FIXED 5.5            | CUSIP: 3128M6XU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37753 | PA      | $39026.35      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777125 FN 04/34 FIXED 5.5                    | CUSIP: 31404SLE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1552.66       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955031 FN 10/37 FIXED 6.5                    | CUSIP: 31413TPQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $463.31        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C75023 FG 12/32 FIXED 5              | CUSIP: 31288DSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $163.89        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                          | SEQUOIA MORTGAGE TRUST SEMT 5 A                        | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2846 | PA      | $2833.52       | 0.00%             | 2026-10-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782423 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11044 | PA      | $11488.79      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689754 GN 08/38 FIXED 6                      | CUSIP: 36296FH71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14251 | PA      | $14826.69      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 529546 GN 08/30 FIXED 8.5                    | CUSIP: 36212CHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3643 | PA      | $3686.13       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701529 GN 02/38 FIXED 6.5                    | CUSIP: 36296ULJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1289 | PA      | $1307.72       | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2       | CUSIP: 12667GCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66117 | PA      | $61984.69      | 0.01%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62071 FG 08/46 FIXED 3              | CUSIP: 3128S3JQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     629702 | PA      | $558542.47     | 0.05%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2180 FN 11/44 FIXED 5                      | CUSIP: 3138Y3M65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12190 | PA      | $12093.23      | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060679 FN 01/28 FLOATING VAR                 | CUSIP: 31362GM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $133.67        | 0.00%             | 2028-01-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8229 FN 06/30 FIXED 4.5                    | CUSIP: 3140LKEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $201800.04     | 0.02%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF         | CUSIP: 38380QMV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6451825 | PA      | $6588927.90    | 0.56%             | 2070-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479529 GN 08/30 FIXED 8.5                    | CUSIP: 36209RVW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4739 | PA      | $4873.71       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4632 FN 06/42 FIXED 3                      | CUSIP: 31418EEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     559345 | PA      | $515869.44     | 0.04%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 490758 FN 03/29 FIXED 6.5                    | CUSIP: 31382SE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        877 | PA      | $906.87        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A      | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51975 | PA      | $49330.40      | 0.00%             | 2035-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                     | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                 | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15059 | PA      | $5941.71       | 0.00%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 897472 FN 11/36 FIXED 6                      | CUSIP: 31410UCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2138 | PA      | $2180.05       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555528 FN 04/33 FIXED VAR                    | CUSIP: 31385XD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36455 | PA      | $37479.66      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004164 G2 06/38 FIXED 6                   | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4162 | PA      | $4209.99       | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04162 FG 04/38 FIXED 5.5            | CUSIP: 3128M55X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35320 | PA      | $36513.42      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  184000000 | PA      | $184423424.48  | 15.54%            | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A88843 FG 11/37 FIXED 5.5            | CUSIP: 312935ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7709 | PA      | $7968.75       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678132 FN 01/33 FIXED 6                      | CUSIP: 31391VLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $382.62        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91065 FG 07/27 FIXED 6              | CUSIP: 3128P7FE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1136 | PA      | $1159.62       | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5279 FR 06/53 FIXED 5              | CUSIP: 3133C52L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147971 | PA      | $147776.58     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 953433 FN 11/37 FIXED 6.5                    | CUSIP: 31413RV29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39275 | PA      | $41569.10      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RQ0055 FR 10/55 FIXED 5              | CUSIP: 3142J6BZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2646645 | PA      | $2612894.84    | 0.22%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080181 G2 03/28 FLOATING VAR              | CUSIP: 36225CFX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $411.28        | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750711 FN 10/33 FIXED 6.5                    | CUSIP: 31403KAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5632 | PA      | $5824.53       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A48438 FG 05/36 FIXED 6.5            | CUSIP: 3128K9LT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12523 | PA      | $13268.52      | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776273 FN 05/34 FIXED 5.5                    | CUSIP: 31404RMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6425 | PA      | $6461.03       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008880 G2 06/26 FLOATING VAR              | CUSIP: 36202K2M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $110.10        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946646 FN 09/37 FIXED 6                      | CUSIP: 31413JET7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $545.68        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844214 FN 11/35 FLOATING VAR                 | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50852 | PA      | $51599.10      | 0.00%             | 2035-11-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4771 G2 10/47 FIXED 4.5                 | CUSIP: 36179TJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102302 | PA      | $99652.78      | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0549 G2 08/48 FIXED 5                   | CUSIP: 3617BFTE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80761 | PA      | $79584.24      | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 898810 FN 11/36 FIXED 6                      | CUSIP: 31410VR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5259 | PA      | $5455.46       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | 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        |    2360263 | PA      | $2225133.00    | 0.19%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 667694 FN 01/33 FIXED 6                      | CUSIP: 31391HXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $142.26        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2003-SD2                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 2A       | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6555 | PA      | $6489.52       | 0.00%             | 2043-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 532706 GN 07/30 FIXED 8.5                    | CUSIP: 36212FYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2208 | PA      | $2287.99       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003929 G2 12/36 FIXED 5                   | CUSIP: 36202ELJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8842 | PA      | $8993.33       | 0.00%             | 2036-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724390 GN 10/39 FIXED 4.5                    | CUSIP: 3620AAXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69581 | PA      | $69025.64      | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A         | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236712 | PA      | $192383.11     | 0.02%             | 2035-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                 | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A         | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         31 | PA      | $31.16         | 0.00%             | 2030-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604639 GN 09/33 FIXED 5                      | CUSIP: 36200MV83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        923 | PA      | $931.36        | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782938 GN 03/40 FIXED 5.5                    | CUSIP: 36241LHP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210309 | PA      | $218769.65     | 0.02%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 634237 FN 03/32 FIXED 6                      | CUSIP: 31389SS21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2099 | PA      | $2140.05       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889890 FN 01/38 FIXED VAR                    | CUSIP: 31410KUP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226992 | PA      | $239698.52     | 0.02%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 903132 FN 10/36 FIXED 6                      | CUSIP: 31411BLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3477 | PA      | $3639.14       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6330 G2 01/48 FIXED 3.5                 | CUSIP: 3617G1A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     614726 | PA      | $571374.32     | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004289 G2 11/38 FIXED 5                   | CUSIP: 36202EXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     344857 | PA      | $351600.02     | 0.03%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8154 G2 09/47 FIXED 3.5                 | CUSIP: 3617B0BX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     754441 | PA      | $702160.01     | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1999-2                                 | AFC HOME EQUITY LOAN TRUST AFC 1999 2 1A               | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110606 | PA      | $82947.01      | 0.01%             | 2029-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617859 GN 12/37 FIXED 6.5                    | CUSIP: 36290UMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6438 | PA      | $7021.73       | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 770075 FN 03/34 FIXED 5.5                    | CUSIP: 31404JQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11710 | PA      | $11795.34      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 954666 FN 09/37 FIXED 6                      | CUSIP: 31413TCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19545 | PA      | $20040.66      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535708 FN 02/31 FIXED VAR                    | CUSIP: 31384WDM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $40.76         | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03290 FG 08/36 FIXED 5.5            | CUSIP: 3128M47B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6409 | PA      | $6608.39       | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                               | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4          | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6393947 | PA      | $6246140.99    | 0.53%             | 2035-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                 | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15033 | PA      | $15067.37      | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4135 | PA      | $4066.35       | 0.00%             | 2032-08-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1        | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47893 | PA      | $47643.03      | 0.00%             | 2035-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 784167 FN 06/34 FIXED 5.5                    | CUSIP: 31405BFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5599 | PA      | $5712.22       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256393 FN 09/36 FIXED 6                      | CUSIP: 31371MXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39288 | PA      | $41234.22      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC8518 FN 12/39 FIXED 5                      | CUSIP: 31417VPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1221 | PA      | $1234.50       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01507 FG 12/32 FIXED 7              | CUSIP: 31283HU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7992 | PA      | $8405.87       | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 988031 FN 08/38 FIXED 6                      | CUSIP: 31415SSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $543.36        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -299700000 | PA      | $-309794932.96 | -26.10%           | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2206                                                  | FREDDIE MAC FHR 2206 Z                                 | CUSIP: 3133TN4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10378 | PA      | $10741.31      | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04057 FG 12/37 FIXED 5.5            | CUSIP: 3128M5ZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5432 | PA      | $5580.90       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6768 FN 05/41 FIXED VAR                    | CUSIP: 3138EPQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     283099 | PA      | $296277.46     | 0.02%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923928 FN 06/37 FIXED 6                      | CUSIP: 31412FPM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6115 | PA      | $6343.55       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080096 G2 07/27 FLOATING VAR              | CUSIP: 36225CDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $306.95        | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                        | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                 | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5567 | PA      | $5409.08       | 0.00%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 031848 FN 08/26 FLOATING VAR                 | CUSIP: 31361HL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.11         | 0.00%             | 2026-08-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357850 FN 07/35 FIXED 5.5                    | CUSIP: 31376KQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114897 | PA      | $118467.41     | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782996 GN 06/40 FIXED 5                      | CUSIP: 36241LKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2055 | PA      | $2098.83       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04527 FG 07/38 FIXED 5.5            | CUSIP: 3128M6LG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175011 | PA      | $180175.01     | 0.02%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 724938 FN 06/33 FIXED 5.5                    | CUSIP: 31402CLT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4997 | PA      | $5024.33       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254478 FN 10/32 FIXED 6                      | CUSIP: 31371KUB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3320 | PA      | $3415.93       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA2546 FN 03/39 FIXED 5.5                    | CUSIP: 31416KZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9671 | PA      | $9891.11       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5989 FN 11/48 FLOATING VAR                 | CUSIP: 3140JAUP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402323 | PA      | $418115.93     | 0.04%             | 2048-11-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08443 FG 04/41 FIXED 4.5            | CUSIP: 3128MJP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7075 | PA      | $7014.12       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 224713 FN 02/31 FLOATING VAR                 | CUSIP: 31369YSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6623 | PA      | $6686.97       | 0.00%             | 2031-02-01      | Floating      | 5.56%                 | 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        |     731807 | PA      | $682007.90     | 0.06%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91213 FG 10/28 FIXED 6              | CUSIP: 3128P7K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6380 | PA      | $6513.00       | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 871488 FN 04/36 FIXED 6.5                    | CUSIP: 31409HF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $140.81        | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A78806 FG 07/38 FIXED 5.5            | CUSIP: 3128LCYB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9352 | PA      | $9462.11       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 482771 GN 10/28 FIXED 6.5                    | CUSIP: 36209VJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.30         | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004143 G2 05/38 FIXED 5                   | CUSIP: 36202ES83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     398360 | PA      | $404984.00     | 0.03%             | 2038-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080365 G2 01/30 FLOATING VAR              | CUSIP: 36225CMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $223.71        | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED P/T CERT 2007-2                                   | TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A6A          | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1289906 | PA      | $469819.55     | 0.04%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 598709 GN 07/33 FIXED 5                      | CUSIP: 36200EDN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5575 | PA      | $5593.84       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 599416 GN 07/33 FIXED 5.5                    | CUSIP: 36200E3Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1711 | PA      | $1718.00       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75879 FG 04/38 FIXED 5              | CUSIP: 3128L9Q89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17330 | PA      | $17532.92      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735649 FN 12/32 FIXED VAR                    | CUSIP: 31402RH28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5144 | PA      | $5290.93       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003918 G2 11/36 FIXED 5                   | CUSIP: 36202EK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12381 | PA      | $12568.08      | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                              | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24370 | PA      | $24830.35      | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771677 FN 03/34 FIXED 6.5                    | CUSIP: 31404LJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $419.04        | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                        | FANNIE MAE FNR 2012 111 HS                             | CUSIP: 3136A9HB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     409633 | PA      | $281050.24     | 0.02%             | 2042-10-25      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04590 FG 03/32 FIXED 5.5            | CUSIP: 3128M6NF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $75.81         | 0.00%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0613 FN 05/51 FIXED 3                      | CUSIP: 3140QKVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3695616 | PA      | $3252008.39    | 0.27%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 877000 FN 06/35 FLOATING VAR                 | CUSIP: 31409SKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50944 | PA      | $52444.47      | 0.00%             | 2035-06-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929836 FN 08/38 FIXED 6                      | CUSIP: 31412NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4741 | PA      | $4972.42       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902974 FN 12/36 FIXED 6                      | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56466 | PA      | $59268.05      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986767 FN 07/38 FIXED 5.5                    | CUSIP: 31415RFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36711 | PA      | $37676.77      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1        | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460786 | PA      | $357693.67     | 0.03%             | 2046-12-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04684 FG 09/38 FIXED 5.5            | CUSIP: 3128M6RD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        882 | PA      | $899.78        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680222 GN 01/38 FIXED 6                      | CUSIP: 36295TVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2980 | PA      | $3099.89       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671023 GN 08/37 FIXED 6                      | CUSIP: 36295HPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3081 | PA      | $3238.96       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782710 GN 07/39 FIXED 5                      | CUSIP: 36241LAK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14131 | PA      | $14434.12      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 642135 GN 09/36 FIXED 6                      | CUSIP: 36291YLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3396 | PA      | $3499.66       | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 557521 GN 07/31 FIXED 6.5                    | CUSIP: 36213LLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $49.47         | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04219 FG 04/38 FIXED 5.5            | CUSIP: 3128M6AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258514 | PA      | $266325.69     | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486951 GN 02/29 FIXED 6.5                    | CUSIP: 36210A5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2743 | PA      | $2799.59       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA3975 FN 04/38 FIXED 5.5                    | CUSIP: 31416MMZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14225 | PA      | $14304.57      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697141 GN 08/38 FIXED 6.5                    | CUSIP: 36296PP21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3620 | PA      | $3827.58       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804158 FN 12/34 FIXED 5.5                    | CUSIP: 31406AMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11265 | PA      | $11328.65      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04613 FG 10/37 FIXED 6              | CUSIP: 3128M6N61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1471 | PA      | $1541.34       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89387 FG 10/39 FIXED 5.5            | CUSIP: 312936NC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33599 | PA      | $34591.28      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080054 G2 03/27 FLOATING VAR              | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2878 | PA      | $2876.39       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.26000 06/08/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $321490.28     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755327 FN 12/33 FIXED 6                      | CUSIP: 31403RD88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3356 | PA      | $3422.81       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.36750 11/28/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $112483.