# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001099263-26-003093
**Filing Date:** 2026-3
**Character Count:** 462374
**Document Hash:** 092b11dd9c7a1662c8fbe06fe3d21d54
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003093.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003093

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 26705916

**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-Backed Securities Active Exchange-Traded Fund (Series ID: S000085048)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000249911 | PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund |  |

## 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 ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

- **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) 400-4383

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

- **a. Name of Series:** PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000085048

- **c. LEI of Series:** 2549001WTPP9QU7A6W04

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

- **a. Date of fiscal year-end:** 2026-06-30

- **b. Date as of which information is reported:** 2025-12-31

**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:** $3605218427.97

**Total Liabilities:** $2643376556.48

**Net Assets:** $961841871.49

**Delayed Delivery Securities:** $4153687.97

**Cash Not Reported:** $4773324.71

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 33824.776200 | **1-Year:** 164916.544400 | **5-Year:** 437219.182500 | **10-Year:** 78824.809600 | **30-Year:** 584.168500

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

- **3-Month:** 139.043000 | **1-Year:** 183.055700 | **5-Year:** 1308.272000 | **10-Year:** 576.721700 | **30-Year:** 12.421900

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000249911 | 0.85%                | 0.71%                | 0.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1101734.25              | $1986949.50                                |
| Month 2  | $-1022287.07             | $3911117.14                                |
| Month 3  | $-1365730.86             | $-579486.10                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Fixed Rate Total Return Index Value Unhedged USD

- **Index Identifier:** LD10TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H11 FJ          | CUSIP: 38380LFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    193501 | PA      | $194336.79    | 0.02%             | 2068-06-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240534 | PA      | $242198.18    | 0.03%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5351 FR 06/45 FIXED 6               | CUSIP: 3133KY5L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    197390 | PA      | $203743.34    | 0.02%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/26 0.00000                             | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    121000 | PA      | $120286.83    | 0.01%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2974                                                  | FREDDIE MAC FHR 2974 PF                                 | CUSIP: 31395TXG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12241 | PA      | $12100.88     | 0.00%             | 2035-05-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT6303 FN 06/43 FIXED 4                       | CUSIP: 3138WUAD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    179854 | PA      | $175976.28    | 0.02%             | 2043-06-01      | Fixed         | 4.00%                 | 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        |     42385 | PA      | $2248.86      | 0.00%             | 2043-06-20      | Floating      | 0.83%                 | 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        |     99656 | PA      | $101162.11    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       102 | NC      | $-90868.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 406                                     | FANNIEMAE STRIP FNS 406 17                              | CUSIP: 3136FG2X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    441642 | PA      | $86890.68     | 0.01%             | 2040-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                                         | FANNIE MAE FNR 2018 85 FE                               | CUSIP: 3136B3QC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    272743 | PA      | $269294.54    | 0.03%             | 2048-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7775865.33   | 0.81%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3795 FN 05/35 FIXED 4.97                    | CUSIP: 3140NYGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4786075 | PA      | $4911862.42   | 0.51%             | 2035-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD          | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575821 | PA      | $581684.01    | 0.06%             | 2074-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815321 FN 01/35 FLOATING VAR                  | CUSIP: 31406NYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11581 | PA      | $11934.47     | 0.00%             | 2035-01-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0421 FR 02/55 FIXED 6               | CUSIP: 31427MPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3974864 | PA      | $4175927.88   | 0.43%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAMHA3 PIMCO SWAPTION 3.2 CALL USD 20260330          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5100000 | NC      | $-8940.81     | -0.00%            |  |  |  | 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        |   1100000 | PA      | $854435.45    | 0.09%             | 2031-07-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H01 FV          | CUSIP: 38380LPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72902 | PA      | $73166.86     | 0.01%             | 2068-12-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7006 FN 02/52 FIXED VAR                     | CUSIP: 3140XNYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7523445 | PA      | $6976595.96   | 0.73%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2600000 | NC      | $154100.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17813 FG 01/27 FIXED 3               | CUSIP: 3128PXVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9822 | PA      | $9763.98      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8278 FR 01/39 FIXED 5.5             | CUSIP: 3132D6FT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33191 | PA      | $34052.63     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A AV                       | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3589 | PA      | $3576.82      | 0.00%             | 2032-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA9807 G2 07/47 FIXED 3.5                  | CUSIP: 3617AN3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10069 | PA      | $9298.62      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69945 FG 12/37 FIXED 5.5             | CUSIP: 3128L2BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28244 | PA      | $29264.09     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1040917.97   | 0.11%             | 2041-01-20      | Fixed         | 2.50%                 | 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        |   1144337 | PA      | $1173847.33   | 0.12%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783579 GN 05/42 FIXED 3.5                     | CUSIP: 36241L6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68812 | PA      | $64521.13     | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8096 FN 04/33 FIXED 4.7                     | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188000 | PA      | $190409.06    | 0.02%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ6041 FN 01/33 FIXED 4.41                    | CUSIP: 3140Q1WB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2894000 | PA      | $2894472.76   | 0.30%             | 2033-01-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85992 | PA      | $83259.29     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2151 G2 08/44 FIXED 5                    | CUSIP: 36179QL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54338 | PA      | $55823.69     | 0.01%             | 2044-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AP0116 GN 10/45 FIXED 3                       | CUSIP: 36188KDV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26320 | PA      | $23810.12     | 0.00%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S3P8 PIMCO CDSOPT PUT USD 97.37500000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $249.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3339 FN 11/30 FIXED 5.2                     | CUSIP: 3140NXV91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    756427 | PA      | $784980.89    | 0.08%             | 2030-11-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U96ZA0 PIMCO FPPSWAPTION 4.265 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $91430.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS6358 FN 10/32 FIXED 4.16                    | CUSIP: 3140LHB41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    610000 | PA      | $602041.73    | 0.06%             | 2032-10-01      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 HF                                 | CUSIP: 3137HKGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4337098 | PA      | $4378156.22   | 0.46%             | 2055-03-25      | Floating      | 5.22%                 | 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        |     50148 | PA      | $46768.31     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | 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        |     25715 | PA      | $25819.74     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2016-M11                                          | FANNIEMAE ACES FNA 2016 M11 AL                          | CUSIP: 3136AT5G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101177 | PA      | $93245.62     | 0.01%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3889 G2 11/47 FIXED 3.5                  | CUSIP: 3617AUKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14478 | PA      | $13370.88     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ7147 G2 07/47 FIXED 3.5                  | CUSIP: 36197K5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6171 | PA      | $5698.76      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-102                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 102 AI          | CUSIP: 38382HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    342180 | PA      | $41418.55     | 0.00%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 INV2 A11 144A   | CUSIP: 64831GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708414 | PA      | $664306.14    | 0.07%             | 2051-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626938 GN 04/45 FIXED 4                       | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60901 | PA      | $59653.40     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930914 FN 04/39 FIXED 4                       | CUSIP: 31412PGX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1514 | PA      | $1494.20      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q25852 FG 04/44 FIXED 4.5             | CUSIP: 3132M6EZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50576 | PA      | $50678.63     | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4934 FN 09/30 FIXED 4.93                    | CUSIP: 3140Q0PU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1545000 | PA      | $1595164.79   | 0.17%             | 2030-09-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-88                                         | FANNIE MAE FNR 2009 88 WZ                               | CUSIP: 31398F3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51677 | PA      | $48387.57     | 0.01%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1000 | PA      | $997.55       | 0.00%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3092 FN 02/35 FIXED 5.14                    | CUSIP: 3140NXNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3637667.88   | 0.38%             | 2035-02-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2444 FN 10/48 FIXED 4.5                     | CUSIP: 3140Q9WE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300495 | PA      | $1291180.69   | 0.13%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  53900000 | PA      | $47644652.75  | 4.95%             | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 429790 GN 12/33 FIXED 6.5                     | CUSIP: 36207ENF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33162 | PA      | $34391.65     | 0.00%             | 2033-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9962 FN 07/43 FIXED 4                       | CUSIP: 31417HB86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    473366 | PA      | $462915.51    | 0.05%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847959 FN 02/36 FLOATING VAR                  | CUSIP: 31408DB45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84185 | PA      | $85189.87     | 0.01%             | 2036-02-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  57000000 | PA      | $51226523.58  | 5.33%             | 2055-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5             | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148072 | PA      | $154879.13    | 0.02%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA83A9 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2800000 | NC      | $145401.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3392 FN 03/30 FIXED 4.72                    | CUSIP: 3140NXXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4707000 | PA      | $4802216.02   | 0.50%             | 2030-03-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16763 | PA      | $15730.80     | 0.00%             | 2036-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC | PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR         | CUSIP: 74040YAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     82337 | PA      | $82337.08     | 0.01%             | 2033-07-03      | Floating      | 4.81%                 | 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        |    374602 | PA      | $50384.97     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0201 FN 08/51 FIXED 4                       | CUSIP: 3140FXGK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    483000 | PA      | $462039.11    | 0.05%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C04444 FG 01/43 FIXED 3               | CUSIP: 31292L5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32218 | PA      | $29845.80     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5680 FN 04/45 FIXED 6                       | CUSIP: 31418FJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    139647 | PA      | $144100.61    | 0.01%             | 2045-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4487 FN 02/27 FIXED 3                       | CUSIP: 31417A6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13139 | PA      | $13052.52     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA          | CUSIP: 38375US27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    144015 | PA      | $141133.11    | 0.01%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 482928 GN 01/29 FIXED 6.5                     | CUSIP: 36209VPM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146 | PA      | $151.47       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0496 FN 07/60 FIXED 3                       | CUSIP: 3140FXRS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    485824 | PA      | $431825.64    | 0.04%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                  | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126342 | PA      | $131819.65    | 0.01%             | 2038-05-01      | Floating      | 6.47%                 | 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        |    842357 | PA      | $787543.44    | 0.08%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569830 GN 06/32 FIXED 6.5                     | CUSIP: 36200RA77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $128.30       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3872 FN 05/35 FIXED 4.86                    | CUSIP: 3140NYJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $407923.34    | 0.04%             | 2035-05-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-93                                         | FANNIE MAE FNR 2024 93 FB                               | CUSIP: 3136BTK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7920595 | PA      | $7986844.04   | 0.83%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FA          | CUSIP: 38380QFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241211 | PA      | $239383.24    | 0.02%             | 2070-06-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Z40004 FG 08/36 FIXED 6               | CUSIP: 3132FCAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5366 | PA      | $5667.08      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3340 FN 05/35 FIXED VAR                     | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    208560 | PA      | $205651.94    | 0.02%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55826 | PA      | $54458.17     | 0.01%             | 2045-02-25      | Floating      | 5.23%                 | 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        |     21658 | PA      | $1212.93      | 0.00%             | 2045-01-25      | Floating      | 1.74%                 | 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        |     65864 | PA      | $68919.64     | 0.01%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3514                                           | FREDDIE MAC FHR 3514 ZQ                                 | CUSIP: 31398C7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114228 | PA      | $115616.30    | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-88                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 PZ           | CUSIP: 38378TJ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89051 | PA      | $85790.25     | 0.01%             | 2043-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-79                                         | FANNIE MAE FNR 2014 79 PS                               | CUSIP: 3136ALF48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165235 | PA      | $9012.19      | 0.00%             | 2044-06-25      | Floating      | 1.61%                 | 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        |      1152 | PA      | $441.53       | 0.00%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-4832                                                  | FREDDIE MAC FHR 4832 FW                                 | CUSIP: 3137FHRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160563 | PA      | $158567.97    | 0.02%             | 2038-04-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ5549 FR 09/54 FIXED 6               | CUSIP: 3133CWEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6226299 | PA      | $6553267.80   | 0.68%             | 2054-09-01      | Fixed         | 6.00%                 | 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        |    142936 | PA      | $132814.19    | 0.01%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08851 FG 12/48 FIXED 3.5             | CUSIP: 3128MJ5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15495 | PA      | $14557.48     | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-30185.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98WA9 PIMCO FPPSWAPTION 4.285 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $63973.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | 3138FJ9J8                                               | CUSIP: 990ABZWV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2641000 | PA      | $2650698.73   | 0.28%             | 2031-01-01      | Fixed         | 4.28%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                            | FREDDIEMAC STRIP FHS 303 C19                            | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142843 | PA      | $23108.12     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4744 FN 01/48 FIXED 4                       | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5007 | PA      | $4841.54      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30300000 | PA      | $29584209.47  | 3.08%             | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4876 FN 09/32 FIXED 4.8                     | CUSIP: 3140Q0M25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4542000 | PA      | $4641898.16   | 0.48%             | 2032-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2175 FR 03/32 FIXED 3.05            | CUSIP: 3132XGMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    221351 | PA      | $205501.68    | 0.02%             | 2032-03-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-5                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 5 A11 144A          | CUSIP: 46591FAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36470 | PA      | $34920.61     | 0.00%             | 2049-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z2A2 PIMCO FPPSWAPTION 4.46 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   4200000 | NC      | $188451.