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30393 FG 05/28 FIXED 6              | CUSIP: 3128CUNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2276 | PA      | $2323.42       | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU5019 FN 10/43 FIXED 4                      | CUSIP: 3138X4SH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34267 | PA      | $33180.43      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3666 FN 06/43 FIXED VAR                    | CUSIP: 3138ELCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91372 | PA      | $88555.60      | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT9182 FN 07/43 FIXED 4                      | CUSIP: 3138WXFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     415845 | PA      | $402190.21     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI4896 FN 06/26 FIXED 4                      | CUSIP: 3138AJNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $190.62        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 771130 FN 04/34 FIXED 5.5                    | CUSIP: 31404KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17524 | PA      | $17624.50      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5173 FR 08/42 FIXED 3              | CUSIP: 3133KYXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195956 | PA      | $181755.68     | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922919 FN 02/37 FIXED 6                      | CUSIP: 31412EK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104165 | PA      | $106257.70     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 711090 FN 07/33 FIXED 5.5                    | CUSIP: 31401K7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2733 | PA      | $2747.38       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832445 FN 08/35 FIXED 5                      | CUSIP: 31407JZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49455 | PA      | $49905.70      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255741 FN 06/35 FIXED 6                      | CUSIP: 31371MBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20094 | PA      | $20847.36      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01708 FG 06/41 FIXED 5              | CUSIP: 3132GE3R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13397 | PA      | $13323.59      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9998 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     214756 | PA      | $198564.57     | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899735 FN 09/37 FIXED 6.5                    | CUSIP: 31410WSY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $112.11        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 713947 FN 05/33 FIXED 5.5                    | CUSIP: 31401PEU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4250 | PA      | $4273.90       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769615 FN 03/34 FIXED 6                      | CUSIP: 31404JAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20615 | PA      | $21432.44      | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323919 FN 08/29 FLOATING VAR                 | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2752 | PA      | $2783.03       | 0.00%             | 2029-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02419 FG 10/36 FIXED 6.5            | CUSIP: 3128M4AU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5429 | PA      | $5677.55       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663771 GN 01/37 FIXED 6.5                    | CUSIP: 36294YMU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4848 | PA      | $5103.65       | 0.00%             | 2037-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77314 FG 05/38 FIXED 5.5            | CUSIP: 3128LBDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $142.01        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 770170 FN 03/34 FIXED 6                      | CUSIP: 31404JT39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3706 | PA      | $3779.27       | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | 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        |     265514 | PA      | $10113.63      | 0.00%             | 2044-07-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A6        | CUSIP: 93935BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2085840 | PA      | $424989.32     | 0.04%             | 2036-07-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710929 GN 10/39 FIXED 5                      | CUSIP: 36297FY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3204 | PA      | $3273.06       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003829 G2 03/36 FIXED 5                   | CUSIP: 36202EHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33682 | PA      | $34215.57      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725237 FN 03/34 FIXED VAR                    | CUSIP: 31402CV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26905 | PA      | $27743.27      | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1        | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     607131 | PA      | $339863.00     | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |     270331 | PA      | $256690.11     | 0.02%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905380 FN 11/36 FIXED 6.5                    | CUSIP: 31411D2M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249804 | PA      | $262387.30     | 0.02%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4287 FN 11/40 FIXED VAR                    | CUSIP: 3138ELXR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1548117 | PA      | $1624885.28    | 0.14%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662065 GN 12/36 FIXED 6.5                    | CUSIP: 36294WQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14955 | PA      | $15856.84      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 6                                          | SEQUOIA MORTGAGE TRUST SEMT 6 A                        | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1651 | PA      | $1639.52       | 0.00%             | 2027-04-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS1339 FN 12/43 FIXED 5                      | CUSIP: 3138WAPZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133391 | PA      | $134417.55     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809953 FN 03/35 FIXED 6                      | CUSIP: 31406GZS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24534 | PA      | $25249.14      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A47402 FG 10/35 FIXED 5              | CUSIP: 3128K8GK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1656 | PA      | $1674.12       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323397 FN 11/28 FIXED VAR                    | CUSIP: 31374TGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $44.10         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A72770 FG 02/38 FIXED 5.5            | CUSIP: 3128L6CF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53392 | PA      | $54983.15      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | 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        |  101000000 | PA      | $102806150.68  | 8.66%             | 2056-06-11      | Fixed         | 6.00%                 | 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        |     393384 | PA      | $361264.82     | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30450 FG 01/29 FIXED 6              | CUSIP: 3128CUQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $445.24        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323621 FN 01/29 FIXED VAR                    | CUSIP: 31374TPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $235.76        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080657 G2 12/32 FLOATING VAR              | CUSIP: 36225CWT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149030 | PA      | $151883.33     | 0.01%             | 2032-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD8968 FN 11/46 FIXED 3.5                    | CUSIP: 3140FG6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200577 | PA      | $2058816.64    | 0.17%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775982 FN 07/34 FLOATING VAR                 | CUSIP: 31404RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11212 | PA      | $11430.13      | 0.00%             | 2034-07-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755724 FN 05/34 FIXED 5.5                    | CUSIP: 31403RSM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134599 | PA      | $137684.14     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 655687 FN 08/32 FIXED 6.5                    | CUSIP: 31390TNC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17318 | PA      | $17910.18      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886293 FN 07/36 FIXED 6.5                    | CUSIP: 31410DUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159097 | PA      | $167116.70     | 0.01%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4265                                           | FREDDIE MAC FHR 4265 LS                                | CUSIP: 3137B5RV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3048942 | PA      | $2820042.54    | 0.24%             | 2035-01-15      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 755411 FH 02/27 FLOATING VAR         | CUSIP: 31349HAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4188 | PA      | $4185.81       | 0.00%             | 2027-02-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0941 FR 04/52 FIXED 3              | CUSIP: 3132DNBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1127204 | PA      | $1002332.27    | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4826 FN 02/48 FIXED 3.5                    | CUSIP: 3140H6LG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     744104 | PA      | $691046.04     | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782780 GN 09/39 FIXED 5.5                    | CUSIP: 36241LCR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199188 | PA      | $207211.62     | 0.02%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SAIL 2004-10 M3 SP GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6.79          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02360 FG 10/36 FIXED 5.5            | CUSIP: 3128LXTR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2434 | PA      | $2499.63       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782964 GN 01/40 FIXED 6                      | CUSIP: 36241LJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6599 | PA      | $6959.61       | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A29015 FG 12/34 FIXED 5              | CUSIP: 31297HAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15014 | PA      | $15153.72      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 661528 GN 12/36 FIXED 6.5                    | CUSIP: 36294V4M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9738 | PA      | $10296.45      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR6169 GN 12/49 FIXED 3.5                    | CUSIP: 3617M42A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200383 | PA      | $185618.36     | 0.02%             | 2049-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5085 FR 06/53 FIXED 5              | CUSIP: 3133C5UJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82436 | PA      | $82322.46      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                                | FANNIE MAE FNR 2000 32 FM                              | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4378 | PA      | $4373.61       | 0.00%             | 2030-10-18      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 052597 FN 07/27 FLOATING VAR                 | CUSIP: 313617NN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $208.91        | 0.00%             | 2027-07-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 640225 FN 04/32 FLOATING VAR                 | CUSIP: 31390AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        878 | PA      | $896.55        | 0.00%             | 2032-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783231 FN 09/34 FIXED 6                      | CUSIP: 31405AEC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7788 | PA      | $7944.66       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 460719 GN 01/28 FIXED 6.5                    | CUSIP: 36208TYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        152 | PA      | $152.76        | 0.00%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93996 FG 09/40 FIXED 4.5            | CUSIP: 312942NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30917 | PA      | $30652.71      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | 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        |      79232 | PA      | $76446.57      | 0.01%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 830817 FN 10/35 FIXED 6                      | CUSIP: 31407HAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13512 | PA      | $13945.20      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $184295.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002412 G2 04/27 FIXED 7                   | CUSIP: 36202CVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $95.54         | 0.00%             | 2027-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 934787 FN 02/39 FIXED 6                      | CUSIP: 31412T6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15396 | PA      | $15905.59      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831927 FN 12/36 FIXED 6                      | CUSIP: 31407JHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5882 | PA      | $6173.76       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357844 FN 07/35 FIXED 6                      | CUSIP: 31376KP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30210 | PA      | $31454.80      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080150 G2 01/28 FLOATING VAR              | CUSIP: 36225CEY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5588 | PA      | $5571.09       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35745 FG 06/35 FIXED 5.5            | CUSIP: 31297RL21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40686 | PA      | $40971.16      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | 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        |    1500000 | PA      | $1489430.01    | 0.13%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9316 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4590090 | PA      | $4292369.33    | 0.36%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT3502 GN 02/50 FIXED 3.5                    | CUSIP: 3617MR3K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114977 | PA      | $105927.31     | 0.01%             | 2050-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2234 FN 08/38 FIXED 4                      | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     539807 | PA      | $531572.21     | 0.04%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820058 FN 05/35 FIXED 6                      | CUSIP: 31406UB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8411 | PA      | $8623.52       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688088 GN 11/38 FIXED 6.5                    | CUSIP: 36296DND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11660 | PA      | $12374.37      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781077 FN 05/34 FIXED 5.5                    | CUSIP: 31404WXE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6744 | PA      | $6781.08       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003908 G2 10/36 FIXED 5                   | CUSIP: 36202EKV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17497 | PA      | $17620.45      | 0.00%             | 2036-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0271 FN 08/40 FIXED VAR                    | CUSIP: 31419AJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94011 | PA      | $95063.74      | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A26750 FG 09/34 FIXED 5.5            | CUSIP: 31297EQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30889 | PA      | $31103.07      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 572165 FN 01/31 FIXED 6.5                    | CUSIP: 31386STW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $310.08        | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | 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        |  145805078 | PA      | $128088587.29  | 10.79%            | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931520 FN 07/29 FIXED 4.5                    | CUSIP: 31412P4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6843 | PA      | $6851.76       | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08045 FG 03/35 FIXED 5              | CUSIP: 3128MJBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7455 | PA      | $7528.80       | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0741 G2 11/55 FIXED 3                   | CUSIP: 3618N5ZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9857379 | PA      | $8812729.78    | 0.74%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257531 FN 11/28 FIXED 6.5                    | CUSIP: 31371PA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3136 | PA      | $3243.48       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 485398 GN 04/31 FIXED 7.5                    | CUSIP: 36209YGF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $165.92        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03122 FG 07/37 FIXED 5.5            | CUSIP: 3128M4YT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6958 | PA      | $7192.70       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD0824 FN 10/46 FIXED 3                      | CUSIP: 3140F74J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184742 | PA      | $167016.45     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2455 G2 05/48 FIXED 4                   | CUSIP: 3617GLWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     172838 | PA      | $162965.69     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01864 FG 01/34 FIXED 5              | CUSIP: 3128LXB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16184 | PA      | $16390.59      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 620193 FN 01/32 FIXED 6                      | CUSIP: 31389A7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5748 | PA      | $5861.47       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555281 FN 03/33 FIXED VAR                    | CUSIP: 31385W2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5513 | PA      | $5670.98       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4034 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     737089 | PA      | $669623.97     | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAIE WHOLE LOAN 2002-W2                                     | FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1                   | CUSIP: 31392CEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $340.00        | 0.00%             | 2032-06-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2        | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294660 | PA      | $285445.58     | 0.02%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 487128 GN 04/29 FIXED 6.5                    | CUSIP: 36210BD93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        563 | PA      | $571.60        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08221 FG 09/37 FIXED 5.5            | CUSIP: 3128MJG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2242 | PA      | $2314.78       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 661333 FN 09/32 FIXED 6.5                    | CUSIP: 31391AV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $102.57        | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003939 G2 01/37 FIXED 5                   | CUSIP: 36202ELU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41530 | PA      | $42142.89      | 0.00%             | 2037-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      11420 | NC      | $-17406071.33  | -1.47%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2903 FN 02/32 FIXED 3                      | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142979 | PA      | $139244.38     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252342 FN 04/29 FIXED 6.5                    | CUSIP: 31371HHT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $63.59         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555272 FN 03/33 FIXED VAR                    | CUSIP: 31385W2D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6678 | PA      | $6867.14       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5            | CUSIP: 3132A4FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2411 | PA      | $2278.30       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080363 G2 01/30 FLOATING VAR              | CUSIP: 36225CMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2337 | PA      | $2340.60       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7079 FN 07/35 FIXED VAR                    | CUSIP: 3138EP2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282178 | PA      | $276748.88     | 0.02%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1      | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        482 | PA      | $437.65        | 0.00%             | 2036-01-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A61999 FG 06/37 FIXED 5.5            | CUSIP: 3128KSGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2450 | PA      | $2511.67       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948989 FN 08/37 FIXED 6                      | CUSIP: 31413LXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1140 | PA      | $1174.69       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02236 FG 06/36 FIXED 5.5            | CUSIP: 3128LXPV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $134.67        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08118 FG 03/36 FIXED 6.5            | CUSIP: 3128MJDY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5053 | PA      | $5352.85       | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | 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        |     812990 | PA      | $829404.38     | 0.07%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A71408 FG 01/38 FIXED 5.5            | CUSIP: 3128L4R55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68845 | PA      | $70925.34      | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844610 FN 12/35 FIXED 6                      | CUSIP: 31407YKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5440 | PA      | $5642.75       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 651553 FN 07/32 FLOATING VAR                 | CUSIP: 31390NZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9895 | PA      | $10093.19      | 0.00%             | 2032-07-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776376 FN 05/34 FIXED 5.5                    | CUSIP: 31404RQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6544 | PA      | $6582.87       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080196 G2 05/28 FLOATING VAR              | CUSIP: 36225CGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $385.94        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677064 GN 07/38 FIXED 5.5                    | CUSIP: 36295QFD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33752 | PA      | $34785.09      | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0567 G2 07/47 FIXED 3.5                 | CUSIP: 3617B3TY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     301926 | PA      | $280889.75     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 739755 FN 01/34 FIXED 5.5                    | CUSIP: 31402VZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47092 | PA      | $47878.44      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01328 FG 06/41 FIXED 5.5            | CUSIP: 3132GEPM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     345762 | PA      | $354120.96     | 0.03%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03368 FG 12/33 FIXED 6.5            | CUSIP: 3128M5CD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1722 | PA      | $1792.90       | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                      | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2831483 | PA      | $2493177.18    | 0.21%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 606116 FN 09/31 FLOATING VAR                 | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2111 | PA      | $2132.40       | 0.00%             | 2031-09-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03328 FG 09/37 FIXED 5.5            | CUSIP: 3128M5A59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5467 | PA      | $5652.17       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | 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        |      54688 | PA      | $51836.00      | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795111 FN 10/34 FIXED 5.5                    | CUSIP: 31405PKY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $267.63        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35819 FG 07/35 FIXED 5              | CUSIP: 31297RPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11262 | PA      | $11238.86      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A         | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52515 | PA      | $49909.18      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1885                                                  | FREDDIE MAC FHR 1885 FA                                | CUSIP: 3133T83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $176.07        | 0.00%             | 2026-09-15      | Floating      | 4.24%                 | 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        |    6579510 | PA      | $300292.79     | 0.03%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1642 G2 01/48 FIXED 4                   | CUSIP: 3617BUZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330725 | PA      | $1289234.19    | 0.11%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0232 FN 11/29 FIXED 4.5                    | CUSIP: 31417YHJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4912 | PA      | $4917.82       | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2006-20E                           | SMALL BUSINESS ADMINISTRATION SBAP 2006 20E 1          | CUSIP: 83162CQG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5731 | PA      | $5736.25       | 0.00%             | 2026-05-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1        | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        574 | PA      | $556.30        | 0.00%             | 2034-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04838 FG 01/38 FIXED 5.5            | CUSIP: 3128M6V70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12008 | PA      | $12412.99      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080106 G2 08/27 FLOATING VAR              | CUSIP: 36225CDL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1035.06       | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716818 GN 04/39 FIXED 4.5                    | CUSIP: 3620A2K70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4989 | PA      | $4948.97       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0600 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3UZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     487130 | PA      | $453206.62     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                     | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                 | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25298 | PA      | $23552.19      | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080085 G2 06/27 FLOATING VAR              | CUSIP: 36225CCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        725 | PA      | $726.43        | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G07386 FG 08/40 FIXED 5.5            | CUSIP: 3128M9RF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58170 | PA      | $60134.54      | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                 | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3514898 | PA      | $3295193.94    | 0.28%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                               | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 A           | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13303 | PA      | $12725.15      | 0.00%             | 2032-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 313968 FN 12/27 FLOATING VAR                 | CUSIP: 31374GW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1875 | PA      | $1889.43       | 0.00%             | 2027-12-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1030 FN 11/43 FIXED 5                      | CUSIP: 3138XCEC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43743 | PA      | $43824.04      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5            | CUSIP: 3128M7AX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22716 | PA      | $23411.03      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05774 FG 01/40 FIXED 5              | CUSIP: 3128M7XB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61807 | PA      | $62576.11      | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22833 | PA      | $22175.50      | 0.00%             | 2034-10-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 776974 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20929 | PA      | $21420.29      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778068 FN 05/34 FIXED 5.5                    | CUSIP: 31404TMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3143 | PA      | $3159.73       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1     | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319706 | PA      | $303229.19     | 0.03%             | 2045-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03498 FG 11/37 FIXED 5.5            | CUSIP: 3128M5GF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2273 | PA      | $2349.79       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080446 G2 08/30 FLOATING VAR              | CUSIP: 36225CP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7940 | PA      | $7998.17       | 0.00%             | 2030-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03526 FG 06/36 FIXED 5.5            | CUSIP: 3128M5HB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9979 | PA      | $10315.96      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 892558 FN 07/36 FIXED 6                      | CUSIP: 31410NTP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7769 | PA      | $8132.21       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A59302 FG 04/37 FIXED 5.5            | CUSIP: 3128KNKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $170.86        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0782 G2 02/43 FIXED 3                   | CUSIP: 36179M2P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2774097 | PA      | $2543566.24    | 0.21%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                   | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1             | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271620 | PA      | $148851.51     | 0.01%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4587 FN 04/43 FIXED VAR                    | CUSIP: 3140XLCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251134 | PA      | $259797.30     | 0.02%             | 2043-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782508 GN 12/38 FIXED 5.5                    | CUSIP: 36241KYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17188 | PA      | $17880.15      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003974 G2 04/37 FIXED 5                   | CUSIP: 36202EMX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2730 | PA      | $2771.43       | 0.00%             | 2037-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3894 FN 09/31 FIXED 4                      | CUSIP: 31418DKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52106 | PA      | $51714.25      | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080272 G2 04/29 FLOATING VAR              | CUSIP: 36225CJS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $950.72        | 0.00%             | 2029-04-20      | Floating      | 5.62%                 | 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        |     672401 | PA      | $645154.89     | 0.05%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722105 GN 12/39 FIXED 5.5                    | CUSIP: 3620A8GN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8437 | PA      | $8740.72       | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ4187 G2 09/48 FIXED 4.5                 | CUSIP: 3617HRUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     506843 | PA      | $490850.31     | 0.04%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93652 FG 09/40 FIXED 5              | CUSIP: 312942BV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        674 | PA      | $681.28        | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-6                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 6 A11 144A         | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1023856 | PA      | $1008461.03    | 0.08%             | 2049-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04332 FG 03/38 FIXED 5              | CUSIP: 3128M6ED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48796 | PA      | $49402.65      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     786880 | PA      | $671173.57     | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 765345 FN 06/34 FIXED 5.5                    | CUSIP: 31404DHW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35593 | PA      | $35911.11      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 703814 FN 05/33 FIXED 5.5                    | CUSIP: 31401B3X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13414 | PA      | $13577.97      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 823498 FN 05/35 FIXED 6                      | CUSIP: 31406X3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6122 | PA      | $6261.38       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC-1998-62                                          | FANNIE MAE FNR 1998 62 ZD                              | CUSIP: 31359UL86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28008 | PA      | $27842.81      | 0.00%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SACO I TRUST 2005-10                                              | SACO I TRUST SACO 2005 10 1A                           | CUSIP: 785778ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13955 | PA      | $13770.10      | 0.00%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92487 FG 06/40 FIXED 5              | CUSIP: 312940XQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34060 | PA      | $34459.29      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-1                                    | HOMEBANC MORTGAGE TRUST HMBT 2004 1 2A                 | CUSIP: 43739EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40038 | PA      | $39459.92      | 0.00%             | 2029-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888215 FN 12/36 FIXED VAR                    | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50712 | PA      | $53435.71      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR19                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR19 3A1      | CUSIP: 45660GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6276777 | PA      | $5369183.00    | 0.45%             | 2036-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                | FANNIE MAE FNR 2002 21 FC                              | CUSIP: 31392CRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $597.35        | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    3609688 | PA      | $35154755.49   | 2.96%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434239 GN 03/29 FIXED 6.5                    | CUSIP: 36207KLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $316.67        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5166 FR 07/42 FIXED 3              | CUSIP: 3133KYW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     571729 | PA      | $530185.89     | 0.04%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626921 GN 03/45 FIXED 3                      | CUSIP: 36291FPE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     306632 | PA      | $276403.14     | 0.02%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675394 GN 05/38 FIXED 6.5                    | CUSIP: 36295NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67611 | PA      | $71386.79      | 0.01%             | 2038-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890362 FN 08/41 FIXED VAR                    | CUSIP: 31410LFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2815839 | PA      | $2788261.92    | 0.23%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545944 FN 10/32 FIXED VAR                    | CUSIP: 31385JP51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        330 | PA      | $339.36        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W13                                     | FANNIEMAE WHOLE LOAN FNW 2003 W13 AV2                  | CUSIP: 31393C7G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.83          | 0.00%             | 2033-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA3699 GN 08/42 FIXED 3.5                    | CUSIP: 36178BDC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231563 | PA      | $217573.41     | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2114                                                  | FREDDIE MAC FHR 2114 PM                                | CUSIP: 3133THPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5967 | PA      | $5974.59       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002473 G2 08/27 FIXED 7.5                 | CUSIP: 36202CXA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $114.33        | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697489 GN 09/38 FIXED 6                      | CUSIP: 36296P2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1178 | PA      | $1229.63       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 313783 FN 05/36 FLOATING VAR                 | CUSIP: 31374GRC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $871.87        | 0.00%             | 2036-05-01      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779445 FN 06/34 FIXED 5.5                    | CUSIP: 31404U5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47277 | PA      | $47782.07      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 326                                            | FREDDIEMAC STRIP FHS 326 F2                            | CUSIP: 3132HT3R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     746316 | PA      | $738511.40     | 0.06%             | 2044-03-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2678 FN 01/52 FIXED VAR                    | CUSIP: 3140XH6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6886012 | PA      | $5851649.44    | 0.49%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEP CORP 2001-R1A                                  | NOMURA ASSET ACCEPTANCE CORPOR NAA 2001 R1A A 144A     | CUSIP: 65535VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77421 | PA      | $77257.07      | 0.01%             | 2030-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946744 FN 08/37 FIXED 6                      | CUSIP: 31413JHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52767 | PA      | $54000.25      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM4862 FN 11/50 FIXED VAR                    | CUSIP: 3140X8ML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1797130 | PA      | $1518107.76    | 0.13%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     565236 | PA      | $349779.34     | 0.03%             | 2035-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2        | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72989 | PA      | $71005.47      | 0.01%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800412 FN 12/34 FIXED 5.5                    | CUSIP: 31405VGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147388 | PA      | $148342.28     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-89                                                | FANNIE MAE FNR 1997 89 ZA                              | CUSIP: 31359RPS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3544 | PA      | $3580.44       | 0.00%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.15500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1008808.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080156 G2 01/28 FLOATING VAR              | CUSIP: 36225CE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6942 | PA      | $6911.18       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI3937 FN 09/41 FIXED 4                      | CUSIP: 3138AHLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208241 | PA      | $201067.88     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05044 FG 08/38 FIXED 5.5            | CUSIP: 3128M65D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27957 | PA      | $28862.14      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5018 G2 02/48 FIXED 3                   | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2032436 | PA      | $1838233.59    | 0.15%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080710 G2 07/33 FLOATING VAR              | CUSIP: 36225CYG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218295 | PA      | $221325.45     | 0.02%             | 2033-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4821                                           | FREDDIE MAC FHR 4821 FL                                | CUSIP: 3137FHED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     917969 | PA      | $894478.07     | 0.08%             | 2048-06-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4175 | PA      | $3961.17       | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ6388 FN 02/48 FIXED 4                      | CUSIP: 3140H8C29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     526458 | PA      | $504053.16     | 0.04%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 867653 FN 05/36 FIXED 6                      | CUSIP: 31409C5N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4533 | PA      | $4690.84       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735903 FN 06/35 FIXED VAR                    | CUSIP: 31402RRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6392 | PA      | $6518.52       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832562 FN 09/35 FLOATING VAR                 | CUSIP: 31407J5X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26905 | PA      | $27649.49      | 0.00%             | 2035-09-01      | Floating      | 6.42%                 | 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        |     253922 | PA      | $241166.26     | 0.02%             | 2037-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5            | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5228 | PA      | $5250.43       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                 | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2421171 | PA      | $2385128.63    | 0.20%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2961 G2 07/45 FIXED 3.5                 | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     681952 | PA      | $642292.45     | 0.05%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7589 FN 10/45 FIXED VAR                    | CUSIP: 3138EQNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27566 | PA      | $25969.96      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                           | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A         | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     511623 | PA      | $404895.28     | 0.03%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1638 G2 12/47 FIXED 4                   | CUSIP: 3617BUZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     515897 | PA      | $499817.46     | 0.04%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 773307 GN 11/41 FIXED 4.5                    | CUSIP: 36176Q3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51012 | PA      | $49899.88      | 0.00%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U63001 FG 07/43 FIXED 3              | CUSIP: 3132JRKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     770103 | PA      | $704297.94     | 0.06%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3      | CUSIP: 23242GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260826 | PA      | $236443.72     | 0.02%             | 2046-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781042 FN 06/34 FIXED 5.5                    | CUSIP: 31404WWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17455 | PA      | $17555.76      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782962 GN 05/40 FIXED 5                      | CUSIP: 36241LJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87090 | PA      | $88927.82      | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2106                                                  | FREDDIE MAC FHR 2106 ZB                                | CUSIP: 3133THDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21103 | PA      | $21363.78      | 0.00%             | 2028-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004113 G2 04/38 FIXED 5                   | CUSIP: 36202ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145012 | PA      | $147446.31     | 0.01%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2833 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     639955 | PA      | $641565.52     | 0.05%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 685615 FN 02/33 FIXED 6                      | CUSIP: 31400EVG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2556 | PA      | $2605.42       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4213 FN 09/43 FIXED VAR                    | CUSIP: 3138ELVF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1828020 | PA      | $1765068.37    | 0.15%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782655 GN 05/39 FIXED 5.5                    | CUSIP: 36241K5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29189 | PA      | $30362.66      | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08175 FG 01/37 FIXED 6.5            | CUSIP: 3128MJFR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9682 | PA      | $10256.46      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781885 GN 03/35 FIXED 5                      | CUSIP: 36241KCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $402.52        | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 702849 FN 04/33 FIXED 6                      | CUSIP: 31401AZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2902 | PA      | $2959.54       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783213 GN 09/40 FIXED 5.5                    | CUSIP: 36241LSA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     427646 | PA      | $444871.61     | 0.04%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700916 GN 11/38 FIXED 6                      | CUSIP: 36296TVH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9973 | PA      | $10346.10      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A       | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1976242 | PA      | $410176.22     | 0.03%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                             | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                    | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5028 | PA      | $5057.90       | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002910 G2 04/30 FIXED 8.5                 | CUSIP: 36202DGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $391.95        | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | 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        |     106289 | PA      | $103548.55     | 0.01%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 797544 FN 04/35 FIXED 6                      | CUSIP: 31405SBM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1197 | PA      | $1221.15       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005282 G2 01/42 FIXED 5                   | CUSIP: 36202F2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1087550 | PA      | $1108831.38    | 0.09%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS9646 FN 05/37 FIXED 4                      | CUSIP: 3138WKWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2438115 | PA      | $2407991.66    | 0.20%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783609 GN 10/40 FIXED 4.5                    | CUSIP: 3622A2AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14135 | PA      | $14045.06      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C      | CUSIP: 92922FWV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32984 | PA      | $32107.52      | 0.00%             | 2044-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75114 FG 03/38 FIXED 5.5            | CUSIP: 3128L8VF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21147 | PA      | $21389.16      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C71288 FG 09/32 FIXED 5.5            | CUSIP: 31287YND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1199.05       | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780580 GN 06/27 FIXED 7.5                    | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $84.47         | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5258 FR 06/53 FIXED 5              | CUSIP: 3133C5ZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113345 | PA      | $113231.52     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699666 GN 07/40 FIXED 5                      | CUSIP: 36296SJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15882 | PA      | $15972.32      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782135 GN 01/37 FIXED 5.5                    | CUSIP: 36241KLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8877 | PA      | $9232.49       | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A76047 FG 04/38 FIXED 5.5            | CUSIP: 3128L9WG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6745 | PA      | $6944.08       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802328 FN 11/34 FIXED 5.5                    | CUSIP: 31405XLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2228 | PA      | $2301.39       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782333 GN 06/38 FIXED 5.5                    | CUSIP: 36241KSW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68818 | PA      | $71589.65      | 0.01%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2756 G2 04/45 FIXED 4.5                 | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1955341 | PA      | $1934083.76    | 0.16%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1360 FN 03/48 FIXED 3.5                    | CUSIP: 3140Q8QN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7892031 | PA      | $7287788.93    | 0.61%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0900 FN 07/43 FIXED VAR                    | CUSIP: 3140XGAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9260197 | PA      | $8760633.58    | 0.74%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080152 G2 01/28 FLOATING VAR              | CUSIP: 36225CE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $401.74        | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-64                                         | FANNIE MAE FNR 2016 64 IA                              | CUSIP: 3136ATUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1874410 | PA      | $206198.75     | 0.02%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1966                                                  | FREDDIE MAC FHR 1966 Z                                 | CUSIP: 3133TABZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $63.14         | 0.00%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 656202 GN 08/36 FIXED 6.5                    | CUSIP: 36294QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9571 | PA      | $10106.31      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 389785 GN 12/32 FIXED 5.5                    | CUSIP: 36205F6W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10006 | PA      | $10050.25      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 994016 FN 09/39 FIXED 4                      | CUSIP: 31416AGZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179575 | PA      | $173573.81     | 0.01%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2003-T4                                   | FANNIEMAE GRANTOR TRUST FNGT 2003 T4 1A                | CUSIP: 31393AU96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $790.62        | 0.00%             | 2033-09-26      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700804 GN 10/38 FIXED 5.5                    | CUSIP: 36296TRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82457 | PA      | $84684.15      | 0.01%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732941 GN 01/40 FIXED 5.5                    | CUSIP: 3620ALHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21486 | PA      | $22060.91      | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A73872 FG 03/38 FIXED 5              | CUSIP: 3128L7JR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4101 | PA      | $4152.20       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7070 FN 04/51 FIXED VAR                    | CUSIP: 3140XA2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4138487 | PA      | $3718743.26    | 0.31%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-32                                         | FANNIE MAE FNR 2013 32 AC                              | CUSIP: 3136ADKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147297 | PA      | $139577.13     | 0.01%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701501 GN 12/38 FIXED 5                      | CUSIP: 36296UKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4938 | PA      | $5044.24       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775298 FN 05/34 FIXED 5.5                    | CUSIP: 31404QKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36067 | PA      | $36363.35      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                  | FREDDIE MAC FHR 2266 F                                 | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.74         | 0.00%             | 2030-11-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89352 FG 10/39 FIXED 4.5            | CUSIP: 312936L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92151 | PA      | $91081.13      | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080058 G2 04/27 FLOATING VAR              | CUSIP: 36225CB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        810 | PA      | $811.04        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 822615 FN 05/35 FIXED 6.5                    | CUSIP: 31406W3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30758 | PA      | $32103.82      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783353 GN 04/41 FIXED 5                      | CUSIP: 36241LWN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77383 | PA      | $79031.09      | 0.01%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 669050 GN 05/37 FIXED 6.5                    | CUSIP: 36295FH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3173 | PA      | $3346.16       | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A36995 FG 09/35 FIXED 5.5            | CUSIP: 