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA82A0 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2800000 | NC      | $151605.16    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-99                                         | FANNIE MAE FNR 2025 99 KF                               | CUSIP: 3136BXY40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4978808 | PA      | $4996891.93   | 0.52%             | 2055-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5             | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    577343 | PA      | $593840.69    | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8202 FN 04/28 FIXED 4.14                    | CUSIP: 3140LKDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155032 | PA      | $155973.47    | 0.02%             | 2028-04-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 03/19/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $553237.10    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A    | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2121 | PA      | $2102.92      | 0.00%             | 2035-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2643 FR 09/55 FIXED 6.5             | CUSIP: 31427P5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    272045 | PA      | $287392.46    | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF          | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19625127 | PA      | $19809780.02  | 2.06%             | 2055-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A88029 FG 08/39 FIXED 6               | CUSIP: 3129344N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7489 | PA      | $7860.48      | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX7108 FR 03/55 FIXED 5.5             | CUSIP: 31426C3S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10105907 | PA      | $10349497.58  | 1.08%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2721 FH 01/35 FLOATING VAR          | CUSIP: 3128JM4F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $2805.17      | 0.00%             | 2035-01-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-435                                               | FANNIEMAE STRIP FNS 435 C24                             | CUSIP: 31424UAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10841393 | PA      | $1382277.31   | 0.14%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH          | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    317825 | PA      | $319710.10    | 0.03%             | 2066-01-20      | Floating      | 5.11%                 | 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        |       462 | PA      | $421.02       | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5543 FN 07/30 FIXED 4.385                   | CUSIP: 3140Q1ER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2348868 | PA      | $2376769.54   | 0.25%             | 2030-07-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3871 FN 05/35 FIXED 4.87                    | CUSIP: 3140NYJR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $204102.03    | 0.02%             | 2035-05-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815323 FN 01/35 FLOATING VAR                  | CUSIP: 31406NYU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3378 | PA      | $3518.28      | 0.00%             | 2035-01-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697924 GN 03/39 FIXED 5                       | CUSIP: 36296QLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    152226 | PA      | $155329.62    | 0.02%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S4O0 PIMCO CDSOPT CALL USD 96.67968750 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-21.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2200000 | NC      | $119118.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831215 FN 01/36 FIXED 6                       | CUSIP: 31407HN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9738 | PA      | $10273.85     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2641 FR 08/55 FIXED 6.5             | CUSIP: 31427P5B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    216796 | PA      | $230010.48    | 0.02%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ1373 FR 01/54 FIXED 5.5             | CUSIP: 3142GRQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    312294 | PA      | $317092.69    | 0.03%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5607                                           | FREDDIE MAC FHR 5607 FA                                 | CUSIP: 3137HNZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3613682 | PA      | $3619965.16   | 0.38%             | 2055-12-25      | Floating      | 4.77%                 | 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        |     26247 | PA      | $26043.95     | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                      | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A               | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502570.83    | 0.05%             | 2037-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H27                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H27 FA          | CUSIP: 38376RHR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    320715 | PA      | $321745.93    | 0.03%             | 2065-09-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W9                                      | FANNIEMAE WHOLE LOAN FNW 2003 W9 A                      | CUSIP: 31393B6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6389 | PA      | $6131.88      | 0.00%             | 2033-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                               | MFRA TRUST MFRA 2020 NQM2 A1 144A                       | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68137 | PA      | $66929.07     | 0.01%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AY8218 GN 01/47 FIXED 4                       | CUSIP: 36196YDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17705 | PA      | $16961.41     | 0.00%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735653 FN 10/44 FLOATING VAR                  | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7683 | PA      | $7693.17      | 0.00%             | 2044-10-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AR3716 GN 12/45 FIXED 3.5                     | CUSIP: 36192YDV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    132667 | PA      | $123874.10    | 0.01%             | 2045-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK0730 FN 02/42 FLOATING VAR                  | CUSIP: 3138E4Y47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13083 | PA      | $13568.12     | 0.00%             | 2042-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI8187 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34617 | PA      | $34019.33     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU6030 FN 09/33 FIXED 4.5                     | CUSIP: 3138X5VY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168417 | PA      | $169169.20    | 0.02%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931551 FN 07/39 FIXED 4.5                     | CUSIP: 31412P5L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160856 | PA      | $162334.72    | 0.02%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                  | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4           | CUSIP: 00764MEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36168 | PA      | $35908.72     | 0.00%             | 2035-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A65518 FG 09/37 FIXED 6               | CUSIP: 3128KWDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2537 | PA      | $2644.80      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5059 FN 06/43 FIXED 4.5                     | CUSIP: 31418ETR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    588673 | PA      | $591913.04    | 0.06%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $18483906.96  | 1.92%             | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2642 FR 09/55 FIXED 6.5             | CUSIP: 31427P5C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174147 | PA      | $184314.30    | 0.02%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB1138 FN 06/40 FIXED 4                       | CUSIP: 31416WHQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5994 | PA      | $5920.22      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE7840 FN 02/47 FIXED 4                       | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84419 | PA      | $81666.23     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735962 FN 10/35 FLOATING VAR                  | CUSIP: 31402RTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3468 | PA      | $3550.36      | 0.00%             | 2035-10-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2100000 | PA      | $2099950.57   | 0.22%             | 2035-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5660 FN 11/32 FIXED 4.37                    | CUSIP: 3140Q1JE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3229000 | PA      | $3228925.05   | 0.34%             | 2032-11-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17826 FG 01/27 FIXED 3               | CUSIP: 3128PXVT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13190 | PA      | $13119.62     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U89MA9 PIMCO SWAPTION 2.75 CALL USD 2026020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2500000 | NC      | $37.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RXU6 OTC ECAL FN 4.0 JAN26 95.296875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5000000 | NC      | $-2723.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE8092 FN 08/55 FIXED 5.5                     | CUSIP: 3140BL7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199136 | PA      | $204959.11    | 0.02%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4588                                           | FREDDIE MAC FHR 4588 PI                                 | CUSIP: 3137BQEL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    556724 | PA      | $75027.30     | 0.01%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q54654 FG 03/48 FIXED 4               | CUSIP: 3132XXE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3501 | PA      | $3389.56      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4574 FN 11/26 FIXED 3                       | CUSIP: 3138AWCL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5773 | PA      | $5735.70      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2644 FR 09/55 FIXED 6.5             | CUSIP: 31427P5E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    428436 | PA      | $452347.82    | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7386 FN 12/29 FIXED 4.77                    | CUSIP: 3140LJF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89867 | PA      | $91663.22     | 0.01%             | 2029-12-01      | Fixed         | 4.77%                 | 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        |     73167 | PA      | $75234.05     | 0.01%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G67722 FG 03/49 FIXED 5               | CUSIP: 3132XCSK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    293158 | PA      | $298945.47    | 0.03%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                    | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B                | CUSIP: 12669FY31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29449 | PA      | $26050.30     | 0.00%             | 2034-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2870 FN 08/55 FIXED VAR                     | CUSIP: 3140W3FL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    538179 | PA      | $568216.37    | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | 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        |     83603 | PA      | $82313.92     | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2929 FR 01/40 FIXED 5.5             | CUSIP: 3133WMHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    588712 | PA      | $606048.10    | 0.06%             | 2040-01-01      | Fixed         | 5.50%                 | 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        |     16628 | PA      | $17041.77     | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02791 FG 04/37 FIXED 5.5             | CUSIP: 3128M4NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $188.23       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF          | CUSIP: 38383KFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    456620 | PA      | $462023.81    | 0.05%             | 2073-09-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7N9 PIMCO CDSOPT CALL USD 95.32812500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -3000000 | NC      | $-15171.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC1920 G2 09/47 FIXED 3.5                  | CUSIP: 3617B5DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    151796 | PA      | $139998.93    | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | 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        |    279817 | PA      | $274320.75    | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE8260 FN 09/55 FIXED 6                       | CUSIP: 3140BMFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2566919 | PA      | $2653449.50   | 0.28%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                           | FREDDIE MAC FHR 5500 FW                                 | CUSIP: 3137HJAV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8105575 | PA      | $8139700.63   | 0.85%             | 2054-10-25      | Floating      | 5.07%                 | 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        |     73382 | PA      | $71838.68     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | 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        |      4963 | PA      | $233.29       | 0.00%             | 2037-10-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S600 PIMCO CDSOPT PUT USD 102.13281250 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -11500000 | NC      | $-8602.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QU8229 FR 11/54 FIXED 6               | CUSIP: 3133JMEA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1678728 | PA      | $1713482.25   | 0.18%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15194 | PA      | $15170.83     | 0.00%             | 2034-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2811 FH 03/35 FLOATING VAR          | CUSIP: 3128JNAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       900 | PA      | $927.06       | 0.00%             | 2035-03-01      | Floating      | 6.78%                 | 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        |    120688 | PA      | $118232.30    | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK3180 FN 03/48 FIXED 3.5                     | CUSIP: 3140HGRA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130965 | PA      | $123172.72    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02681 FG 02/37 FIXED 6               | CUSIP: 3128M4J20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1254 | PA      | $1327.94      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5557 FN 11/32 FIXED 4.43                    | CUSIP: 3140Q1E71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3006855.66   | 0.31%             | 2032-11-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5468                                           | FREDDIE MAC FHR 5468 FC                                 | CUSIP: 3137HHAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8731150 | PA      | $8760895.69   | 0.91%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR6                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A       | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42614 | PA      | $38770.44     | 0.00%             | 2046-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H06 FD          | CUSIP: 38381TC37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81678 | PA      | $81973.77     | 0.01%             | 2069-01-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928590 FN 07/37 FIXED 6.5                     | CUSIP: 31412LUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22861 | PA      | $24277.59     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR          | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1864 | PA      | $1914.64      | 0.00%             | 2034-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H03 FA          | CUSIP: 38382YR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    482289 | PA      | $486045.46    | 0.05%             | 2073-02-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 10/16/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $59078.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98172 | PA      | $100055.30    | 0.01%             | 2058-05-25      | Floating      | 4.85%                 | 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        |     60434 | PA      | $2722.22      | 0.00%             | 2045-09-20      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946065 FN 09/37 FIXED 6.5                     | CUSIP: 31413HQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24566 | PA      | $25840.89     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | 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        |     58511 | PA      | $58023.73     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4361                                           | FREDDIE MAC FHR 4361 PI                                 | CUSIP: 3137BC5J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38683 | PA      | $4447.69      | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                        | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A               | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2700788.99   | 0.28%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3703 FN 05/49 FIXED 3                       | CUSIP: 31418DDH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    313743 | PA      | $276522.05    | 0.03%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8055 FN 04/47 FIXED 4                       | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3186 | PA      | $3071.04      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2718 FN 05/47 FIXED 4                       | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119501 | PA      | $115597.47    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL  MORTGAGE ASSOCIATION 2024-126                | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 126 CF          | CUSIP: 38384UVT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1491186 | PA      | $1494352.06   | 0.16%             | 2054-08-20      | Floating      | 4.82%                 | 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        |      1667 | PA      | $1557.21      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-25                                                | FANNIE MAE FNR 2002 25 FX                               | CUSIP: 31392C6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16612 | PA      | $16790.32     | 0.00%             | 2032-04-25      | Floating      | 4.99%                 | 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        |    113797 | PA      | $103531.37    | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4803 FN 09/32 FIXED 4.96                    | CUSIP: 3140Q0KR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1368568 | PA      | $1411340.23   | 0.15%             | 2032-09-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-165140.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-47                                         | FANNIE MAE FNR 2013 47 MS                               | CUSIP: 3136AEBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70692 | PA      | $64979.25     | 0.01%             | 2043-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5573                                           | FREDDIE MAC FHR 5573 FB                                 | CUSIP: 3137HMSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6583404 | PA      | $6612457.84   | 0.69%             | 2055-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7098 FN 09/53 FIXED 5                       | CUSIP: 3140QS3G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2939212 | PA      | $2957848.33   | 0.31%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A2         | CUSIP: 74922TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15985 | PA      | $14329.42     | 0.00%             | 2037-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18652 FG 07/32 FIXED 3               | CUSIP: 3128MMWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74632 | PA      | $73045.66     | 0.01%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2800000 | NC      | $170205.56    | 0.02%             |  |  |  | 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        |      1816 | PA      | $1728.68      | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2871 FN 09/55 FIXED VAR                     | CUSIP: 3140W3FM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    368945 | PA      | $389090.47    | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678006 FN 10/32 FIXED 6                       | CUSIP: 31391VGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3323 | PA      | $3410.78      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 691304 FN 11/37 FIXED 6.5                     | CUSIP: 31400MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12317 | PA      | $12784.32     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9627 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3057152 | PA      | $3024002.26   | 0.31%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53034 FG 12/47 FIXED 3.5             | CUSIP: 3132XVLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53235 | PA      | $50185.75     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $740034.31    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A            | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353563 | PA      | $356835.43    | 0.04%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2005-102                                        | FANNIE MAE FNR 2005 102 AS                              | CUSIP: 31394UHW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    229253 | PA      | $16792.35     | 0.00%             | 2035-11-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H20 FA          | CUSIP: 38382YYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    190371 | PA      | $190999.82    | 0.02%             | 2072-08-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS9900 FN 06/48 FIXED VAR                     | CUSIP: 3140XSAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8967636 | PA      | $8653193.13   | 0.90%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | 3138FT9A5                                               | CUSIP: 990ABRPV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1455000 | PA      | $1498574.41   | 0.16%             | 2033-01-01      | Fixed         | 4.99%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                           | FREDDIE MAC FHR 4438 WI                                 | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27113 | PA      | $1520.51      | 0.00%             | 2038-11-15      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1856                                                  | FREDDIE MAC FHR 1856 ZG                                 | CUSIP: 3133T7BC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.60         | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8455 FN 08/53 FIXED VAR                     | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    708554 | PA      | $729222.67    | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773246 FN 02/35 FLOATING VAR                  | CUSIP: 31404NBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4327 | PA      | $4479.10      | 0.00%             | 2035-02-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2185 FN 06/47 FIXED 4                       | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1973 | PA      | $1901.72      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02998 FG 05/37 FIXED 6               | CUSIP: 3128M4UX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14707 | PA      | $15575.84     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A50771 FG 07/36 FIXED 6               | CUSIP: 3128KC2C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1160 | PA      | $1229.14      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2533 FR 05/49 FIXED 4               | CUSIP: 31427PY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5902897 | PA      | $5663801.26   | 0.59%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0207 FR 01/55 FIXED 5               | CUSIP: 31427MGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    882853 | PA      | $890025.11    | 0.09%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9V5A8 PIMCO FPPSWAPTION 4.64 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3000000 | NC      | $166127.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  77900000 | PA      | $77617003.32  | 8.07%             | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AR0791 G2 05/46 FIXED 3.5                  | CUSIP: 36192S2Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    132972 | PA      | $121162.16    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE4018 FN 07/55 FIXED 5.5                     | CUSIP: 3140BGPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49741 | PA      | $51247.58     | 0.01%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838769 FN 09/35 FLOATING VAR                  | CUSIP: 31407R2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9432 | PA      | $9730.03      | 0.00%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-130779.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4248                                           | FREDDIE MAC FHR 4248 ES                                 | CUSIP: 3137B4UN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    192129 | PA      | $190387.12    | 0.02%             | 2041-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4          | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    612646 | PA      | $616676.56    | 0.06%             | 2036-11-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8409 FN 03/47 FIXED 4                       | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       958 | PA      | $918.15       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8300000 | PA      | $7647996.07   | 0.80%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8298 FN 04/54 FIXED 6                       | CUSIP: 3140QUGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1109620 | PA      | $1158681.92   | 0.12%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC4389 FN 07/39 FIXED 4                       | CUSIP: 31417N2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87253 | PA      | $86298.70     | 0.01%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98VA0 PIMCO FPPSWAPTION 4.285 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $103567.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18644 FG 05/32 FIXED 3               | CUSIP: 3128MMWE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136917 | PA      | $134058.09    | 0.01%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003636 G2 11/34 FIXED 5                    | CUSIP: 36202EBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       400 | PA      | $406.21       | 0.00%             | 2034-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW9166 FN 07/34 FIXED 4                       | CUSIP: 3138XZFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104954 | PA      | $103676.24    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A74896 FG 03/38 FIXED 5               | CUSIP: 3128L8NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48563 | PA      | $49978.00     | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | 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        |    138451 | PA      | $92807.97     | 0.01%             | 2045-09-20      | Floating      | 0.03%                 | 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        |     21342 | PA      | $19770.12     | 0.00%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                               | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1        | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251403 | PA      | $194889.32    | 0.02%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809925 FN 03/35 FLOATING VAR                  | CUSIP: 31406GYW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2256 | PA      | $2291.64      | 0.00%             | 2035-03-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX7940 FN 01/45 FIXED 4                       | CUSIP: 3138Y9ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57387 | PA      | $55519.77     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3325                                                  | FREDDIE MAC FHR 3325 ZM                                 | CUSIP: 31397JEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    323143 | PA      | $349230.44    | 0.04%             | 2037-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE2689 FN 05/47 FIXED 4                       | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4236 | PA      | $4097.95      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RYT8 PIMCO CDSOPT CALL USD 95.22656250 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4900000 | NC      | $-3355.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8515 FR 03/55 FIXED 5.5             | CUSIP: 3132DWN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5631059 | PA      | $5714127.61   | 0.59%             | 2055-03-01      | Fixed         | 5.50%                 | 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        |    113703 | PA      | $114491.94    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                             | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                  | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2200057.53   | 0.23%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3306 FN 03/48 FIXED 4                       | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1910 | PA      | $1850.04      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27850000 | PA      | $27165977.54  | 2.82%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3090 FN 08/32 FIXED 3                       | CUSIP: 31418CNG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48668 | PA      | $47566.02     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H04                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H04 F           | CUSIP: 38382YMN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196315 | PA      | $195524.37    | 0.02%             | 2067-11-20      | Floating      | 4.22%                 | 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        |      3133 | PA      | $2976.22      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3141 FN 03/30 FIXED 5.05                    | CUSIP: 3140NXP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14677000 | PA      | $15201972.95  | 1.58%             | 2030-03-01      | Fixed         | 5.05%                 | 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        |     29283 | PA      | $30603.18     | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | 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        |      5213 | PA      | $5365.94      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783532 GN 02/42 FIXED 3.5                     | CUSIP: 36241L4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2449 | PA      | $2295.97      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | 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        |     30843 | PA      | $24549.51     | 0.00%             | 2046-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVI 2021-1A                            | PARK AVENUE INSTITUTIONAL ADVI PAIA 2021 1A A1AR 144A   | CUSIP: 70015QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1401047.35   | 0.15%             | 2034-01-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569159 GN 03/32 FIXED 6.5                     | CUSIP: 36200QJC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257 | PA      | $264.84       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 801773 FN 12/36 FIXED 6                       | CUSIP: 31405WXA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3482 | PA      | $3614.16      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G0103 FH 02/35 FLOATING VAR          | CUSIP: 3128NCDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       831 | PA      | $854.31       | 0.00%             | 2035-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) MAR26 XCBT 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         9 | NC      | $-1522.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A95501 FG 12/40 FIXED 5               | CUSIP: 312944DE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55138 | PA      | $56314.44     | 0.01%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784433 G2 02/48 FIXED 3.5                  | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80423 | PA      | $74291.48     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4275 FN 01/27 FIXED 3                       | CUSIP: 31417AXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15295 | PA      | $15199.09     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6992 G2 09/53 FIXED 6                    | CUSIP: 3618FFXV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    486203 | PA      | $503969.05    | 0.05%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05132 FG 12/38 FIXED 5               | CUSIP: 3128M7A97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52577 | PA      | $54156.80     | 0.01%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CVA1 PIMCO FPPSWAPTION 4.63 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $88927.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UB80A1 PIMCO SWAPTION 4.066 PUT USD 2026020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-847.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-93                                         | FANNIE MAE FNR 2025 93 FA                               | CUSIP: 3136BXS39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2358562 | PA      | $2365132.04   | 0.25%             | 2055-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21400000 | PA      | $21354435.12  | 2.22%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A95500 FG 12/40 FIXED 5               | CUSIP: 312944DD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13942 | PA      | $14275.19     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2639 FR 07/55 FIXED 6.5             | CUSIP: 31427P4Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194566 | PA      | $206838.43    | 0.02%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804965 FN 12/34 FLOATING VAR                  | CUSIP: 31406BJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2616 | PA      | $2674.44      | 0.00%             | 2034-12-01      | Floating      | 5.79%                 | 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        |    166494 | PA      | $163786.73    | 0.02%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-64338.82    | -0.01%            |  |  |  | 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        |     70098 | PA      | $67188.99     | 0.01%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB          | CUSIP: 38376RCF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3037 | PA      | $3036.67      | 0.00%             | 2065-05-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2971 FN 08/45 FIXED VAR                     | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140131 | PA      | $136821.39    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7183 FN 01/36 FLOATING VAR                  | CUSIP: 3138EP6V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43829 | PA      | $45752.39     | 0.00%             | 2036-01-01      | Floating      | 6.27%                 | 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        |     34255 | PA      | $31834.92     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RY76 OTC ECAL FN 4.0 JAN26 95.3242187 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-4973.