31297SXY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9071 | PA      | $9297.83       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AZ1909 FN 06/45 FIXED 3                      | CUSIP: 3138YTDP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15953 | PA      | $14191.84      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784295 G2 03/47 FIXED 3.5                 | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5508738 | PA      | $5113637.65    | 0.43%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5368 FN 08/47 FIXED 3.5                    | CUSIP: 3140GT6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     518176 | PA      | $485904.23     | 0.04%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804644 FN 12/34 FIXED 5.5                    | CUSIP: 31406A5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        652 | PA      | $671.14        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C79405 FG 05/33 FIXED 5              | CUSIP: 31288JNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $112.76        | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                     | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                 | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2815 | PA      | $2608.68       | 0.00%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764229 FN 01/34 FIXED 6.5                    | CUSIP: 31404CA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2387 | PA      | $2469.62       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A     | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     905976 | PA      | $906589.51     | 0.08%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008983 G2 09/26 FLOATING VAR              | CUSIP: 36202K6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $127.00        | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604945 GN 01/34 FIXED 5                      | CUSIP: 36200NBN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1487 | PA      | $1500.29       | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559806 FN 10/30 FLOATING VAR                 | CUSIP: 31386C3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8999 | PA      | $9062.19       | 0.00%             | 2030-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737442 GN 09/40 FIXED 4                      | CUSIP: 3620ARHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36662 | PA      | $35022.84      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1548 FN 04/52 FIXED VAR                    | CUSIP: 3140XGWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     921612 | PA      | $786091.91     | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944606 FN 07/37 FIXED 5.5                    | CUSIP: 31413F3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1939 | PA      | $1984.80       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608150 GN 04/33 FIXED 5.5                    | CUSIP: 36202STF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11363 | PA      | $11778.26      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995930 FN 04/39 FIXED VAR                    | CUSIP: 31416CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40571 | PA      | $41024.26      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91696 FG 07/43 FIXED 4              | CUSIP: 3132HBXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     405296 | PA      | $394430.28     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4825                                           | FREDDIE MAC FHR 4825 NI                                | CUSIP: 3137FH6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820374 | PA      | $131683.12     | 0.01%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831686 FN 07/36 FIXED 6.5                    | CUSIP: 31407H6X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24461 | PA      | $25693.34      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91232 FG 11/28 FIXED 5              | CUSIP: 3128P7LM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4079 | PA      | $4099.45       | 0.00%             | 2028-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 850655 FN 02/36 FIXED 6.5                    | CUSIP: 31408GBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53812 | PA      | $55666.12      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91167 FG 04/28 FIXED 5              | CUSIP: 3128P7JL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11303 | PA      | $11374.79      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550688 GN 10/35 FIXED 6.5                    | CUSIP: 36213CXR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1094 | PA      | $1158.99       | 0.00%             | 2035-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0462 FN 02/37 FIXED 6                      | CUSIP: 31416VQQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57217 | PA      | $59009.28      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A35938 FG 07/35 FIXED 5              | CUSIP: 31297RS32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26876 | PA      | $27175.42      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1       | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352240 | PA      | $338198.60     | 0.03%             | 2045-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B        | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40514 | PA      | $36894.11      | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831804 FN 10/36 FIXED 6.5                    | CUSIP: 31407JDH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14554 | PA      | $15423.73      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462599 GN 03/28 FIXED 6.5                    | CUSIP: 36208V3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $389.99        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 786267 FN 07/34 FIXED 5.5                    | CUSIP: 31405DQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5501 | PA      | $5530.96       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602552 GN 03/36 FIXED 5                      | CUSIP: 36200JL99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5502 | PA      | $5588.56       | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56911 FG 02/37 FIXED 5.5            | CUSIP: 3128KKVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12542 | PA      | $12931.66      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5831 G2 07/47 FIXED 3.5                 | CUSIP: 3617AJPQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442478 | PA      | $411653.87     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890299 FN 07/40 FIXED VAR                    | CUSIP: 31410LDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43776 | PA      | $45948.48      | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 2046                                                          | FREDDIE MAC FHR 2046 G                                 | CUSIP: 3133TDCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        626 | PA      | $632.27        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30412 FG 03/28 FIXED 6              | CUSIP: 3128CUN51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4351 | PA      | $4440.50       | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70500 01/10/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $192912.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323835 FN 05/29 FIXED VAR                    | CUSIP: 31374TV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $127.29        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                           | FREDDIE MAC FHR 4989 FB                                | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1803675 | PA      | $1772678.56    | 0.15%             | 2040-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2125 FN 06/53 FIXED 5                      | CUSIP: 3140NJLF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141438 | PA      | $141622.70     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784208 GN 07/46 FIXED 4                      | CUSIP: 3622A2U91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3608200 | PA      | $3515702.08    | 0.30%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710683 GN 07/39 FIXED 4.5                    | CUSIP: 36297FRC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12808 | PA      | $12749.50      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559800 FN 09/40 FLOATING VAR                 | CUSIP: 31386C3H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14265 | PA      | $14259.35      | 0.00%             | 2040-09-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535415 FN 05/30 FLOATING VAR                 | CUSIP: 31384VYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4697 | PA      | $4747.65       | 0.00%             | 2030-05-01      | Floating      | 6.01%                 | 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        |  270058000 | PA      | $260385967.25  | 21.93%            | 2056-05-13      | Fixed         | 4.50%                 | 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        |  -39000000 | PA      | $-34823334.39  | -2.93%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 769755 GN 09/41 FIXED 4                      | CUSIP: 36176L5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133076 | PA      | $129512.77     | 0.01%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE8073 FN 12/40 FIXED 4                      | CUSIP: 31419J6K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     565483 | PA      | $546464.65     | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5882 G2 07/47 FIXED 3.5                 | CUSIP: 3617AJRB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     657563 | PA      | $611990.40     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                               | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2           | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1456046 | PA      | $1437877.11    | 0.12%             | 2035-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 081401 G2 07/35 FLOATING VAR              | CUSIP: 36225DRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124696 | PA      | $126663.07     | 0.01%             | 2035-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3         | CUSIP: 542514HV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24154 | PA      | $21327.37      | 0.00%             | 2034-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01938 FG 09/35 FIXED 5.5            | CUSIP: 3128LXEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24115 | PA      | $24928.18      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | 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        |   99165000 | PA      | $81892471.04   | 6.90%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                     | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                 | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2056 | PA      | $2021.01       | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896113 FN 06/36 FIXED 6                      | CUSIP: 31410SSA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13788 | PA      | $14062.87      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69945 FG 12/37 FIXED 5.5            | CUSIP: 3128L2BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106299 | PA      | $108583.90     | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745281 FN 01/36 FIXED VAR                    | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4351 | PA      | $4563.92       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689938 GN 10/38 FIXED 6                      | CUSIP: 36296FPX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4627 | PA      | $4799.29       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 757044 GN 12/40 FIXED 4                      | CUSIP: 36230RZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17119 | PA      | $16466.88      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | 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        |     254720 | PA      | $11614.48      | 0.00%             | 2055-08-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782474 GN 12/38 FIXED 5.5                    | CUSIP: 36241KXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24024 | PA      | $24991.95      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888882 FN 08/37 FIXED VAR                    | CUSIP: 31410GRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3468 | PA      | $3679.31       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1        | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13486 | PA      | $11960.04      | 0.00%             | 2035-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655251 GN 10/36 FIXED 6.5                    | CUSIP: 36294N5L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1887 | PA      | $2024.83       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q01242 FG 06/41 FIXED 5.5            | CUSIP: 3132GELX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17979 | PA      | $18235.37      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080541 G2 09/31 FLOATING VAR              | CUSIP: 36225CS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157371 | PA      | $157260.67     | 0.01%             | 2031-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 948731 FN 08/37 FIXED 6.5                    | CUSIP: 31413LPQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21734 | PA      | $22479.86      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8724 FN 07/33 FIXED 4.63                   | CUSIP: 3140LKVS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3439548 | PA      | $3452831.18    | 0.29%             | 2033-07-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944021 FN 08/37 FIXED 6                      | CUSIP: 31413FG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4118 | PA      | $4279.47       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                                     | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                  | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3221 | PA      | $3213.31       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04688 FG 09/38 FIXED 5.5            | CUSIP: 3128M6RH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28566 | PA      | $29419.28      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 566470 FN 02/31 FIXED 6                      | CUSIP: 31386LJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2659 | PA      | $2711.36       | 0.00%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1       | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     406217 | PA      | $370680.04     | 0.03%             | 2037-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 223535 FN 12/30 FLOATING VAR                 | CUSIP: 31369XHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10142 | PA      | $10271.28      | 0.00%             | 2030-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545204 FN 05/36 FLOATING VAR                 | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20781 | PA      | $20544.68      | 0.00%             | 2036-05-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05852 FG 03/39 FIXED 5.5            | CUSIP: 3128M7ZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99773 | PA      | $102717.47     | 0.01%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91129 FG 12/27 FIXED 6              | CUSIP: 3128P7HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1395 | PA      | $1423.93       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 850616 FN 02/36 FLOATING VAR                 | CUSIP: 31408GAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7093 | PA      | $7250.58       | 0.00%             | 2036-02-01      | Floating      | 6.16%                 | 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        |    1320218 | PA      | $1265130.66    | 0.11%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 792592 FN 08/34 FIXED 6.5                    | CUSIP: 31405LRM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5187 | PA      | $5400.89       | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779589 FN 06/34 FIXED 5.5                    | CUSIP: 31404VC22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30357 | PA      | $30543.34      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.14500 10/10/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $320306.73     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 798815 FN 12/34 FIXED 5.5                    | CUSIP: 31405TN81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $158.50        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886403 FN 08/36 FIXED 6.5                    | CUSIP: 31410DX88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84120 | PA      | $88012.56      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | 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        |   14400000 | PA      | $11109374.93   | 0.94%             | 2056-05-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 409335 FN 11/28 FIXED 6                      | CUSIP: 31378UV41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $52.98         | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4940                                           | FREDDIE MAC FHR 4940 FE                                | CUSIP: 3137FQLW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1226436 | PA      | $1208206.22    | 0.10%             | 2050-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A     | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1815091 | PA      | $1815678.09    | 0.15%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                              | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1         | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90297 | PA      | $77300.91      | 0.01%             | 2035-09-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BA4544 FN 11/35 FIXED 4                      | CUSIP: 3140E9BN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1452543 | PA      | $1433375.53    | 0.12%             | 2035-11-01      | Fixed         | 4.00%                 | 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        |     198856 | PA      | $198754.86     | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A86492 FG 05/39 FIXED 4.5            | CUSIP: 312933F90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8751 | PA      | $8676.00       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 668414 GN 04/37 FIXED 5.5                    | CUSIP: 36295ESB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13477 | PA      | $13761.50      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM8692 GN 06/45 FIXED 2.5                    | CUSIP: 36185BUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72819 | PA      | $62877.89      | 0.01%             | 2045-06-15      | Fixed         | 2.50%                 | 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        |     155048 | PA      | $8159.05       | 0.00%             | 2038-02-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697572 GN 11/38 FIXED 5                      | CUSIP: 36296P6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153708 | PA      | $155695.94     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q35988 FG 09/45 FIXED 4              | CUSIP: 3132QSUN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225086 | PA      | $217360.90     | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC5222 G2 09/47 FIXED 3.5                 | CUSIP: 3617B8YT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     424304 | PA      | $394749.76     | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257230 FN 06/38 FIXED 5                      | CUSIP: 31371NVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65036 | PA      | $65763.83      | 0.01%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773696 FN 04/34 FIXED 5.5                    | CUSIP: 31404NRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6422 | PA      | $6457.31       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AY8034 G2 03/47 FIXED 3.5                 | CUSIP: 36196X4T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     805931 | PA      | $750086.17     | 0.06%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4       | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300160 | PA      | $229334.63     | 0.02%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 415389 GN 09/29 FIXED 8.5                    | CUSIP: 36206MNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $373.00        | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02252 FG 07/36 FIXED 5.5            | CUSIP: 3128LXQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12891 | PA      | $13326.01      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 914984 FN 04/37 FIXED 6                      | CUSIP: 31411URD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5002 | PA      | $5235.94       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | 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      | $279497.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1        | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70125 | PA      | $65902.60      | 0.01%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 712594 GN 07/39 FIXED 5.5                    | CUSIP: 36297HUT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56097 | PA      | $57282.05      | 0.00%             | 2039-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 518691 GN 12/29 FIXED 8.5                    | CUSIP: 36211PF81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3319 | PA      | $3377.55       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 598543 GN 04/35 FIXED 5.5                    | CUSIP: 36200D5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $185.76        | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08314 FG 01/39 FIXED 5.5            | CUSIP: 3128MJK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77147 | PA      | $79424.06      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03458 FG 11/37 FIXED 5.5            | CUSIP: 3128M5E71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $993.40        | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                                  | FREDDIE MAC FHR 2457 PE                                | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16324 | PA      | $16981.61      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4058 FN 06/53 FIXED 5                      | CUSIP: 3140NLQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     237338 | PA      | $237444.11     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                     | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                 | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169269 | PA      | $163725.98     | 0.01%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4945                                           | FREDDIE MAC FHR 4945 F                                 | CUSIP: 3137FQLE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293506 | PA      | $289755.38     | 0.02%             | 2046-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 728723 FN 07/33 FIXED 5.5                    | CUSIP: 31402GSL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29634 | PA      | $29803.97      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03591 FG 11/37 FIXED 5.5            | CUSIP: 3128M5KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3647 | PA      | $3767.72       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36870000 | PA      | $33764980.05   | 2.84%             | 2056-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM0076 FN 03/50 FIXED VAR                    | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3003674 | PA      | $2687196.72    | 0.23%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725162 FN 02/34 FIXED VAR                    | CUSIP: 31402CTT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1271 | PA      | $1316.55       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A          | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1697168 | PA      | $461480.64     | 0.04%             | 2037-04-25      | Fixed         | 6.08%                 | 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        |    1690915 | PA      | $1657908.07    | 0.14%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782542 GN 01/39 FIXED 4.5                    | CUSIP: 36241KZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173421 | PA      | $172740.27     | 0.01%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 667332 GN 03/37 FIXED 6.5                    | CUSIP: 36295DLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1248 | PA      | $1316.46       | 0.00%             | 2037-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9315 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     702630 | PA      | $660221.79     | 0.06%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782604 GN 03/39 FIXED 5.5                    | CUSIP: 36241K3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76747 | PA      | $79838.96      | 0.01%             | 2039-03-15      | Fixed         | 5.50%                 | 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        |     400000 | PA      | $402983.30     | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847709 FH 07/35 FLOATING VAR         | CUSIP: 3128JRR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61443 | PA      | $62989.08      | 0.01%             | 2035-07-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A64391 FG 08/37 FIXED 6              | CUSIP: 3128KU2Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $461.72        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3432 FN 02/48 FIXED 3.5                    | CUSIP: 3140H4Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71571 | PA      | $66120.71      | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                                  | FREDDIE MAC FHR 2415 ZA                                | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3208 | PA      | $3331.05       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0356 FN 05/51 FIXED 3                      | CUSIP: 3140QKME5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5832879 | PA      | $5137238.13    | 0.43%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2007-HE2                            | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2       | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        800 | PA      | $577.87        | 0.00%             | 2037-05-25      | Floating      | 3.87%                 | 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        |     228070 | PA      | $12182.91      | 0.00%             | 2045-01-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1       | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32232 | PA      | $31799.75      | 0.00%             | 2036-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04359 FG 06/38 FIXED 5.5            | CUSIP: 3128M6E87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200144 | PA      | $206049.92     | 0.02%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 872277 FN 05/36 FIXED 6                      | CUSIP: 31409JCN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        749 | PA      | $771.15        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080292 G2 06/29 FLOATING VAR              | CUSIP: 36225CKE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        337 | PA      | $336.69        | 0.00%             | 2029-06-20      | Floating      | 5.62%                 | 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        |     210397 | PA      | $186989.50     | 0.02%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828064 FN 06/35 FIXED 6                      | CUSIP: 31407D5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2015 | PA      | $2107.00       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0167 FN 02/57 FIXED 3                      | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3818768 | PA      | $3333593.56    | 0.28%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06091 FG 05/40 FIXED 5.5            | CUSIP: 3128M8C44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21924 | PA      | $22586.79      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002444 G2 06/27 FIXED 7.5                 | CUSIP: 36202CWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $199.12        | 0.00%             | 2027-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080197 G2 05/28 FLOATING VAR              | CUSIP: 36225CGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $807.04        | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775548 FN 05/34 FIXED 5.5                    | CUSIP: 31404QTD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31651 | PA      | $31875.37      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3485 G2 08/47 FIXED 3.5                 | CUSIP: 3617AT2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     557509 | PA      | $518670.45     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889072 FN 12/37 FIXED VAR                    | CUSIP: 31410GW90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5971 | PA      | $6332.81       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | 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        |    1754630 | PA      | $287016.17     | 0.02%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607658 GN 02/33 FIXED 5.5                    | CUSIP: 36202SB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2677 | PA      | $2684.06       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 819990 FN 04/35 FIXED 6                      | CUSIP: 31406T7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1097 | PA      | $1134.99       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 807280 FN 10/34 FIXED 6.5                    | CUSIP: 31406D2M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19674 | PA      | $20611.47      | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9140 G2 01/48 FIXED 3.5                 | CUSIP: 3617BREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800159 | PA      | $1675433.44    | 0.14%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A           | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340136 | PA      | $319178.11     | 0.03%             | 2037-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724065 GN 07/39 FIXED 6.5                    | CUSIP: 3620AAMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25605 | PA      | $26844.93      | 0.00%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080555 G2 11/31 FLOATING VAR              | CUSIP: 36225CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87938 | PA      | $88078.57      | 0.01%             | 2031-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782662 GN 05/39 FIXED 5.5                    | CUSIP: 36241K5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5019 | PA      | $5220.89       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711479 GN 12/39 FIXED 5                      | CUSIP: 36297GM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107316 | PA      | $110803.98     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A23803 FG 06/34 FIXED 5              | CUSIP: 31297BGL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2040 | PA      | $2049.30       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 720739 GN 10/39 FIXED 5.5                    | CUSIP: 3620A6V87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169102 | PA      | $174297.43     | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080092 G2 07/27 FLOATING VAR              | CUSIP: 36225CC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $355.23        | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1338 FN 12/40 FIXED 4                      | CUSIP: 3138A2PY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80523 | PA      | $77813.98      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724033 GN 11/39 FIXED 6                      | CUSIP: 3620AALN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34011 | PA      | $34928.08      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 808202 FN 01/35 FIXED 5.5                    | CUSIP: 31406E3K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14737 | PA      | $14819.61      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR2132 FN 01/43 FIXED 4                      | CUSIP: 3138NYLN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18042 | PA      | $17933.02      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 764548 FN 03/34 FIXED 5.5                    | CUSIP: 31404CL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3033 | PA      | $3048.96       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | 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        |      56848 | PA      | $55031.72      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080095 G2 07/27 FLOATING VAR              | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5063 | PA      | $5083.84       | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190880 FN 11/28 FLOATING VAR                 | CUSIP: 31368H6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2039 | PA      | $2022.95       | 0.00%             | 2028-11-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782932 GN 04/40 FIXED 5                      | CUSIP: 36241LHH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148619 | PA      | $151777.29     | 0.01%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A71523 FG 01/38 FIXED 5.5            | CUSIP: 3128L4VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11910 | PA      | $12234.37      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1         | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        536 | PA      | $535.16        | 0.00%             | 2030-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN6230 FN 04/49 FIXED 3.5                    | CUSIP: 3140JN4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243334 | PA      | $225891.47     | 0.02%             | 2049-04-01      | Fixed         | 3.50%                 | 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        |    2972232 | PA      | $375560.58     | 0.03%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786064 FH 01/28 FLOATING VAR         | CUSIP: 31348SWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1401 | PA      | $1403.44       | 0.00%             | 2028-01-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802071 FN 10/34 FIXED 5.5                    | CUSIP: 31405XCG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8769 | PA      | $8974.47       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 935188 FN 06/39 FIXED 6                      | CUSIP: 31412UND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22694 | PA      | $23356.03      | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN2458 FR 12/33 FIXED 3.5            | CUSIP: 3131Y8WT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12499 | PA      | $12226.34      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A77808 FG 05/38 FIXED 5.5            | CUSIP: 3128LBU97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13627 | PA      | $13997.89      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01051 FG 09/30 FIXED 8              | CUSIP: 31292HEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $139.99        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0514 FN 09/38 FIXED 6.5                    | CUSIP: 31416VSC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77791 | PA      | $82698.03      | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04044 FG 03/38 FIXED 5.5            | CUSIP: 3128M5ZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22807 | PA      | $23496.07      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                         | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1          | CUSIP: 759950AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182532 | PA      | $174907.89     | 0.01%             | 2032-08-25      | Floating      | 4.99%                 | 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        |   94850000 | PA      | $81563590.32   | 6.87%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323439 FN 12/28 FIXED VAR                    | CUSIP: 31374THQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $122.52        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69653 FG 12/37 FIXED 5.5            | CUSIP: 3128L1WN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44673 | PA      | $46007.12      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 440657 FN 10/28 FIXED 6.5                    | CUSIP: 31380HQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.32         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 964789 FN 08/38 FIXED 6                      | CUSIP: 31414FKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $372.17        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1447 G2 11/43 FIXED 3                   | CUSIP: 36179NTC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     669465 | PA      | $612715.25     | 0.05%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 BF                              | CUSIP: 31396XXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1032528 | PA      | $1034143.06    | 0.09%             | 2037-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786513 FH 07/28 FLOATING VAR         | CUSIP: 31295KGW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2888 | PA      | $2904.67       | 0.00%             | 2028-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783798 FN 07/34 FIXED 5.5                    | CUSIP: 31405AX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24137 | PA      | $24704.49      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB7854 FR 01/51 FIXED 2.5            | CUSIP: 3133AEWP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     556662 | PA      | $472982.79     | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91112 FG 10/27 FIXED 6              | CUSIP: 3128P7GV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1533 | PA      | $1564.22       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1160 G2 07/43 FIXED 5                   | CUSIP: 36179NJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179593 | PA      | $183106.10     | 0.02%             | 2043-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1       | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56871 | PA      | $22252.56      | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3924                                           | FREDDIE MAC FHR 3924 KI                                | CUSIP: 3137AF6R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17159 | PA      | $55.25         | 0.00%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57663 FG 12/36 FIXED 5.5            | CUSIP: 3128KLQQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1212 | PA      | $1253.21       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5069 G2 03/48 FIXED 4.5                 | CUSIP: 36179TT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14241 | PA      | $13872.06      | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                             | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10       | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346032 | PA      | $307863.47     | 0.03%             | 2036-10-25      | Variable      | 6.25%                 | 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        |      29286 | PA      | $1302.12       | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A61634 FG 06/34 FIXED 5              | CUSIP: 3128KRY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13509 | PA      | $13690.79      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | 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        |    2500902 | PA      | $397115.98     | 0.03%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781629 FN 12/34 FIXED 5.5                    | CUSIP: 31404XLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20004 | PA      | $20635.01      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A       | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11999 | PA      | $11783.78      | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW6509 FN 06/44 FIXED 4.5                    | CUSIP: 3138XWGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151822 | PA      | $149603.32     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B0806 FH 03/33 FLOATING VAR         | CUSIP: 31336SNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7374 | PA      | $7506.92       | 0.00%             | 2033-03-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 690910 GN 06/38 FIXED 5.5                    | CUSIP: 36296GR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9989 | PA      | $10258.43      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937612 FN 06/37 FIXED 6                      | CUSIP: 31412XDR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233616 | PA      | $245220.95     | 0.02%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677567 GN 11/37 FIXED 6                      | CUSIP: 36295QW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $155.04        | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5700 FN 05/55 FIXED 5.5                    | CUSIP: 31418FKN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     876765 | PA      | $881667.24     | 0.07%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838927 FN 08/35 FIXED 6                      | CUSIP: 31407SA44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34100 | PA      | $35761.87      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS USD SOFR/1.84000 07/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3185056.35    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU7388 FN 10/43 FIXED 5                      | CUSIP: 3138X7F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35274 | PA      | $35506.20      | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357945 FN 09/35 FIXED 6                      | CUSIP: 31376KTA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $102.87        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33500000 | PA      | $33650540.29   | 2.83%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4029 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524703 | PA      | $488153.74     | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838689 FN 09/35 FIXED 6.5                    | CUSIP: 31407RXS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2063 | PA      | $2133.63       | 0.00%             | 2035-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479294 GN 04/30 FIXED 8.5                    | CUSIP: 36209RNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $286.21        | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737184 GN 04/40 FIXED 5.5                    | CUSIP: 3620AQ6V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14952 | PA      | $14967.74      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02424 FG 12/36 FIXED 5.5            | CUSIP: 3128M4AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89456 | PA      | $92475.53      | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30607 FG 09/32 FIXED 3.5            | CUSIP: 3128CUU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     817385 | PA      | $802350.01     | 0.07%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A34552 FG 04/35 FIXED 4.5            | CUSIP: 31297QBV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2353 | PA      | $2331.67       | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773925 FN 04/34 FIXED 5.5                    | CUSIP: 31404NYW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12681 | PA      | $12754.24      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782436 GN 10/38 FIXED 6                      | CUSIP: 36241KV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5837 | PA      | $6155.86       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | 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        |     493815 | PA      | $485231.63     | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 621097 GN 03/37 FIXED 6                      | CUSIP: 36290X7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4968 | PA      | $5238.77       | 0.00%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 521655 GN 12/29 FIXED 8.5                    | CUSIP: 36211SQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5304 | PA      | $5364.80       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878534 FN 02/36 FIXED 6                      | CUSIP: 31409UBB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15289 | PA      | $15820.07      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682906 GN 11/40 FIXED 5.5                    | CUSIP: 36295WU70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101899 | PA      | $104724.43     | 0.01%             | 2040-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 871232 FN 04/36 FIXED 6                      | CUSIP: 31409G4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15137 | PA      | $15576.37      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14359 FG 10/33 FIXED 5.5            | CUSIP: 31296NZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8585 | PA      | $8641.21       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2837 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     499031 | PA      | $497701.82     | 0.04%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 780840 G2 07/28 FIXED 8.5                 | CUSIP: 36225A4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2215 | PA      | $2238.67       | 0.00%             | 2028-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46278 FG 07/35 FIXED 5              | CUSIP: 3128K66P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9852 | PA      | $9954.47       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | 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        |    3641620 | PA      | $3519910.95    | 0.30%             | 2040-12-01      | Fixed         | 4.00%                 | 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        |     216578 | PA      | $11630.10      | 0.00%             | 2037-05-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0937 G2 04/43 FIXED 5                   | CUSIP: 36179NBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251037 | PA      | $255946.61     | 0.02%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 846775 FH 11/29 FLOATING VAR         | CUSIP: 3128HDQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16489 | PA      | $16556.68      | 0.00%             | 2029-11-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 496119 FN 04/29 FIXED 6.5                    | CUSIP: 31382YDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $309.11        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05479 FG 03/39 FIXED 5.5            | CUSIP: 3128M7M45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86587 | PA      | $89357.66      | 0.01%             | 2039-03-01      | Fixed         | 5.50%                 | 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        |     842852 | PA      | $859869.96     | 0.07%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75627 FG 04/38 FIXED 5              | CUSIP: 3128L9HC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2541 | PA      | $2570.62       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                  | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2055626 | PA      | $437695.99     | 0.04%             | 2046-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828580 FN 07/35 FIXED 6                      | CUSIP: 31407EQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2511 | PA      | $2561.81       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080154 G2 01/28 FLOATING VAR              | CUSIP: 36225CE44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        856 | PA      | $854.05        | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5            | CUSIP: 3132A9UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     921661 | PA      | $884220.28     | 0.07%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE         | CUSIP: 38380AUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195130 | PA      | $28426.55      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 913929 FN 02/37 FIXED 6.5                    | CUSIP: 31411SLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1826 | PA      | $1902.40       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01648 FG 10/33 FIXED 5              | CUSIP: 31292HZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2006 | PA      | $2030.93       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008865 G2 05/26 FLOATING VAR              | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        591 | PA      | $589.94        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 840274 FN 11/35 FIXED 5.5                    | CUSIP: 31407TQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $421.52        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU9994 FN 10/43 FIXED 4                      | CUSIP: 3138XAC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184770 | PA      | $178243.06     | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06385 FG 08/40 FIXED 5.5            | CUSIP: 3128M8NA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16303 | PA      | $16795.85      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 877157 G2 05/30 FLOATING VAR              | CUSIP: 36208AMT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22184 | PA      | $22149.01      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW3079 FN 06/42 FIXED 3                      | CUSIP: 3140MUM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26727 | PA      | $24678.05      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930770 FN 03/29 FIXED 4.5                    | CUSIP: 31412PCF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5005 | PA      | $5010.96       | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT9697 FN 06/43 FIXED 4                      | CUSIP: 3138WXX36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253273 | PA      | $245207.90     | 0.02%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745636 FN 06/35 FIXED VAR                    | CUSIP: 31403DLR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     213426 | PA      | $223278.92     | 0.02%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7704 G2 11/51 FIXED 2                   | CUSIP: 36179WRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     426514 | PA      | $352844.33     | 0.03%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO2429 GN 08/45 FIXED 3                      | CUSIP: 3617A2VW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66468 | PA      | $59748.92      | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4845                                           | FREDDIE MAC FHR 4845 WF                                | CUSIP: 3137FK2D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1488356 | PA      | $1470040.64    | 0.12%             | 2048-12-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A40032 FG 09/35 FIXED 5              | CUSIP: 3128K0A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1330 | PA      | $1326.38       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782288 GN 12/37 FIXED 6.5                    | CUSIP: 36241KRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60850 | PA      | $65510.49      | 0.01%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745637 FN 12/34 FIXED VAR                    | CUSIP: 31403DLS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1626 | PA      | $1696.65       | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV1374 FN 11/43 FIXED 4                      | CUSIP: 3138XCQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183694 | PA      | $177068.10     | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                      | ACE SECURITIES CORP. ACE 2005 HE7 M1                   | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51302 | PA      | $59813.05      | 0.01%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05191 FG 12/38 FIXED 5.5            | CUSIP: 3128M7C46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18223 | PA      | $18760.32      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46669 FG 08/35 FIXED 4.5            | CUSIP: 3128K7MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1330 | PA      | $1318.83       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A80970 FG 08/38 FIXED 5.5            | CUSIP: 312927CF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20465 | PA      | $21069.31      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06729 FG 08/40 FIXED 5.5            | CUSIP: 3128M8Y24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60942 | PA      | $62601.58      | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675063 GN 01/38 FIXED 6                      | CUSIP: 36295M5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2609 | PA      | $2751.36       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1       | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341969 | PA      | $241830.37     | 0.02%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9610 FN 09/38 FIXED 5.3                    | CUSIP: 3140LLVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985247 | PA      | $1033378.20    | 0.09%             | 2038-09-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO5356 FN 12/49 FIXED 3                      | CUSIP: 3140K05S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1087419 | PA      | $971900.19     | 0.08%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 1A2       | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12802 | PA      | $11503.58      | 0.00%             | 2036-09-25      | Floating      | 4.03%                 | 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        |     385861 | PA      | $367798.89     | 0.03%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888695 FN 08/37 FIXED VAR                    | CUSIP: 31410GKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $537.35        | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06954 FG 05/40 FIXED 6              | CUSIP: 3128M9BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26353 | PA      | $27689.86      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02967 FG 05/37 FIXED 5.5            | CUSIP: 3128M4TY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73322 | PA      | $75798.93      | 0.01%             | 2037-05-01      | 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        |    3545567 | PA      | $3439960.29    | 0.29%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005307 G2 02/42 FIXED 5                   | CUSIP: 36202F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86140 | PA      | $87825.64      | 0.01%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-6                             | TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A          | CUSIP: 87222PAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     833076 | PA      | $182151.84     | 0.02%             | 2037-01-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722759 GN 08/39 FIXED 6                      | CUSIP: 3620A85U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12272 | PA      | $12658.67      | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03458 FG 02/40 FIXED 5              | CUSIP: 31292KZX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39522 | PA      | $40014.28      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782560 GN 02/39 FIXED 5.5                    | CUSIP: 36241KZZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42564 | PA      | $44269.80      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003850 G2 05/36 FIXED 5                   | CUSIP: 36202EH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        800 | PA      | $812.75        | 0.00%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723631 GN 01/40 FIXED 5.5                    | CUSIP: 3620A94Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5493 | PA      | $5637.37       | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05922 FG 07/39 FIXED 5.5            | CUSIP: 3128M74F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23337 | PA      | $24016.41      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555203 FN 09/32 FIXED VAR                    | CUSIP: 31385WX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2524 | PA      | $2585.45       | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782920 GN 03/40 FIXED 5.5                    | CUSIP: 36241LG59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18180 | PA      | $18912.69      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604801 GN 11/33 FIXED 5                      | CUSIP: 36200M3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41882 | PA      | $42269.18      | 0.00%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75525 FG 04/38 FIXED 5              | CUSIP: 3128L9D67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        612 | PA      | $619.58        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4      | CUSIP: 02147CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1478968 | PA      | $1108088.04    | 0.09%             | 2046-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900135 FN 09/36 FIXED 6.5                    | CUSIP: 31410XBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9492 | PA      | $9819.08       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 917880 FN 05/37 FIXED 6                      | CUSIP: 31411XXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10528 | PA      | $11087.11      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | 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        |     921760 | PA      | $768619.90     | 0.06%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/44 4.125                            | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69800000 | PA      | $63344863.19   | 5.34%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91175 FG 05/28 FIXED 5              | CUSIP: 3128P7JU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $888.17        | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701993 GN 02/39 FIXED 4.5                    | CUSIP: 36296U3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1055 | PA      | $1050.77       | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A56988 FG 02/37 FIXED 5.5            | CUSIP: 3128KKXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5677 | PA      | $5789.08       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 481627 GN 08/29 FIXED 7.5                    | CUSIP: 36209UA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $575.25        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7579 FN 02/42 FIXED VAR                    | CUSIP: 3138EQM58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65547 | PA      | $67678.58      | 0.01%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080418 G2 06/30 FLOATING VAR              | CUSIP: 36225CPC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63643 | PA      | $63629.34      | 0.01%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 741862 FN 09/33 FIXED 5.5                    | CUSIP: 31402YFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2020 | PA      | $2041.02       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5128 G2 04/48 FIXED 4.5                 | CUSIP: 36179TVV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47873 | PA      | $46632.60      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683565 GN 02/38 FIXED 6.5                    | CUSIP: 36295XMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9898 | PA      | $10448.74      | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2       | CUSIP: 39538WHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     438203 | PA      | $401468.77     | 0.03%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-57                                         | FANNIE MAE FNR 2016 57 FN                              | CUSIP: 3136ATEK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     615146 | PA      | $611317.04     | 0.05%             | 2046-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A84179 FG 01/37 FIXED 4              | CUSIP: 312930UC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94154 | PA      | $92341.08      | 0.01%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A43851 FG 03/36 FIXED 5              | CUSIP: 3128K4H40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10907 | PA      | $11003.40      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008847 G2 04/26 FLOATING VAR              | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.29          | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889992 FN 06/38 FIXED VAR                    | CUSIP: 31410KXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19623 | PA      | $20240.56      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0025 G2 04/42 FIXED 5                   | CUSIP: 36179MA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3380 | PA      | $3445.65       | 0.00%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 411079 GN 12/38 FIXED 6                      | CUSIP: 36206GUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1021 | PA      | $1048.03       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA         | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     403403 | PA      | $22630.40      | 0.00%             | 2042-06-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-G                                | MLCC MORTGAGE INVESTORS INC MLCC 2003 G A4B            | CUSIP: 5899296K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361170 | PA      | $306642.19     | 0.03%             | 2029-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04614 FG 02/34 FIXED 6              | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14920 | PA      | $15295.77      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080047 G2 02/27 FLOATING VAR              | CUSIP: 36225CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2416 | PA      | $2414.89       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1931 FN 07/47 FIXED VAR                    | CUSIP: 3140J6ED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114774 | PA      | $116057.02     | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.18000 11/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1110843.77    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779242 FN 06/34 FIXED 5.5                    | CUSIP: 31404UWB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22765 | PA      | $22908.96      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                           | FREDDIE MAC FHR 4989 FA                                | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1986946 | PA      | $1953657.84    | 0.16%             | 2040-08-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 780090 FH 12/32 FLOATING VAR         | CUSIP: 31342AC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3887 | PA      | $3959.48       | 0.00%             | 2032-12-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724247 GN 08/39 FIXED 5                      | CUSIP: 3620AATC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3127 | PA      | $3167.73       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5861 FN 10/40 FIXED 5.5                    | CUSIP: 31418FQP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     897584 | PA      | $915706.51     | 0.08%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779385 GN 06/42 FIXED 3.5                    | CUSIP: 36176XUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1358322 | PA      | $1279618.37    | 0.11%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781636 GN 07/33 FIXED 5.5                    | CUSIP: 36225BY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $840.91        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | 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        |    1037955 | PA      | $1018214.37    | 0.09%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140611 | PA      | $135929.25     | 0.01%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787603 FH 10/27 FLOATING VAR         | CUSIP: 31295LNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $80.03         | 0.00%             | 2027-10-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 705406 GN 01/39 FIXED 6.5                    | CUSIP: 36296YU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5718 | PA      | $5731.08       | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2       | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115682 | PA      | $111235.41     | 0.01%             | 2034-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-102                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 102 PI         | CUSIP: 38379NWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     810601 | PA      | $119384.45     | 0.01%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677215 GN 08/38 FIXED 6.5                    | CUSIP: 36295QK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7231 | PA      | $7696.28       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678137 FN 01/33 FIXED 6                      | CUSIP: 31391VLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66431 | PA      | $67743.71      | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 733344 GN 04/40 FIXED 5.5                    | CUSIP: 3620ALWD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $800.16        | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080407 G2 05/30 FLOATING VAR              | CUSIP: 36225CNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3083 | PA      | $3088.87       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | 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      | $-165925.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 868993 FN 05/36 FLOATING VAR                 | CUSIP: 31409ENJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6873 | PA      | $7085.06       | 0.00%             | 2036-05-01      | Floating      | 6.55%                 | 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        |    1999800 | PA      | $1836110.71    | 0.15%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080112 G2 09/27 FLOATING VAR              | CUSIP: 36225CDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        458 | PA      | $460.13        | 0.00%             | 2027-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX4793 G2 03/47 FIXED 3.5                 | CUSIP: 36196GKE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148460 | PA      | $138117.90     | 0.01%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682904 GN 10/40 FIXED 6                      | CUSIP: 36295WU54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34457 | PA      | $35613.47      | 0.00%             | 2040-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841085 FN 09/35 FIXED 6                      | CUSIP: 31407UNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5045 | PA      | $5192.47       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A10364 FG 06/33 FIXED 5.5            | CUSIP: 31296JMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8946 | PA      | $9006.65       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782579 GN 02/39 FIXED 5.5                    | CUSIP: 36241K2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30928 | PA      | $32067.66      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-15                                                | FANNIE MAE FNR 2001 15 Z                               | CUSIP: 31359SPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52660 | PA      | $53918.22      | 0.00%             | 2031-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06614 FG 12/35 FIXED 5              | CUSIP: 3128M8VF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31789 | PA      | $31805.69      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08456 FG 07/41 FIXED 5              | CUSIP: 3128MJQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8625 | PA      | $8653.78       | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A76298 FG 04/38 FIXED 5              | CUSIP: 3128L97K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7204 | PA      | $7258.73       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810728 FN 12/34 FIXED 6                      | CUSIP: 31406HVV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47578 | PA      | $48519.41      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD7898 FN 07/40 FIXED 4.5                    | CUSIP: 31418VX49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57324 | PA      | $56763.13      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE7016 GN 06/43 FIXED 3.5                    | CUSIP: 36181AYM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202167 | PA      | $190076.20     | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005303 G2 02/42 FIXED 4                   | CUSIP: 36202F3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8123 | PA      | $7665.56       | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P28000 FG 12/34 FIXED 5.5            | CUSIP: 3128M2AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10069 | PA      | $10187.73      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04587 FG 08/38 FIXED 5.5            | CUSIP: 3128M6NC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15890 | PA      | $16364.99      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04628 FG 05/33 FIXED 6              | CUSIP: 3128M6PM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5710 | PA      | $5830.34       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782690 GN 06/39 FIXED 5                      | CUSIP: 36241K7B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231701 | PA      | $236663.75     | 0.02%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 777730 FN 05/34 FIXED 5.5                    | CUSIP: 31404TA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16077 | PA      | $16169.59      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 751193 FN 02/34 FIXED 5.5                    | CUSIP: 31403KRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5495 | PA      | $5524.81       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254595 FN 01/33 FIXED 6                      | CUSIP: 31371KXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10720 | PA      | $11032.73      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA8715 FN 06/39 FIXED 4                      | CUSIP: 31416SVH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26432 | PA      | $25641.62      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724182 GN 08/39 FIXED 5.5                    | CUSIP: 3620AARB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28350 | PA      | $29294.92      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A75835 FG 04/38 FIXED 5.5            | CUSIP: 3128L9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1778 | PA      | $1818.99       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933017 FN 10/37 FIXED 6.5                    | CUSIP: 31412SAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6243 | PA      | $6526.15       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A43850 FG 03/36 FIXED 5              | CUSIP: 3128K4H32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9875 | PA      | $9997.50       | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 811773 FN 01/35 FIXED 5.5                    | CUSIP: 31406J2E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4794 | PA      | $4949.54       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003056 G2 03/31 FIXED 8                   | CUSIP: 36202DMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1299 | PA      | $1346.54       | 0.00%             | 2031-03-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1       | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80482 | PA      | $33959.17      | 0.00%             | 2037-08-25      | Variable      | 10.71%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1        | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54353 | PA      | $49617.09      | 0.00%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04531 FG 01/38 FIXED 5.5            | CUSIP: 3128M6LL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11525 | PA      | $11879.93      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452875 FN 12/28 FIXED 6                      | CUSIP: 31380XCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4324 | PA      | $4508.69       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                 | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1            | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88554 | PA      | $56290.23      | 0.00%             | 2045-05-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931952 FN 01/37 FIXED 6.5                    | CUSIP: 31412QL98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1951 | PA      | $2054.44       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750486 FN 12/33 FIXED 5.5                    | CUSIP: 31403JXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8997 | PA      | $9049.33       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03204 FG 11/35 FIXED 5.5            | CUSIP: 3128M43M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37602 | PA      | $38870.35      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                                           | FREDDIE MAC FHR 4394 WI                                | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82174 | PA      | $4433.00       | 0.00%             | 2041-08-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 509132 GN 05/30 FIXED 8.5                    | CUSIP: 36211CSV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4552 | PA      | $4598.56       | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RC1860 FR 04/36 FIXED 2              | CUSIP: 3133L8B53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6271200 | PA      | $5779953.70    | 0.49%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 750518 FN 12/33 FIXED 5.5                    | CUSIP: 31403JYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6073 | PA      | $6106.92       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 461975 GN 12/30 FIXED 8.5                    | CUSIP: 36208VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3274 | PA      | $3355.37       | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04144 FG 03/38 FIXED 5.5            | CUSIP: 3128M55D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42186 | PA      | $43476.40      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678060 FN 01/33 FIXED 6                      | CUSIP: 31391VJD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14888 | PA      | $15436.47      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942980 FN 09/37 FIXED 6                      | CUSIP: 31413ECR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40734 | PA      | $42758.09      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS         | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     388899 | PA      | $18987.76      | 0.00%             | 2043-06-20      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05891 FG 06/39 FIXED 5.5            | CUSIP: 3128M72Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33054 | PA      | $34029.99      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 483629 GN 09/28 FIXED 6.5                    | CUSIP: 36209WHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $272.10        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848450 FN 12/35 FIXED 6                      | CUSIP: 31408DTF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57913 | PA      | $59775.88      | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716305 GN 06/39 FIXED 5                      | CUSIP: 3620A1YA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3026 | PA      | $3070.62       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002973 G2 09/30 FIXED 8                   | CUSIP: 36202DJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        654 | PA      | $673.19        | 0.00%             | 2030-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886110 FN 07/36 FIXED 6                      | CUSIP: 31410DN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2490 | PA      | $2582.77       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782976 GN 03/39 FIXED 5.5                    | CUSIP: 36241LJV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9300 | PA      | $9674.56       | 0.00%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782619 GN 04/39 FIXED 5                      | CUSIP: 36241K4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3659 | PA      | $3737.30       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 713866 GN 09/39 FIXED 5                      | CUSIP: 36297KCB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4595 | PA      | $4637.97       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                            | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A5        | CUSIP: 18976GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     306142 | PA      | $280942.47     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9605 FR 04/52 FIXED 3              | CUSIP: 3133B7U63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225173 | PA      | $199795.28     | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 656220 GN 08/36 FIXED 6.5                    | CUSIP: 36294QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $194.68        | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080042 G2 02/27 FLOATING VAR              | CUSIP: 36225CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        173 | PA      | $172.92        | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5            | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7132 | PA      | $7352.93       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A51435 FG 08/36 FIXED 6.5            | CUSIP: 3128KDSY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8376 | PA      | $8739.78       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 742947 FN 10/33 FIXED 5.5                    | CUSIP: 31403AL45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $31.79         | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93853 FG 09/40 FIXED 5              | CUSIP: 312942H65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4381 | PA      | $4435.24       | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1907 FN 07/47 FIXED VAR                    | CUSIP: 3140XHDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     694602 | PA      | $656050.90     | 0.06%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL D97473 FG 12/27 FIXED 6              | CUSIP: 3128E4JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        994 | PA      | $1014.24       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 449247 FN 01/29 FIXED 6                      | CUSIP: 31380TBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $88.56         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6217 G2 10/48 FIXED 5                   | CUSIP: 3617HF4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115025 | PA      | $114482.57     | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 665310 FN 10/32 FIXED 6                      | CUSIP: 31391FDP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7162 | PA      | $7303.53       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 175344 GN 07/29 FIXED 6.5                    | CUSIP: 36216UWD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        641 | PA      | $653.95        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 949542 FN 10/37 FIXED 6                      | CUSIP: 31413MLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60909 | PA      | $62327.20      | 0.01%             | 2037-10-01      | 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      | $418353.31     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04630 FG 11/29 FIXED 6              | CUSIP: 3128M6PP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.88          | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A55204 FG 12/36 FIXED 5.5            | CUSIP: 3128KHX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        152 | PA      | $153.42        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU8053 FN 09/43 FIXED 4.5                    | CUSIP: 3138X75P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87796 | PA      | $87015.03      | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                                | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A        | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5665 | PA      | $5491.86       | 0.00%             | 2029-09-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 452329 FN 12/28 FIXED 6                      | CUSIP: 31380WPN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        929 | PA      | $955.12        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04320 FG 02/38 FIXED 6              | CUSIP: 3128M6DZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4491 | PA      | $4664.45       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080706 G2 07/33 FLOATING VAR              | CUSIP: 36225CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209433 | PA      | $210040.62     | 0.02%             | 2033-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 752414 GN 11/40 FIXED 4.5                    | CUSIP: 36230LVF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25031 | PA      | $24613.89      | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FH         | CUSIP: 38380QJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6202891 | PA      | $6300228.89    | 0.53%             | 2070-07-20      | Floating      | 4.83%                 | 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        |     177446 | PA      | $7169.01       | 0.00%             | 2045-08-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929896 FN 09/38 FIXED 6.5                    | CUSIP: 31412NC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91164 | PA      | $95351.25      | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 970643 FN 10/38 FIXED 6.5                    | CUSIP: 31414MZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $326.84        | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655348 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2030 | PA      | $2156.91       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 456276 FN 12/28 FIXED 6                      | CUSIP: 31381B2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.73         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686776 GN 06/38 FIXED 6.5                    | CUSIP: 36296B6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8973 | PA      | $9494.48       | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30377 FG 12/27 FIXED 6              | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5862 | PA      | $5982.50       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 914048 FN 03/37 FIXED 6                      | CUSIP: 31411SP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37673 | PA      | $39082.85      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-4                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 4 3A1A       | CUSIP: 41161PL76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510171 | PA      | $142599.24     | 0.01%             | 2046-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080263 G2 03/29 FLOATING VAR              | CUSIP: 36225CJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $391.53        | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5667 G2 06/48 FIXED 4                   | CUSIP: 3617GQJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     412634 | PA      | $399768.80     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922439 FN 01/37 FIXED 6                      | CUSIP: 31412DZC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12298 | PA      | $12834.82      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782858 GN 11/39 FIXED 6                      | CUSIP: 36241LE77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7153 | PA      | $7544.26       | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A   | CUSIP: 16678RDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40206 | PA      | $39132.94      | 0.00%             | 2036-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766177 FN 02/34 FIXED 5.5                    | CUSIP: 31404EFS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4831 | PA      | $4863.94       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899681 FN 08/37 FIXED 6.5                    | CUSIP: 31410WRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23352 | PA      | $24526.93      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810408 FN 01/35 FIXED 5.5                    | CUSIP: 31406HKV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        617 | PA      | $631.35        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 991086 FN 11/38 FIXED 6.5                    | CUSIP: 31415V6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34598 | PA      | $36227.73      | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                                           | FREDDIE MAC FHR 4142 KI                                | CUSIP: 3137AX5M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287850 | PA      | $4957.65       | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91216 FG 09/28 FIXED 6              | CUSIP: 3128P7K51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1981 | PA      | $2021.87       | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896032 FN 08/36 FIXED 6                      | CUSIP: 31410SPR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2921 | PA      | $3007.51       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-W12                                               | FANNIEMAE WHOLE LOAN FNW 2002 W12 AV1                  | CUSIP: 31392GSR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5306 | PA      | $5227.23       | 0.00%             | 2033-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2894 G2 06/45 FIXED 4.5                 | CUSIP: 36179RGB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37222 | PA      | $36813.00      | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR              | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        827 | PA      | $827.22        | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A36258 FG 07/35 FIXED 5              | CUSIP: 31297R5T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70199 | PA      | $70722.64      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 780895 FN 05/34 FIXED 5.5                    | CUSIP: 31404WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14107 | PA      | $14255.90      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A11990 FG 08/33 FIXED 5              | CUSIP: 31296LF71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $123.31        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-34                               | FHLMC STRUCTURED PASS THROUGH FSPC T 34 A1V            | CUSIP: 3133985T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15546 | PA      | $15424.91      | 0.00%             | 2031-07-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003001 G2 11/30 FIXED 8.5                 | CUSIP: 36202DKN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1345 | PA      | $1396.26       | 0.00%             | 2030-11-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 757772 FN 10/34 FIXED 5.5                    | CUSIP: 31403T2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5237 | PA      | $5405.86       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002430 G2 05/27 FIXED 7                   | CUSIP: 36202CVX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $175.76        | 0.00%             | 2027-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 632578 FN 02/32 FIXED 6.5                    | CUSIP: 31389QXF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1056 | PA      | $1092.36       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91218 FG 11/28 FIXED 6              | CUSIP: 3128P7K77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        459 | PA      | $468.27        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773232 FN 01/35 FIXED 5.5                    | CUSIP: 31404NA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2191 | PA      | $2259.88       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719899 GN 08/39 FIXED 6                      | CUSIP: 3620A5X46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66659 | PA      | $69271.00      | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256023 FN 12/35 FIXED 6                      | CUSIP: 31371MLC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98412 | PA      | $103293.88     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU4779 FN 09/43 FIXED 4.5                    | CUSIP: 3138X4JZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44250 | PA      | $43752.69      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552114 GN 10/31 FIXED 7.5                    | CUSIP: 36213EK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $492.04        | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 787331 FN 07/34 FIXED 5.5                    | CUSIP: 31405EVY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $255.26        | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AR1005 FN 01/43 FIXED 4                      | CUSIP: 3138NXDK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112765 | PA      | $109006.30     | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 566519 GN 06/34 FIXED 5                      | CUSIP: 36213WK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        640 | PA      | $638.13        | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002359 G2 01/27 FIXED 7                   | CUSIP: 36202CTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.70         | 0.00%             | 2027-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 A         | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75177 | PA      | $73834.53      | 0.01%             | 2033-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698330 GN 05/39 FIXED 5                      | CUSIP: 36296QY37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87806 | PA      | $89686.79      | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  161000000 | PA      | $161534012.85  | 13.61%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA3718 FN 06/49 FIXED 4                      | CUSIP: 3140QBDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11517185 | PA      | $11030314.08   | 0.93%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060680 FN 02/28 FLOATING VAR                 | CUSIP: 31362GM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1933 | PA      | $1922.21       | 0.00%             | 2028-02-01      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 806143 FN 12/34 FIXED 5.5                    | CUSIP: 31406CS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1347 | PA      | $1364.06       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699092 GN 09/38 FIXED 6                      | CUSIP: 36296RUR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6034 | PA      | $6228.49       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782988 GN 04/40 FIXED 5.5                    | CUSIP: 36241LJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2846 | PA      | $2961.06       | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A       | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395289 | PA      | $367984.66     | 0.03%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 1A1        | CUSIP: 61751JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733257 | PA      | $263806.65     | 0.02%             | 2047-02-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS5159 FN 06/30 FIXED 3                      | CUSIP: 3138WEWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10193 | PA      | $9989.07       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004015 G2 08/37 FIXED 5                   | CUSIP: 36202EN88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20740 | PA      | $21090.92      | 0.00%             | 2037-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735642 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101248 | PA      | $101334.97     | 0.01%             | 2042-08-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A82423 FG 10/38 FIXED 5              | CUSIP: 312928VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12643 | PA      | $12564.92      | 0.00%             | 2038-10-01      | Fixed         | 5.00%                 | 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        | -264600000 | PA      | $-242047882.69 | -20.39%           | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08269 FG 05/38 FIXED 5.5            | CUSIP: 3128MJJP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3890 | PA      | $4006.08       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 410987 GN 02/39 FIXED 5.5                    | CUSIP: 36206GRG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5064 | PA      | $5245.17       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8097 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1337467 | PA      | $1354306.68    | 0.11%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 793997 FN 09/34 FIXED 5.5                    | CUSIP: 31405NDA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6875 | PA      | $7038.30       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 UO                                | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2448581 | PA      | $1527157.53    | 0.13%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655352 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        646 | PA      | $683.59        | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 863673 FN 03/36 FIXED 6                      | CUSIP: 31408XQ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3874 | PA      | $4033.39       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 708631 FN 06/33 FIXED 6                      | CUSIP: 31401HHG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        930 | PA      | $948.48        | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783575 GN 03/40 FIXED 5.5                    | CUSIP: 36241L6L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27627 | PA      | $28612.33      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080802 G2 01/34 FLOATING VAR              | CUSIP: 36225C3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     790223 | PA      | $809891.66     | 0.07%             | 2034-01-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A              | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1281660 | PA      | $841434.52     | 0.07%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775012 FN 04/34 FIXED 5.5                    | CUSIP: 31404QAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13341 | PA      | $13417.76      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581       | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16460000 | PA      | $16936195.21   | 1.43%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995736 FN 05/37 FIXED VAR                    | CUSIP: 31416CEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154795 | PA      | $157904.42     | 0.01%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB2667 GN 12/42 FIXED 3                      | CUSIP: 36178M6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11733 | PA      | $10698.97      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1      | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22376 | PA      | $19837.02      | 0.00%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01841 FG 06/35 FIXED 5.5            | CUSIP: 3128LXBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11472 | PA      | $11761.80      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14258 FG 09/33 FIXED 5.5            | CUSIP: 31296NWT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4445 | PA      | $4474.48       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565164 GN 10/33 FIXED 5.5                    | CUSIP: 36213UZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $92.73         | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | 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        |      18471 | PA      | $17538.74      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1684 FN 09/41 FIXED 4                      | CUSIP: 3138A22S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33043 | PA      | $31908.28      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5728 GN 06/45 FIXED 3                      | CUSIP: 36186NLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26210 | PA      | $23904.10      | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 652847 FN 09/32 FIXED 6                      | CUSIP: 31390QHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11885 | PA      | $12120.08      | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725815 FN 12/33 FIXED VAR                    | CUSIP: 31402DK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4479 | PA      | $4585.94       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06872 FG 09/39 FIXED 5.5            | CUSIP: 3128M86H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104384 | PA      | $107798.95     | 0.01%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9521 FN 10/46 FIXED VAR                    | CUSIP: 3138ERSK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165403 | PA      | $149412.26     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A84160 FG 01/39 FIXED 5.5            | CUSIP: 312930TR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59972 | PA      | $61741.83      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080384 G2 03/30 FLOATING VAR              | CUSIP: 36225CNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21635 | PA      | $21674.49      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9966 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393752 | PA      | $366322.94     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786625 FH 09/28 FLOATING VAR         | CUSIP: 31295KLE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        655 | PA      | $656.55        | 0.00%             | 2028-09-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                        | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A      | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1548731.00    | 0.13%             | 2031-07-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03865 FG 12/37 FIXED 5.5            | CUSIP: 3128M5TW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8126 | PA      | $8397.63       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544781 FN 02/30 FLOATING VAR                 | CUSIP: 31385HFW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9103 | PA      | $9087.78       | 0.00%             | 2030-02-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A       | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5778849 | PA      | $5029840.00    | 0.42%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080378 G2 02/30 FLOATING VAR              | CUSIP: 36225CM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $146.57        | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 674999 GN 12/37 FIXED 6                      | CUSIP: 36295M3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6659 | PA      | $6999.67       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A46767 FG 09/35 FIXED 5.5            | CUSIP: 3128K7QU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3994 | PA      | $4097.07       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0577 GN 06/42 FIXED 3.5                    | CUSIP: 36177WUA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91931 | PA      | $86775.47      | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01931 FG 10/35 FIXED 5.5            | CUSIP: 3128LXEC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5903 | PA      | $6102.34       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A15829 FG 11/33 FIXED 5.5            | CUSIP: 31296QPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $95.98         | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                            | CVS PASS THROUGH TRUST PASS THRU CE 12/28 6.036        | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     399062 | PA      | $402884.00     | 0.03%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725773 FN 09/34 FIXED VAR                    | CUSIP: 31402DJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15313 | PA      | $15641.77      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.19200 11/08/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $329851.37     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91211 FG 08/28 FIXED 6              | CUSIP: 3128P7KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2680 | PA      | $2735.43       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2030                                                  | FREDDIE MAC FHR 2030 F                                 | CUSIP: 3133TCXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $117.66        | 0.00%             | 2028-02-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080526 G2 07/31 FLOATING VAR              | CUSIP: 36225CSQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6506 | PA      | $6523.34       | 0.00%             | 2031-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002922 G2 05/30 FIXED 8                   | CUSIP: 36202DG70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4417 | PA      | $4625.10       | 0.00%             | 2030-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769017 FN 12/31 FIXED 6                      | CUSIP: 31404HK65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1736.00       | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 936190 FN 05/37 FIXED 6.5                    | CUSIP: 31412VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47342 | PA      | $49658.28      | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                                           | FREDDIE MAC FHR 3635 IB                                | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82633 | PA      | $4080.27       | 0.00%             | 2037-10-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7974 FN 11/33 FIXED 4                      | CUSIP: 3140HM2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1836352 | PA      | $1827796.27    | 0.15%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03111 FG 05/37 FIXED 5.5            | CUSIP: 3128M4YG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3576 | PA      | $3696.68       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 733677 GN 05/40 FIXED 5.5                    | CUSIP: 3620AMCN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12855 | PA      | $13270.92      | 0.00%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T7                                   | FANNIEMAE GRANTOR TRUST FNGT 2002 T7 A1                | CUSIP: 31392DQH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15716 | PA      | $15656.67      | 0.00%             | 2032-07-25      | Floating      | 4.01%                 | 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        |     234619 | PA      | $230974.86     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781611 GN 05/33 FIXED 5                      | CUSIP: 36225BYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $263.40        | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 752927 FN 03/34 FIXED 5.5                    | CUSIP: 31403MPL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1806.01       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080053 G2 03/27 FLOATING VAR              | CUSIP: 36225CBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $181.14        | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682911 GN 12/40 FIXED 6                      | CUSIP: 36295WVC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48995 | PA      | $50497.70      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 882684 FN 06/36 FIXED 6                      | CUSIP: 31409YUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24512 | PA      | $25428.78      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ3529 G2 07/47 FIXED 3.5                 | CUSIP: 36197F4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277137 | PA      | $257828.57     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735754 FN 07/35 FLOATING VAR                 | CUSIP: 31402RMB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7030 | PA      | $7149.85       | 0.00%             | 2035-07-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 770708 GN 06/41 FIXED 5                      | CUSIP: 36176NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1116 | PA      | $1130.05       | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080356 G2 12/29 FLOATING VAR              | CUSIP: 36225CME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $60.26         | 0.00%             | 2029-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820207 FN 05/35 FIXED 6                      | CUSIP: 31406UGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21511 | PA      | $21946.26      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01772 FG 02/35 FIXED 5              | CUSIP: 31283H6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $189.66        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC1241 FN 07/39 FIXED 5                      | CUSIP: 31417KLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28788 | PA      | $29110.49      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906472 FN 01/37 FIXED 6                      | CUSIP: 31411FCH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12669 | PA      | $13166.84      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02608 FG 02/37 FIXED 5.5            | CUSIP: 3128M4GR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4648 | PA      | $4805.37       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR         | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8241 | PA      | $8454.75       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX8328 G2 06/47 FIXED 3.5                 | CUSIP: 36196LHD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     515168 | PA      | $479275.56     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809360 FN 02/35 FIXED 5.5                    | CUSIP: 31406GE96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13493 | PA      | $13812.71      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -5169 | NC      | $13523456.64   | 1.14%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C     | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3653469 | PA      | $3090907.41    | 0.26%             | 2046-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5443 FN 04/40 FIXED VAR                    | CUSIP: 3138ENBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27585 | PA      | $28868.18      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81278 FG 08/38 FIXED 5              | CUSIP: 312927M37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2244 | PA      | $2282.07       