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                           | FREDDIE MAC FHR 4324 IO                                 | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13402 | PA      | $944.66       | 0.00%             | 2036-08-15      | Floating      | 2.08%                 | 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        |     63251 | PA      | $8219.56      | 0.00%             | 2049-11-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E03003 FG 01/27 FIXED 3               | CUSIP: 31294MKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21603 | PA      | $21487.89     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ2269 FR 05/54 FIXED 5.5             | CUSIP: 3142GSQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    306074 | PA      | $310745.86    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6160 FR 05/55 FIXED 6.5             | CUSIP: 3133N3ZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    456125 | PA      | $466094.07    | 0.05%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97VA2 PIMCO FPPSWAPTION 4.3075 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2900000 | NC      | $185873.18    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                         | FANNIE MAE FNR 2013 54 SK                               | CUSIP: 3136AEUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    248781 | PA      | $180282.84    | 0.02%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q54427 FG 02/48 FIXED 4               | CUSIP: 3132XW4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7063 | PA      | $6836.48      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD6621 FR 10/54 FIXED 6               | CUSIP: 3132DULA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    488941 | PA      | $510502.44    | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5713 FN 11/30 FIXED 4.66                    | CUSIP: 3140Q1K33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2260000 | PA      | $2300618.62   | 0.24%             | 2030-11-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764413 GN 04/41 FIXED 5                       | CUSIP: 36176FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5508 | PA      | $5595.71      | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2002 W11                                    | FANNIEMAE WHOLE LOAN FNW 2002 W11 AV1                   | CUSIP: 31392EW63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5490 | PA      | $5386.54      | 0.00%             | 2032-11-25      | Floating      | 4.16%                 | 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        |     45768 | PA      | $47027.71     | 0.00%             | 2035-05-01      | 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        |     68256 | PA      | $66664.75     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4061 FN 06/30 FIXED 4.005                   | CUSIP: 3140NYQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10105000 | PA      | $10075243.50  | 1.05%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4276 FN 01/27 FIXED 3                       | CUSIP: 31417AXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17780 | PA      | $17667.99     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-53                                                | FANNIE MAE FNR 2004 53 ZQ                               | CUSIP: 31394AAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141614 | PA      | $152736.11    | 0.02%             | 2034-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8166 FN 02/46 FIXED VAR                     | CUSIP: 3138ETCC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    879290 | PA      | $838169.65    | 0.09%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2006-69                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 69 PO           | CUSIP: 38375JBL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75579 | PA      | $62974.85     | 0.01%             | 2036-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                                           | FREDDIE MAC FHR 4255 SN                                 | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89912 | PA      | $92023.93     | 0.01%             | 2035-05-15      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0897 FR 03/55 FIXED 5               | CUSIP: 31427M7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2633967 | PA      | $2648061.17   | 0.28%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01622 FG 09/33 FIXED 5               | CUSIP: 31292HYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       418 | PA      | $425.62       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8573 FN 06/54 FIXED VAR                     | CUSIP: 3140XQQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    758233 | PA      | $798582.32    | 0.08%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17232 FG 11/26 FIXED 3               | CUSIP: 3128PXA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10421 | PA      | $10368.96     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5499                                           | FREDDIE MAC FHR 5499 FX                                 | CUSIP: 3137HJZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1601638 | PA      | $1616233.23   | 0.17%             | 2055-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH4379 FN 05/47 FIXED 4                       | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85342 | PA      | $82536.74     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/26 0.00000                             | CUSIP: 912797SS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    299000 | PA      | $297449.10    | 0.03%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2000777.32   | 0.21%             | 2035-07-17      | Floating      | 5.04%                 | 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        |    135249 | PA      | $113458.82    | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | 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        |    355353 | PA      | $329143.57    | 0.03%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 783028 FH 02/35 FLOATING VAR          | CUSIP: 31349ULH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       768 | PA      | $794.01       | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81047 FG 08/38 FIXED 6               | CUSIP: 312927EU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10791 | PA      | $11339.99     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q34007 FG 06/45 FIXED 3               | CUSIP: 3132QQNZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52559 | PA      | $48027.99     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5989 FN 11/48 FLOATING VAR                  | CUSIP: 3140JAUP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81158 | PA      | $84594.76     | 0.01%             | 2048-11-01      | Floating      | 6.11%                 | 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        |     56358 | PA      | $57454.89     | 0.01%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052417<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6000000 | PA      | $-6151943.82  | -0.64%            | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A        | CUSIP: 3137G1BL0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    213627 | PA      | $190228.15    | 0.02%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5847 FN 09/55 FIXED 6.5                     | CUSIP: 31418FP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3840493 | PA      | $3910482.99   | 0.41%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                     | SYCAMORE TREE CLO LTD STCP 2023 2A AR 144A              | CUSIP: 87122CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $301579.77    | 0.03%             | 2037-01-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5308 FN 11/31 FIXED 4.86                    | CUSIP: 3140Q03S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2120247 | PA      | $2175867.21   | 0.23%             | 2031-11-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9151 FN 09/54 FIXED 6                       | CUSIP: 3140QVEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    987932 | PA      | $1033764.40   | 0.11%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 485682 GN 08/31 FIXED 6.5                     | CUSIP: 36209YRB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $39.27        | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06962 FG 05/40 FIXED 6               | CUSIP: 3128M9B76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22971 | PA      | $24328.81     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4535 FN 11/26 FIXED 3                       | CUSIP: 3138AWBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3421 | PA      | $3398.34      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 675733 G2 07/47 FIXED 3.5                  | CUSIP: 36295NV20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48468 | PA      | $44701.77     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5             | CUSIP: 3132M6E22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55916 | PA      | $55603.79     | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A        | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     95801 | PA      | $84489.06     | 0.01%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-79                                         | FANNIE MAE FNR 2025 79 FA                               | CUSIP: 3136BXUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2518393 | PA      | $2533642.55   | 0.26%             | 2055-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9448 FN 11/54 FIXED 4.5                     | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2178571 | PA      | $2158704.83   | 0.22%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08035 FG 01/35 FIXED 5               | CUSIP: 3128MJBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42647 | PA      | $43820.25     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7748 FR 08/53 FIXED 5               | CUSIP: 3133C8TD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134797 | PA      | $136162.63    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677094 GN 07/38 FIXED 6.5                     | CUSIP: 36295QGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2207 | PA      | $2305.51      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2815 FN 05/35 FLOATING VAR                  | CUSIP: 3138EKDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18745 | PA      | $19351.68     | 0.00%             | 2035-05-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18632 FG 02/32 FIXED 3               | CUSIP: 3128MMV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39302 | PA      | $38512.89     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE6513 FN 09/55 FIXED 6                       | CUSIP: 3140BKGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    232361 | PA      | $240194.05    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE9154 FN 09/55 FIXED 6                       | CUSIP: 3140BNE46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    466334 | PA      | $482054.10    | 0.05%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE  ASSOCIATION GNR-2019-H11            | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H11 FM          | CUSIP: 38380LVB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    373421 | PA      | $373856.54    | 0.04%             | 2069-05-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6054 FN 12/26 FIXED 3                       | CUSIP: 3138AXWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4990 | PA      | $4955.71      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9624 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1976665 | PA      | $1963448.69   | 0.20%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AY2341 FN 06/45 FIXED 4                       | CUSIP: 3138YFS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28822 | PA      | $28060.47     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H03                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H03 FD          | CUSIP: 38375UTT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12243 | PA      | $12263.16     | 0.00%             | 2065-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0822 FN 02/55 FIXED VAR                     | CUSIP: 3140W04G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1962784 | PA      | $2053987.55   | 0.21%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE0034 G2 12/47 FIXED 3.5                  | CUSIP: 3617BTBB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10912 | PA      | $10077.71     | 0.00%             | 2047-12-20      | 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        |    535414 | PA      | $91360.24     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-77                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 77 EZ           | CUSIP: 38376UTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241843 | PA      | $181015.52    | 0.02%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REVERSE REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -27618540 | PA      | $-27685545.28 | -2.88%            |  |  |  | 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        |        54 | PA      | $56.10        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q13410 FG 12/42 FIXED 3               | CUSIP: 3132HPYF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46536 | PA      | $43102.71     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/26 0.00000                             | CUSIP: 912797SJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    264000 | PA      | $263178.36    | 0.03%             | 2026-02-03      | None          | 0.00%                 | 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        |    676944 | PA      | $594925.01    | 0.06%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A53538 FG 10/36 FIXED 6               | CUSIP: 3128KF4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2247 | PA      | $2373.28      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | 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        |      8396 | PA      | $7743.13      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFBA4 PIMCO SWAPTION 3.135 CALL USD 202609          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   5800000 | NC      | $29892.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8092 FN 07/42 FIXED VAR                     | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    282947 | PA      | $277201.43    | 0.03%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9QYA7 PIMCO FPPSWAPTION 4.55875 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2800000 | NC      | $160634.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS6841 FN 01/54 FIXED VAR                     | CUSIP: 3140XNS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1330199 | PA      | $1389009.26   | 0.14%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5944 FN 12/35 FIXED 4.95                    | CUSIP: 3140Q1TA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2731000 | PA      | $2773728.13   | 0.29%             | 2035-12-01      | Fixed         | 4.95%                 | 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        |    100808 | PA      | $639.75       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | 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        |      2474 | PA      | $2541.66      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0503 FN 10/54 FIXED VAR                     | CUSIP: 3140W0RZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17966691 | PA      | $18482711.54  | 1.92%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                           | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1            | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25496 | PA      | $24496.65     | 0.00%             | 2046-10-25      | Floating      | 4.66%                 | 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        |     43489 | PA      | $2408.08      | 0.00%             | 2042-06-20      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS2262 FN 04/44 FIXED 4                       | CUSIP: 3138WBQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14859 | PA      | $14407.99     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX2595 FR 12/54 FIXED 6               | CUSIP: 31425W3D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5578173 | PA      | $5762929.48   | 0.60%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 03/19/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $216550.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 794277 FN 09/34 FIXED 5.5                     | CUSIP: 31405NM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18526 | PA      | $18795.87     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04051 FG 02/38 FIXED 6               | CUSIP: 3128M5ZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20389 | PA      | $21599.52     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | 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        |     36567 | PA      | $1832.75      | 0.00%             | 2052-07-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03781 FG 01/38 FIXED 6               | CUSIP: 3128M5RA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15418 | PA      | $16334.37     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62068 FG 09/46 FIXED 2.5             | CUSIP: 3128S3JM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    152838 | PA      | $132099.13    | 0.01%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM2479 G2 08/47 FIXED 3                    | CUSIP: 3617YMXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113294 | PA      | $102607.52    | 0.01%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 384                                     | FANNIEMAE STRIP FNS 384 21                              | CUSIP: 3136FET51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    380678 | PA      | $74985.89     | 0.01%             | 2037-09-25      | 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        |     50895 | PA      | $2726.57      | 0.00%             | 2054-08-25      | Floating      | 1.75%                 | 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        |     13622 | PA      | $13982.59     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                         | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2702880.17   | 0.28%             | 2034-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2 JUMBOS                              | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  33800000 | PA      | $28001052.98  | 2.91%             | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 816593 FN 02/35 FLOATING VAR                  | CUSIP: 31406QGA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2340 | PA      | $2413.23      | 0.00%             | 2035-02-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8176 FN 04/33 FIXED 4.385                   | CUSIP: 3140LKCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    166000 | PA      | $165563.86    | 0.02%             | 2033-04-01      | Fixed         | 4.38%                 | 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        |     10398 | PA      | $10305.44     | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA6149 G2 03/43 FIXED 3                    | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    123625 | PA      | $114659.07    | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BU4013 FN 05/43 FIXED 4.5                     | CUSIP: 3140M5N76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    426142 | PA      | $427917.26    | 0.04%             | 2043-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782885 GN 12/39 FIXED 5.5                     | CUSIP: 36241LF27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23047 | PA      | $24205.79     | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                          | FANNIE MAE FNR 2025 6 GF                                | CUSIP: 3136BUVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16278405 | PA      | $16407585.84  | 1.71%             | 2055-02-25      | Floating      | 5.27%                 | 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        |     63955 | PA      | $66807.81     | 0.01%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM8603 G2 04/47 FIXED 3                    | CUSIP: 3617YURY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98019 | PA      | $87999.15     | 0.01%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2005-58                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 58 MZ           | CUSIP: 38374LM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33266 | PA      | $34072.95     | 0.00%             | 2035-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                             | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP           | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371480 | PA      | $195237.16    | 0.02%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0307 FR 01/55 FIXED 5.5             | CUSIP: 31427MKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3298598 | PA      | $3400098.89   | 0.35%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H13                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H13 FJ          | CUSIP: 38382Y7H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1021727 | PA      | $1045841.30   | 0.11%             | 2073-02-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4969 FN 09/30 FIXED 4.9                     | CUSIP: 3140Q0QX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2535000 | PA      | $2617308.89   | 0.27%             | 2030-09-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02939 FG 05/37 FIXED 5.5             | CUSIP: 3128M4S46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $172.61       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2059 FN 06/42 FIXED VAR                     | CUSIP: 3138EJJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51881 | PA      | $50778.59     | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  58590000 | PA      | $53321440.73  | 5.54%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735896 FN 09/35 FIXED VAR                     | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155 | PA      | $164.39       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3188 FN 11/32 FIXED 3                       | CUSIP: 31418CRJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97719 | PA      | $95538.67     | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE          | CUSIP: 38376RRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32814 | PA      | $33082.02     | 0.00%             | 2066-03-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0586 FN 12/39 FIXED VAR                     | CUSIP: 31418MUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47105 | PA      | $47537.91     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5963 FN 01/38 FIXED VAR                     | CUSIP: 3140JATV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    676986 | PA      | $671730.57    | 0.07%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                | FANNIE MAE FNR 1998 22 FA                               | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.11        | 0.00%             | 2028-04-18      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2640 FR 06/55 FIXED 6.5             | CUSIP: 31427P5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106585 | PA      | $113211.27    | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S3K9 PIMCO CDSOPT PUT USD 98.92187500 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3500000 | NC      | $79.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841837 FN 07/35 FLOATING VAR                  | CUSIP: 31407VHN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12148 | PA      | $12715.52     | 0.00%             | 2035-07-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1457 FR 03/40 FIXED 5.5             | CUSIP: 3132CXTN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13941032 | PA      | $14303075.19  | 1.49%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                            | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952279 | PA      | $81117.25     | 0.01%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2931 FN 03/32 FIXED 3                       | CUSIP: 31418CHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37273 | PA      | $36439.29     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2064                                           | FREDDIE MAC FHR 2064 ZA                                 | CUSIP: 3133TEMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15804 | PA      | $16000.10     | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2807 FN 01/49 FIXED VAR                     | CUSIP: 3140W3DM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7879131 | PA      | $7617660.43   | 0.79%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3               | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424619 | PA      | $397109.50    | 0.04%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ8954 FR 11/54 FIXED 6               | CUSIP: 3133D05P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9797477 | PA      | $10311984.37  | 1.07%             | 2054-11-01      | Fixed         | 6.00%                 | 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        |       760 | PA      | $724.69       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3534 G2 08/47 FIXED 3.5                  | CUSIP: 3617AT4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15593 | PA      | $14400.82     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO2590 G2 07/52 FIXED 4.5                  | CUSIP: 3617FD2X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1658787 | PA      | $1608087.70   | 0.17%             | 2052-07-20      | Fixed         | 4.50%                 | 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        |    107478 | PA      | $104706.31    | 0.01%             | 2035-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                       | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A               | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    500000 | PA      | $502714.46    | 0.05%             | 2036-04-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2738 FR 11/39 FIXED 5.5             | CUSIP: 3133WMBF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1068895 | PA      | $1101100.66   | 0.11%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8492 FR 08/53 FIXED 5               | CUSIP: 3133C9NH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    151828 | PA      | $153060.90    | 0.02%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8420 FR 04/54 FIXED 5.5             | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8264967 | PA      | $8391955.62   | 0.87%             | 2054-04-01      | Fixed         | 5.50%                 | 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        |    223290 | PA      | $214775.83    | 0.02%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2964 FN 04/32 FIXED 3                       | CUSIP: 31418CJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    184397 | PA      | $180272.94    | 0.02%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8526 FR 04/55 FIXED 6.5             | CUSIP: 3132DWPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2610111 | PA      | $2713128.11   | 0.28%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RTQ0 OTC ECAL FN 4.0 JAN26 97.375 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -17000000 | NC      | $-1.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    975540 | PA      | $1003417.86   | 0.10%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2535 FR 03/55 FIXED 5.5             | CUSIP: 31427PY99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9875038 | PA      | $10066816.90  | 1.05%             | 2055-03-01      | Fixed         | 5.50%                 | 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        |  18028979 | PA      | $18497076.68  | 1.92%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H24 FA          | CUSIP: 38384LJ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7267340 | PA      | $7263997.02   | 0.76%             | 2073-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM2620 G2 06/47 FIXED 3                    | CUSIP: 3617YM4D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130971 | PA      | $118616.59    | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9OPA2 PIMCO FPPSWAPTION 4.4 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6000000 | NC      | $258975.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 413                                            | FREDDIEMAC STRIP FHS 413 F25                            | CUSIP: 3133Q3LH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    704108 | PA      | $706640.62    | 0.07%             | 2054-05-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU2890 FN 08/28 FIXED 2.5                     | CUSIP: 3138X2F82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30782 | PA      | $30283.68     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3250 FN 03/30 FIXED 5.16                    | CUSIP: 3140NXTG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10377000 | PA      | $10742621.97  | 1.12%             | 2030-03-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 DF                                 | CUSIP: 3137HJG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    863117 | PA      | $868119.09    | 0.09%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TRUST 2006-AR5                            | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2       | CUSIP: 39538AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107108 | PA      | $100256.19    | 0.01%             | 2046-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                           | FREDDIE MAC FHR 4068 UF                                 | CUSIP: 3137ARPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137439 | PA      | $136940.86    | 0.01%             | 2042-06-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ2854 FR 11/54 FIXED 5               | CUSIP: 3142GTE44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3908593 | PA      | $3938018.42   | 0.41%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7090 FN 10/37 FLOATING VAR                  | CUSIP: 3138EP2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    182772 | PA      | $191289.29    | 0.02%             | 2037-10-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775852 FN 03/44 FLOATING VAR                  | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54572 | PA      | $55242.35     | 0.01%             | 2044-03-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD5455 FR 04/54 FIXED 6.5             | CUSIP: 3132DTBY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    181298 | PA      | $190963.60    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-81                                         | FANNIE MAE FNR 2015 81 MZ                               | CUSIP: 3136AQPQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    337677 | PA      | $258550.92    | 0.03%             | 2045-11-25      | Fixed         | 4.00%                 | 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        |     15616 | PA      | $16123.74     | 0.00%             | 2037-03-01      | 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        |         8 | PA      | $8.33         | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5742 FN 06/45 FIXED 6                       | CUSIP: 31418FLY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119058 | PA      | $122576.59    | 0.01%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 406                                     | FANNIEMAE STRIP FNS 406 22                              | CUSIP: 3136FG3C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    343282 | PA      | $71802.29     | 0.01%             | 2040-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6161 FR 07/55 FIXED 6.5             | CUSIP: 3133N3Z23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2382809 | PA      | $2437773.36   | 0.25%             | 2055-07-01      | Fixed         | 6.50%                 | 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        |    323905 | PA      | $311547.20    | 0.03%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC          | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    595143 | PA      | $595183.34    | 0.06%             | 2074-02-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H09 FA          | CUSIP: 38382YQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    975250 | PA      | $972745.20    | 0.10%             | 2072-04-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-81                                         | FANNIE MAE FNR 2015 81 NZ                               | CUSIP: 3136AQPM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101708 | PA      | $80569.16     | 0.01%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA1                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A        | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94702 | PA      | $78915.26     | 0.01%             | 2046-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/26 0.00000                             | CUSIP: 912797SQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     61000 | PA      | $60766.57     | 0.01%             | 2026-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H01                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H01 FA          | CUSIP: 38375U3L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1041739 | PA      | $1044949.69   | 0.11%             | 2068-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A63533 FG 07/37 FIXED 5.5             | CUSIP: 3128KT4S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1362 | PA      | $1410.70      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4260 FN 07/30 FIXED 4.19                    | CUSIP: 3140NYWW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1920000 | PA      | $1925669.89   | 0.20%             | 2030-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB7379 FN 07/54 FIXED 5.5                     | CUSIP: 3140AHFV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7395569 | PA      | $7515912.28   | 0.78%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-382                                               | FANNIEMAE STRIP FNS 382 12                              | CUSIP: 3136FFMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195852 | PA      | $35890.73     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780509 GN 02/27 FIXED 6.5                     | CUSIP: 36225AR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $1.96         | 0.00%             | 2027-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR          | CUSIP: 31300LYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125967 | PA      | $131209.68    | 0.01%             | 2039-10-01      | Floating      | 6.58%                 | 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        |      3527 | PA      | $3621.16      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2428.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2095 FN 07/48 FIXED 4.5                     | CUSIP: 3140Q9KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1285839 | PA      | $1278162.95   | 0.13%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1857 FR 03/49 FIXED 4.5             | CUSIP: 3132AEB21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    458811 | PA      | $456254.03    | 0.05%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE9499 FN 09/55 FIXED 6                       | CUSIP: 3140BNRV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1351269 | PA      | $1397811.71   | 0.15%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786108 G2 03/52 FIXED 3.5                  | CUSIP: 3622ABU91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250976 | PA      | $224944.68    | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $19672.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2600000 | NC      | $118564.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5135000 | PA      | $4755491.41   | 0.49%             | 2040-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 406                                     | FANNIEMAE STRIP FNS 406 18                              | CUSIP: 3136FG2Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1089221 | PA      | $214258.81    | 0.02%             | 2040-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF          | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    401511 | PA      | $407178.86    | 0.04%             | 2072-12-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0517 FN 02/55 FIXED VAR                     | CUSIP: 3140W0SF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9136993 | PA      | $9301858.28   | 0.97%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06931 FG 08/39 FIXED 6               | CUSIP: 3128M9A85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35773 | PA      | $37888.92     | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7445 FN 11/53 FIXED 6.5                     | CUSIP: 3140QTHX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    608894 | PA      | $640319.02    | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |    180081 | PA      | $167869.20    | 0.02%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668910 FN 10/32 FLOATING VAR                  | CUSIP: 31391KDP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68718 | PA      | $69330.26     | 0.01%             | 2032-10-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02168 FG 04/36 FIXED 6               | CUSIP: 3128LXMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5718 | PA      | $6055.39      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A65448 FG 09/37 FIXED 6               | CUSIP: 3128KWBR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       671 | PA      | $708.75       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | 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        |     13765 | PA      | $13170.02     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RYU5 PIMCO CDSOPT CALL USD 95.25000000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5100000 | NC      | $-3238.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT5929 FN 06/33 FIXED 4                       | CUSIP: 3138WTST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10605 | PA      | $10517.38     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | 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        |    448299 | PA      | $403300.36    | 0.04%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ          | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1428322 | PA      | $1442583.27   | 0.15%             | 2073-12-20      | Floating      | 4.92%                 | 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        |        85 | PA      | $86.35        | 0.00%             | 2030-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q55189 FG 04/48 FIXED 4               | CUSIP: 3132XXXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9476 | PA      | $9173.58      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 WO                                 | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    630101 | PA      | $408490.47    | 0.04%             | 2056-08-15      | None          | 0.00%                 | 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        |     24991 | PA      | $23903.79     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | 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        |     21875 | PA      | $1274.73      | 0.00%             | 2041-10-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1193 FN 03/55 FIXED VAR                     | CUSIP: 3140W1KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1161662 | PA      | $1214425.11   | 0.13%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S972 PIMCO CDSOPT PUT USD 93.75000000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -6000000 | NC      | $-11224.