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A      | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119769 | PA      | $84811.50      | 0.01%             | 2045-07-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20G                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20G 1          | CUSIP: 83162CRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     128203 | PA      | $129931.63     | 0.01%             | 2028-07-01      | Fixed         | 5.87%                 | 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        |   97900000 | PA      | $94256760.17   | 7.94%             | 2041-04-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782365 GN 07/38 FIXED 6                      | CUSIP: 36241KTW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12899 | PA      | $13603.21      | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 674740 FN 01/33 FIXED 6                      | CUSIP: 31391RS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54421 | PA      | $55496.72      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 895852 FN 11/35 FLOATING VAR                 | CUSIP: 31410SH59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197138 | PA      | $199553.49     | 0.02%             | 2035-11-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0334 FN 01/59 FIXED 3.5                    | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8281111 | PA      | $7516397.36    | 0.63%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02427 FG 12/36 FIXED 5.5            | CUSIP: 3128M4A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3900 | PA      | $4031.43       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05072 FG 01/39 FIXED 5.5            | CUSIP: 3128M66H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13614 | PA      | $14045.09      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 392411 FN 02/28 FIXED 6.5                    | CUSIP: 31377Z3U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1916 | PA      | $1981.19       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                     | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                 | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317606 | PA      | $281977.56     | 0.02%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02249 FG 07/36 FIXED 5.5            | CUSIP: 3128LXQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9448 | PA      | $9741.76       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03832 FG 01/38 FIXED 5.5            | CUSIP: 3128M5SV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     630390 | PA      | $649216.38     | 0.05%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732484 GN 02/40 FIXED 6                      | CUSIP: 3620AKXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20048 | PA      | $20572.98      | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 779027 FN 06/34 FIXED 5.5                    | CUSIP: 31404UPL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31066 | PA      | $31296.40      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 479449 GN 07/30 FIXED 8.5                    | CUSIP: 36209RTE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3475 | PA      | $3517.82       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3105 G2 09/45 FIXED 3.5                 | CUSIP: 36179RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1712580 | PA      | $1612981.79    | 0.14%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7792 GN 11/42 FIXED 3.5                    | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6170 | PA      | $5800.87       | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | 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        |    7070708 | PA      | $1207194.69    | 0.10%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 746066 GN 04/41 FIXED 4.5                    | CUSIP: 3620C1Z74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     164824 | PA      | $162662.92     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783233 GN 07/40 FIXED 5.5                    | CUSIP: 36241LSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134930 | PA      | $139956.91     | 0.01%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUSINESS FIN SERVICES 2002-2                             | ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1                | CUSIP: 000759CR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     429982 | PA      | $343362.04     | 0.03%             | 2033-07-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775474 FN 05/34 FIXED 5.5                    | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17760 | PA      | $18266.65      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06249 FG 05/40 FIXED 6              | CUSIP: 3128M8H23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4143 | PA      | $4341.30       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0262 FN 05/58 FIXED 3                      | CUSIP: 3140FXJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3963582 | PA      | $3450508.52    | 0.29%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN1084 FR 11/33 FIXED 3.5            | CUSIP: 3131Y7FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9908 | PA      | $9741.23       | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4660 FN 07/42 FIXED 3                      | CUSIP: 31418EFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1564650 | PA      | $1451883.55    | 0.12%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781962 FN 06/34 FIXED 5.5                    | CUSIP: 31404XWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14333 | PA      | $14416.09      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | 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        |   21882000 | PA      | $20080636.12   | 1.69%             | 2056-03-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775776 FN 05/34 FIXED 5.5                    | CUSIP: 31404Q2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        993 | PA      | $999.90        | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 740173 FN 09/33 FIXED 5.5                    | CUSIP: 31402WJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1684 | PA      | $1694.50       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A23085 FG 06/34 FIXED 5              | CUSIP: 31297ANA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10745 | PA      | $10711.82      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780992 GN 12/28 FIXED 8                      | CUSIP: 36225BC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $148.01        | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-1                                          | FANNIE MAE FNR 2021 1 IY                               | CUSIP: 3136BD2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32607263 | PA      | $1546138.59    | 0.13%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 657573 FN 10/32 FIXED 6                      | CUSIP: 31390VQ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2580 | PA      | $2670.49       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ2293 FN 09/41 FIXED 4                      | CUSIP: 3138ATRP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65592 | PA      | $63343.26      | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | 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        |    3300000 | PA      | $3185292.13    | 0.27%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844719 FN 12/35 FIXED 6                      | CUSIP: 31407YPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2629 | PA      | $2737.19       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 956232 FN 11/37 FIXED 6.5                    | CUSIP: 31413UY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28559 | PA      | $29706.82      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | 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        |     370552 | PA      | $16327.60      | 0.00%             | 2042-06-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 666750 FN 11/32 FIXED 6                      | CUSIP: 31391GWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        900 | PA      | $917.95        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831604 FN 06/36 FIXED 6                      | CUSIP: 31407H3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $426.74        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | 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        |    4260481 | PA      | $3852233.25    | 0.32%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                  | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 3A2              | CUSIP: 12669B2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1870 | PA      | $1861.87       | 0.00%             | 2031-07-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781001 GN 03/29 FIXED 7.5                    | CUSIP: 36225BDE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $182.28        | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 685321 FN 02/33 FIXED 6                      | CUSIP: 31400ELA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2157 | PA      | $2200.59       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                | FANNIE MAE FNR 1999 37 F                               | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9786 | PA      | $9773.79       | 0.00%             | 2029-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725943 FN 10/34 FIXED VAR                    | CUSIP: 31402DP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3826 | PA      | $3895.64       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 791585 FN 09/34 FIXED 6                      | CUSIP: 31405KNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $533.77        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9966 FN 08/43 FIXED VAR                    | CUSIP: 3140XECC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23710337 | PA      | $22387030.76   | 1.89%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1631 FN 09/49 FIXED VAR                    | CUSIP: 3140X4Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3634271 | PA      | $3202701.37    | 0.27%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673228 GN 11/38 FIXED 5.5                    | CUSIP: 36295K4M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19389 | PA      | $20112.53      | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | 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        |     630382 | PA      | $618557.28     | 0.05%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773846 FN 04/34 FIXED 5.5                    | CUSIP: 31404NWF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2020 | PA      | $2031.33       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04788 FG 09/38 FIXED 5.5            | CUSIP: 3128M6UM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44655 | PA      | $45972.93      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 770080 FN 03/34 FIXED 5                      | CUSIP: 31404JQ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50196 | PA      | $50072.90      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                                  | FREDDIE MAC FHR 2178 PI                                | CUSIP: 3133TLUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $25.64         | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886653 FN 08/36 FIXED 6                      | CUSIP: 31410EBW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1303 | PA      | $1336.31       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865171 FN 02/36 FIXED 5.5                    | CUSIP: 31409AFL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $97.82         | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735653 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48466 | PA      | $48498.21      | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04723 FG 03/38 FIXED 5              | CUSIP: 3128M6SL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $905.47        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | 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        | -231792452 | PA      | $-186656302.87 | -15.72%           | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                         | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                     | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2222 | PA      | $2211.75       | 0.00%             | 2027-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 787022 FN 06/34 FIXED 5.5                    | CUSIP: 31405ELB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $209.69        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 303463 FN 06/29 FLOATING VAR                 | CUSIP: 31373UB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.42         | 0.00%             | 2029-06-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A AV                      | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26965 | PA      | $26887.36      | 0.00%             | 2032-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3     | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519727 | PA      | $375549.41     | 0.03%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENNIS ECONOMIC DEVELOPMENT CORPORATION INC                        | ENNIS TX ECON DEV CORP ENNDEV 08/34 ZEROCPNOID 0       | CUSIP: 293430AN4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6860000 | PA      | $3915895.17    | 0.33%             | 2034-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775177 FN 05/34 FIXED 5.5                    | CUSIP: 31404QFS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59964 | PA      | $61124.65      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 647400 FN 09/32 FIXED 6                      | CUSIP: 31390JGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1824 | PA      | $1860.04       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0309 G2 04/55 FIXED 6                   | CUSIP: 3618N5KX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     435570 | PA      | $443395.99     | 0.04%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04222 FG 04/38 FIXED 5.5            | CUSIP: 3128M6AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24035 | PA      | $24838.42      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922005 FN 12/36 FIXED 6                      | CUSIP: 31412DKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121412 | PA      | $126189.22     | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | 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        |      76440 | PA      | $72559.99      | 0.01%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3596                                                  | FREDDIE MAC FHR 3596 FC                                | CUSIP: 31398KUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162250 | PA      | $162350.46     | 0.01%             | 2035-08-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 496113 FN 04/29 FIXED 6.5                    | CUSIP: 31382YDS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1844 | PA      | $1907.57       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0497 FN 11/39 FIXED VAR                    | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985366 | PA      | $1013556.04    | 0.09%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 766756 FN 03/34 FIXED 5.5                    | CUSIP: 31404EZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8355 | PA      | $8410.84       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A92269 FG 05/40 FIXED 4.5            | CUSIP: 312940QW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1510313 | PA      | $1490125.31    | 0.13%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A    | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1904459 | PA      | $1906469.12    | 0.16%             | 2031-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02700 FG 01/37 FIXED 6.5            | CUSIP: 3128M4KM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1057 | PA      | $1107.39       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                          | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A    | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1576210 | PA      | $1447317.01    | 0.12%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2319                                                  | FREDDIE MAC FHR 2319 PZ                                | CUSIP: 3133TT4X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34222 | PA      | $35439.08      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918407 FN 05/37 FIXED 6                      | CUSIP: 31411YKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57648 | PA      | $59802.27      | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 586228 FN 07/31 FIXED 6                      | CUSIP: 31387KHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        892 | PA      | $914.26        | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                                | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2         | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347535 | PA      | $362043.88     | 0.03%             | 2034-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14440 FG 10/33 FIXED 5.5            | CUSIP: 31296N4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1085 | PA      | $1095.92       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G00509 FG 08/26 FIXED 8.5            | CUSIP: 31283GR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.08          | 0.00%             | 2026-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 778266 FN 05/34 FIXED 5.5                    | CUSIP: 31404TTX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56990 | PA      | $57391.90      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 940380 FN 07/37 FIXED 6                      | CUSIP: 31413BFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384175 | PA      | $402109.25     | 0.03%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD8789 GN 03/43 FIXED 3.5                    | CUSIP: 36180MXS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22745 | PA      | $21335.06      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1        | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50617 | PA      | $49586.74      | 0.00%             | 2034-10-25      | Floating      | 4.35%                 | 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      | $228724.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 521288 GN 04/35 FIXED 5                      | CUSIP: 36211SCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243081 | PA      | $245465.76     | 0.02%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD5435 G2 12/47 FIXED 3.5                 | CUSIP: 3617BMBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     478986 | PA      | $445616.99     | 0.04%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0616 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     464079 | PA      | $431766.71     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005339 G2 03/27 FIXED 2.5                 | CUSIP: 36202F4Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4819 | PA      | $4781.42       | 0.00%             | 2027-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS6513 FN 01/36 FIXED 4                      | CUSIP: 3138WGGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     552777 | PA      | $539876.80     | 0.05%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 769802 FN 03/34 FIXED 5.5                    | CUSIP: 31404JGK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18493 | PA      | $18599.36      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1       | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46583 | PA      | $45734.36      | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2003-SEA                                              | GSAMP TRUST GSAMP 2003 SEA A1                          | CUSIP: 36228FVH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7312 | PA      | $8080.44       | 0.00%             | 2033-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 941137 FN 10/37 FIXED 6.5                    | CUSIP: 31413CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3465 | PA      | $3626.91       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | 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        |     138867 | PA      | $5975.83       | 0.00%             | 2046-10-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004715 G2 06/40 FIXED 5                   | CUSIP: 36202FGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     742222 | PA      | $758569.86     | 0.06%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00785 FG 06/29 FIXED 6.5            | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        980 | PA      | $1014.87       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809203 FN 01/35 FIXED 6.5                    | CUSIP: 31406GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21054 | PA      | $21774.46      | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04448 FG 07/38 FIXED 5.5            | CUSIP: 3128M6HZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6442 | PA      | $6639.11       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080430 G2 07/30 FLOATING VAR              | CUSIP: 36225CPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2754 | PA      | $2769.47       | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735643 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99757 | PA      | $100308.11     | 0.01%             | 2042-08-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6       | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35819 | PA      | $35421.28      | 0.00%             | 2033-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK8554 FR 02/32 FIXED 2.5            | CUSIP: 3131XCQF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40164 | PA      | $38656.92      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782425 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24027 | PA      | $24987.69      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0270 FN 11/38 FIXED 6                      | CUSIP: 31416VJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5482 | PA      | $5737.91       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 708330 GN 02/39 FIXED 5.5                    | CUSIP: 36297C4P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4459 | PA      | $4591.43       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91116 FG 11/27 FIXED 6              | CUSIP: 3128P7GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2929 | PA      | $2989.36       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782399 GN 09/38 FIXED 5.5                    | CUSIP: 36241KUY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36617 | PA      | $38081.99      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 667454 GN 05/37 FIXED 6.5                    | CUSIP: 36295DQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19476 | PA      | $20641.57      | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3        | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430761 | PA      | $250707.19     | 0.02%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                | FANNIE MAE FNR 2002 21 FD                              | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $298.68        | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1          | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43182 | PA      | $44071.25      | 0.00%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682899 GN 09/40 FIXED 6                      | CUSIP: 36295WUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26287 | PA      | $27274.16      | 0.00%             | 2040-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711343 GN 11/35 FIXED 5                      | CUSIP: 36297GHU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $193.46        | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A43941 FG 03/36 FIXED 5.5            | CUSIP: 3128K4LW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13738 | PA      | $14201.18      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782832 GN 12/39 FIXED 5.5                    | CUSIP: 36241LED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1096 | PA      | $1155.29       | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | 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        |     700000 | PA      | $701724.87     | 0.06%             | 2056-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A  | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56219 | PA      | $14867.32      | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH T-31                                | FHLMC STRUCTURED PASS THROUGH FSPC T 31 A7             | CUSIP: 3133TR7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54854 | PA      | $54835.47      | 0.00%             | 2031-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5              | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16249 | PA      | $16110.70      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5180 FR 08/42 FIXED 3              | CUSIP: 3133KYXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6575 | PA      | $6102.54       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852304 FN 02/36 FIXED 6                      | CUSIP: 31408H3M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4618 | PA      | $4752.37       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01469 FG 12/32 FIXED 5.5            | CUSIP: 31283HT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        746 | PA      | $771.55        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2454                                                  | FREDDIE MAC FHR 2454 FQ                                | CUSIP: 31392KC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7628 | PA      | $7698.12       | 0.00%             | 2031-06-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0022 FN 04/29 FIXED 4.5                    | CUSIP: 31417YAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3566 | PA      | $3577.10       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                    | KKR FINANCIAL CLO LTD KKR 21 A 144A                    | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     128462 | PA      | $128589.39     | 0.01%             | 2031-04-15      | Floating      | 4.93%                 | 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        |    2841022 | PA      | $486511.05     | 0.04%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT6314 G2 05/50 FIXED 3                   | CUSIP: 3617MVAP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     856353 | PA      | $753324.38     | 0.06%             | 2050-05-20      | Fixed         | 3.00%                 | 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