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052425<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -45000000 | PA      | $-46129031.55 | -4.80%            | 2041-02-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18641 FG 04/32 FIXED 3               | CUSIP: 3128MMWB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    202232 | PA      | $197896.11    | 0.02%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-59                                         | FANNIE MAE FNR 2024 59 FC                               | CUSIP: 3136BSE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6008113 | PA      | $6040861.26   | 0.63%             | 2054-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH0299 FN 04/47 FIXED 4                       | CUSIP: 3140GNKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119909 | PA      | $116150.10    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UB7IA4 PIMCO SWAPTION 4.18 PUT USD 20260205          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1900000 | NC      | $-585.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1L0097 FH 06/35 FLOATING VAR          | CUSIP: 3128Q2DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6581 | PA      | $6904.00      | 0.00%             | 2035-06-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A                  | LA HIPOTECARIA SA LHIPO 2014 1A A1 144A                 | CUSIP: 50346EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    390780 | PA      | $376485.94    | 0.04%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  3 | 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        |     23180 | PA      | $22739.44     | 0.00%             | 2032-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB9690 G2 09/47 FIXED 3.5                  | CUSIP: 3617B1XT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86378 | PA      | $79664.28     | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931155 FN 05/39 FIXED 4                       | CUSIP: 31412PQG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    235710 | PA      | $232743.57    | 0.02%             | 2039-05-01      | Fixed         | 4.00%                 | 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        |     45885 | PA      | $45447.77     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5             | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7878465 | PA      | $8189548.22   | 0.85%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0032 FN 12/54 FIXED VAR                     | CUSIP: 3140W0BA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1135128 | PA      | $1144347.13   | 0.12%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS2616 G2 01/50 FIXED 3.5                  | CUSIP: 3617MC3Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    589155 | PA      | $526988.50    | 0.05%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735942 FN 07/35 FLOATING VAR                  | CUSIP: 31402RS75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2685 | PA      | $2763.89      | 0.00%             | 2035-07-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 879522 FN 03/36 FIXED 6                       | CUSIP: 31409VD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31200 | PA      | $33014.88     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8227 FN 06/33 FIXED 4.59                    | CUSIP: 3140LKD91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $338769.59    | 0.04%             | 2033-06-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4522 FN 10/26 FIXED 3                       | CUSIP: 3138AWAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2656 | PA      | $2639.69      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686777 GN 06/38 FIXED 6.5                     | CUSIP: 36296B6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12399 | PA      | $13042.67     | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | 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        |     50264 | PA      | $2204.24      | 0.00%             | 2045-11-20      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 425968 GN 03/26 FIXED 6.5                     | CUSIP: 36207AFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $4.08         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | 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        |       208 | PA      | $215.90       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | 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        |    267842 | PA      | $250163.97    | 0.03%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ1638 GN 02/47 FIXED 4                       | CUSIP: 36197DZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91259 | PA      | $87427.21     | 0.01%             | 2047-02-15      | Fixed         | 4.00%                 | 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        |     24399 | PA      | $23525.65     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK6957 FN 03/37 FIXED 4                       | CUSIP: 3138EBWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170458 | PA      | $168991.31    | 0.02%             | 2037-03-01      | Fixed         | 4.00%                 | 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        |     21729 | PA      | $21556.41     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32787 | PA      | $32582.55     | 0.00%             | 2037-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1296 FN 02/26 FIXED 3.575                   | CUSIP: 3140HSNN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $498586.25    | 0.05%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810896 FN 01/35 FLOATING VAR                  | CUSIP: 31406H3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17093 | PA      | $17799.54     | 0.00%             | 2035-01-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8309 FR 06/39 FIXED 5.5             | CUSIP: 3132D6GS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11762038 | PA      | $12068457.80  | 1.25%             | 2039-06-01      | 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        |     51042 | PA      | $50440.75     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK0935 FN 07/33 FIXED 4                       | CUSIP: 3140HEBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    208037 | PA      | $208459.98    | 0.02%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $5266998.67   | 0.55%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-128                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 128 FK          | CUSIP: 38384CMF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    381695 | PA      | $382923.27    | 0.04%             | 2053-08-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03268 FG 09/37 FIXED 6               | CUSIP: 3128M46D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28398 | PA      | $30077.31     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A90393 FG 12/39 FIXED 5               | CUSIP: 312938NJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14096 | PA      | $14454.35     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-54                                                | FANNIE MAE FNR 2020 54 WF                               | CUSIP: 3136BBGN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88944 | PA      | $85442.11     | 0.01%             | 2050-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847995 FN 11/35 FLOATING VAR                  | CUSIP: 31408DC85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2581 | PA      | $2649.63      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5472                                           | FREDDIE MAC FHR 5472 FA                                 | CUSIP: 3137HHEK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    537668 | PA      | $538874.74    | 0.06%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ0893 FR 07/54 FIXED 5               | CUSIP: 3133CQ7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3199716 | PA      | $3225702.70   | 0.34%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                  | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1               | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10961 | PA      | $10841.67     | 0.00%             | 2031-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO3621 FR 05/40 FIXED 5.5             | CUSIP: 3133WNAW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199315 | PA      | $205664.77    | 0.02%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 TA          | CUSIP: 38375B8J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23939 | PA      | $24002.52     | 0.00%             | 2063-09-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2566 | PA      | $2419.24      | 0.00%             | 2032-11-25      | Floating      | 4.45%                 | 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        |     78768 | PA      | $4490.07      | 0.00%             | 2045-03-25      | Floating      | 1.77%                 | 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        |    172903 | PA      | $38016.41     | 0.00%             | 2046-08-25      | Floating      | 4.37%                 | 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        |     37303 | PA      | $37012.97     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A         | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $402308.82    | 0.04%             | 2037-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9449 FN 11/54 FIXED 4.5                     | CUSIP: 3140QVQB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2020817 | PA      | $1998904.67   | 0.21%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-37                                         | FANNIE MAE FNR 2018 37 BC                               | CUSIP: 3136B17E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12157 | PA      | $11577.51     | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292934 | PA      | $283279.17    | 0.03%             | 2059-11-25      | Variable      | 2.75%                 | 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        |     55510 | PA      | $52647.12     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $82143.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CC0257 FN 04/55 FIXED 6                       | CUSIP: 3140Y6JB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    961636 | PA      | $1005021.60   | 0.10%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR6                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4         | CUSIP: 39538BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338730 | PA      | $270877.23    | 0.03%             | 2046-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0310 G2 04/55 FIXED 6.5                  | CUSIP: 3618N5KY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85356 | PA      | $88339.23     | 0.01%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -30100000 | PA      | $-30022398.59 | -3.12%            | 2055-01-15      | Fixed         | 5.00%                 | 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        |    291734 | PA      | $281464.94    | 0.03%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3060 FN 07/32 FIXED 3                       | CUSIP: 31418CMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    111384 | PA      | $108921.98    | 0.01%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4766 FN 09/42 FIXED 4.5                     | CUSIP: 31418EJL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48861 | PA      | $48951.32     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03709 FG 07/41 FIXED 5               | CUSIP: 31292LDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3512 | PA      | $3617.90      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN1152 FN 11/48 FIXED 4.5                     | CUSIP: 3140JHH63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50607 | PA      | $49992.02     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5493                                           | FREDDIE MAC FHR 5493 FK                                 | CUSIP: 3137HHWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1629218 | PA      | $1635228.68   | 0.17%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD6477 FR 09/54 FIXED 5.5             | CUSIP: 3132DUFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28217456 | PA      | $28876421.08  | 3.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886394 FN 08/36 FIXED 6                       | CUSIP: 31410DXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9647 | PA      | $10149.01     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ1178 FN 06/31 FIXED 5.81                    | CUSIP: 3140NVJY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1767557.44   | 0.18%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809593 FN 02/35 FLOATING VAR                  | CUSIP: 31406GNJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3808 | PA      | $3910.71      | 0.00%             | 2035-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $1074.20      | 0.00%             |  |  |  | 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        |     81282 | PA      | $76883.80     | 0.01%             | 2038-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 729511 GN 04/40 FIXED 4.5                     | CUSIP: 3620AGN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1176 | PA      | $1178.50      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A           | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59074 | PA      | $58015.60     | 0.01%             | 2047-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5571                                           | FREDDIE MAC FHR 5571 FB                                 | CUSIP: 3137HMEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11467834 | PA      | $11521847.22  | 1.20%             | 2055-08-25      | Floating      | 5.07%                 | 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        |     19247 | PA      | $18442.32     | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A91699 FG 04/40 FIXED 5               | CUSIP: 3129393G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4772 | PA      | $4915.70      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABBA3 PIMCO SWAPTION 3.9055 PUT USD 202603          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  17600000 | NC      | $96055.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2 JUMBOS                              | CUSIP: 21H020626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $828238.21    | 0.09%             | 2056-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A      | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98716 | PA      | $95892.79     | 0.01%             | 2046-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 894118 FN 10/36 FIXED 6.5                     | CUSIP: 31410QK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1167 | PA      | $1211.75      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ9268 FR 11/54 FIXED 5.5             | CUSIP: 3133D1JM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3657761 | PA      | $3761386.73   | 0.39%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701905 GN 05/39 FIXED 5.5                     | CUSIP: 36296UYA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1477 | PA      | $1533.35      | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                                           | FREDDIE MAC FHR 3962 KS                                 | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22105 | PA      | $1337.28      | 0.00%             | 2038-06-15      | Floating      | 1.86%                 | 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        |    200000 | PA      | $200303.32    | 0.02%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5694 FN 03/55 FIXED 6.5                     | CUSIP: 31418FKG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424052 | PA      | $433833.36    | 0.05%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9921 FN 03/48 FIXED 4                       | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11923 | PA      | $11498.45     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M7A6 PIMCO FPPSWAPTION 4.44 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2200000 | NC      | $132976.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3816 FN 05/35 FIXED 5.18                    | CUSIP: 3140NYG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1982639 | PA      | $2066138.68   | 0.21%             | 2035-05-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $4202132.80   | 0.44%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2301 FN 05/45 FIXED VAR                     | CUSIP: 3140W2RX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    651110 | PA      | $677949.93    | 0.07%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3794 FN 05/35 FIXED 5.23                    | CUSIP: 3140NYGC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1093355 | PA      | $1140952.29   | 0.12%             | 2035-05-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3504 FN 05/33 FIXED 5.23                    | CUSIP: 3140NX3N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1716000 | PA      | $1789958.12   | 0.19%             | 2033-05-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC9705 FN 01/55 FIXED 6                       | CUSIP: 3140AXYB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6937749 | PA      | $7134244.39   | 0.74%             | 2055-01-01      | Fixed         | 6.00%                 | 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        |    244609 | PA      | $218558.39    | 0.02%             | 2045-12-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7408 FR 01/55 FIXED 5.5             | CUSIP: 3132DVGR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4603804 | PA      | $4745268.51   | 0.49%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93101 FG 07/40 FIXED 5               | CUSIP: 312941NS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6113 | PA      | $6296.95      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-103                                        | FANNIE MAE FNR 2024 103 FM                              | CUSIP: 3136BUQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    796023 | PA      | $803975.63    | 0.08%             | 2055-01-25      | Floating      | 5.37%                 | 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        |     36721 | PA      | $33427.65     | 0.00%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 783096 FH 04/35 FLOATING VAR          | CUSIP: 31349UNM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3983 | PA      | $4116.95      | 0.00%             | 2035-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM17 TRUST                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM17 A1 144A         | CUSIP: 673911AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3008111 | PA      | $3037750.68   | 0.32%             | 2064-11-25      | Fixed         | 5.61%                 | 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        |      8473 | PA      | $424.30       | 0.00%             | 2037-10-15      | Floating      | 1.56%                 | 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        |    619457 | PA      | $572759.77    | 0.06%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO2671 FN 07/42 FIXED 4                       | CUSIP: 3138LS6H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6272 | PA      | $6137.51      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | 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        |      9483 | PA      | $515.90       | 0.00%             | 2037-03-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S6B6 PIMCO CDSOPT CALL USD 95.67187500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-23523.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6392 FN 11/26 FIXED 3                       | CUSIP: 3138AYC64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $574.23       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2018 FN 10/29 FIXED 3.8                     | CUSIP: 3140NWG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    735000 | PA      | $731069.38    | 0.08%             | 2029-10-01      | Fixed         | 3.80%                 | 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        |     16923 | PA      | $16141.12     | 0.00%             | 2035-05-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9V6A7 PIMCO FPPSWAPTION 4.64 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6000000 | NC      | $301786.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RR0039 FR 11/40 FIXED 5.5             | CUSIP: 3142JCBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2134322 | PA      | $2189282.86   | 0.23%             | 2040-11-01      | 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        |    113963 | PA      | $115423.68    | 0.01%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79966 FG 08/38 FIXED 5.5             | CUSIP: 3128LECB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       917 | PA      | $942.57       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                           | FREDDIE MAC FHR 4020 ZE                                 | CUSIP: 3137AMMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    487492 | PA      | $436203.01    | 0.05%             | 2042-03-15      | Fixed         | 4.00%                 | 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        |      6759 | PA      | $6276.83      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75496 | PA      | $65433.82     | 0.01%             | 2047-01-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FP0132 FN 02/55 FIXED VAR                     | CUSIP: 3140XTEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7023026 | PA      | $7304455.56   | 0.76%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4737 FN 08/30 FIXED 5.04                    | CUSIP: 3140Q0HP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2087000 | PA      | $2163932.54   | 0.22%             | 2030-08-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QU8224 FR 09/54 FIXED 6.5             | CUSIP: 3133JMD53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    413137 | PA      | $419168.43    | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WELLS FARGO 00/00 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -79546522 | PA      | $-79739510.71 | -8.29%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5631 FN 02/55 FIXED 6.5                     | CUSIP: 31418FHH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7120536 | PA      | $7401569.21   | 0.77%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6164 FR 09/55 FIXED 6.5             | CUSIP: 3133N3Z56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1391388 | PA      | $1425586.22   | 0.15%             | 2055-09-01      | Fixed         | 6.50%                 | 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        |    595603 | PA      | $607634.60    | 0.06%             | 2070-10-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0244 G2 07/47 FIXED 3.5                  | CUSIP: 3617AQHV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10656 | PA      | $9840.89      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 688769 FN 03/33 FIXED 6                       | CUSIP: 31400JFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $69.39        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784601 G2 03/48 FIXED 3.5                  | CUSIP: 3622AAAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    469766 | PA      | $432825.14    | 0.04%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | 3138FJ9X7 FN DUS POOL PROMENADE AT NEWNA                | CUSIP: 958MJRII7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8330000 | PA      | $8488725.73   | 0.88%             | 2030-11-01      | Fixed         | 4.68%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813844 FN 01/35 FLOATING VAR                  | CUSIP: 31406MER3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4558 | PA      | $4746.18      | 0.00%             | 2035-01-01      | Floating      | 6.05%                 | 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        |    138876 | PA      | $139336.70    | 0.01%             | 2046-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFAA5 PIMCO SWAPTION 3.635 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   5800000 | NC      | $94863.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                    | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1                 | CUSIP: 12669GUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202318 | PA      | $142875.98    | 0.01%             | 2035-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3227319 | PA      | $3141745.75   | 0.33%             | 2054-07-25      | Floating      | 2.90%                 | 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        |     31372 | PA      | $2011.64      | 0.00%             | 2044-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4384 FN 03/53 FIXED VAR                     | CUSIP: 3140XK2S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1446526 | PA      | $1461474.01   | 0.15%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4049 FN 12/41 FIXED 4                       | CUSIP: 31417AQB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136448 | PA      | $133549.76    | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04170 FG 04/38 FIXED 6               | CUSIP: 3128M56F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1124 | PA      | $1180.70      | 0.00%             | 2038-04-01      | 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        |     32830 | PA      | $31562.38     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3031                                                  | FREDDIE MAC FHR 3031 BZ                                 | CUSIP: 31396AAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136711 | PA      | $135194.26    | 0.01%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FS          | CUSIP: 38375BU83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    252027 | PA      | $254390.56    | 0.03%             | 2063-04-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 783104 FH 04/35 FLOATING VAR          | CUSIP: 31349UNV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7717 | PA      | $8074.34      | 0.00%             | 2035-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2950 FN 12/46 FIXED 2.5                     | CUSIP: 31418CH49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62176 | PA      | $54392.52     | 0.01%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-33                                                | FANNIE MAE FNR 2007 33 MF                               | CUSIP: 31396VGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    178609 | PA      | $174675.81    | 0.02%             | 2037-04-25      | Floating      | 4.65%                 | 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        |     10052 | PA      | $9631.54      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7610 FN 07/46 FIXED 2.5                     | CUSIP: 3138WHN40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    139026 | PA      | $120010.45    | 0.01%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93SA5 PIMCO FPPSWAPTION 4.31 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $61011.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9656 FN 12/54 FIXED 5.5                     | CUSIP: 3140QVWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1933766 | PA      | $1993762.41   | 0.21%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMS ECUADORIAN MORTGAGE 2021-1 TRUST                              | IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504880 | PA      | $496221.60    | 0.05%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810061 FN 03/35 FLOATING VAR                  | CUSIP: 31406G5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2140 | PA      | $2186.77      | 0.00%             | 2035-03-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-26                                         | FANNIE MAE FNR 2024 26 FD                               | CUSIP: 3136BRWH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8443527 | PA      | $8485852.89   | 0.88%             | 2054-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2011-H08                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H08 FG          | CUSIP: 38375BLC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3921 | PA      | $3922.16      | 0.00%             | 2061-03-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5422 GN 01/50 FIXED 4.07                    | CUSIP: 36183BAX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1089500 | PA      | $973425.27    | 0.10%             | 2050-01-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  44800000 | PA      | $36216071.81  | 3.77%             | 2056-02-12      | Fixed         | 2.00%                 | 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        |    315732 | PA      | $276311.57    | 0.03%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3873 FN 05/35 FIXED 4.7                     | CUSIP: 3140NYJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198668 | PA      | $200649.19    | 0.02%             | 2035-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                         | FANNIE MAE FNR 2025 18 FH                               | CUSIP: 3136BVAP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4553407 | PA      | $4592412.66   | 0.48%             | 2054-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 891584 FN 07/36 FIXED 6.5                     | CUSIP: 31410MRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9213 | PA      | $9763.05      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27900000 | PA      | $28633708.06  | 2.98%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08341 FG 04/39 FIXED 5               | CUSIP: 3128MJLX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27542 | PA      | $28369.65     | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 748058 GN 04/41 FIXED 5                       | CUSIP: 3620C4B33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5253 | PA      | $5295.36      | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2633 FN 11/48 FIXED 4.5                     | CUSIP: 3140Q94T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    612444 | PA      | $608436.28    | 0.06%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S4M4 PIMCO CDSOPT CALL USD 96.67968750 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-21.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1858 FR 04/49 FIXED 4.5             | CUSIP: 3132AEB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    371636 | PA      | $369164.58    | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802714 FN 09/34 FLOATING VAR                  | CUSIP: 31405XYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18358 | PA      | $18779.25     | 0.00%             | 2034-09-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9790 FN 01/55 FIXED 5.5                     | CUSIP: 3140QV2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2170249 | PA      | $2242683.68   | 0.23%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H18                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H18 FL          | CUSIP: 38384LTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9888462 | PA      | $9987786.61   | 1.04%             | 2075-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5764 G2 02/49 FIXED 4.5                  | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101265 | PA      | $100364.42    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | 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        |     73407 | PA      | $49199.17     | 0.01%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1069496.36   | 0.11%             | 2040-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                             | CANYON CAPITAL CLO LTD CANYC 2021 4A AR 144A            | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1400473.02   | 0.15%             | 2034-10-15      | Floating      | 5.00%                 | 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        |     25608 | PA      | $25043.92     | 0.00%             | 2044-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5570 FN 11/32 FIXED 4.51                    | CUSIP: 3140Q1FL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7725000 | PA      | $7783543.76   | 0.81%             | 2032-11-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                         | FANNIE MAE FNR 2015 64 KS                               | CUSIP: 3136AP3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21042 | PA      | $856.56       | 0.00%             | 2045-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799812 FN 11/34 FLOATING VAR                  | CUSIP: 31405UR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2010 | PA      | $2055.93      | 0.00%             | 2034-11-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FL          | CUSIP: 38382YM75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    474735 | PA      | $478912.59    | 0.05%             | 2073-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                 | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1201343.59   | 0.12%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8743 FN 06/30 FIXED 4.68                    | CUSIP: 3140LKWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1479733 | PA      | $1506647.33   | 0.16%             | 2030-06-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4478 FN 07/30 FIXED 5.28                    | CUSIP: 3140NY6Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    937000 | PA      | $975700.64    | 0.10%             | 2030-07-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H060622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8100000 | PA      | $8249660.14   | 0.86%             | 2056-02-19      | Fixed         | 6.00%                 | 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        |       257 | PA      | $247.41       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RD5261 FR 09/35 FIXED 5.5             | CUSIP: 3133LPZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58191 | PA      | $59871.40     | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1Q0184 FH 11/36 FLOATING VAR          | CUSIP: 3128S4FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54750 | PA      | $57326.56     | 0.01%             | 2036-11-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17743 FG 01/27 FIXED 3               | CUSIP: 3128PXS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10491 | PA      | $10431.85     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90075 FG 07/42 FIXED 4               | CUSIP: 3132H3CL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    297117 | PA      | $288716.01    | 0.03%             | 2042-07-01      | Fixed         | 4.00%                 | 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        |    245141 | PA      | $242057.27    | 0.03%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1039514.01   | 0.11%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704587 GN 06/39 FIXED 5                       | CUSIP: 36296XXQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8230 | PA      | $8470.41      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EEA6 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $93355.84     | 0.01%             |  |  |  | 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        |     35394 | PA      | $2032.05      | 0.00%             | 2055-08-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710838 GN 09/39 FIXED 4.5                     | CUSIP: 36297FV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2397 | PA      | $2390.03      | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S485 PIMCO CDSOPT CALL USD 96.45703125 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-56.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08789 FG 11/47 FIXED 4               | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46728 | PA      | $45368.82     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | 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        |     23430 | PA      | $1714.30      | 0.00%             | 2044-08-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $16523125.12  | 1.72%             | 2055-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5550 FN 12/32 FIXED 4.3                     | CUSIP: 3140Q1EY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $16955534.12  | 1.76%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                      | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                 | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2300474.42   | 0.24%             | 2034-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG2194 FR 04/53 FIXED 6               | CUSIP: 3133C2NK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59430 | PA      | $62550.18     | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | 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        |     18688 | PA      | $18698.23     | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN8898 FN 05/34 FIXED 3.5                     | CUSIP: 3140JR3G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    286875 | PA      | $283505.68    | 0.03%             | 2034-05-01      | Fixed         | 3.50%                 | 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        |     71338 | PA      | $75488.77     | 0.01%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                  | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16098 | PA      | $15995.47     | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6924 FN 01/45 FIXED VAR                     | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250710 | PA      | $242416.48    | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1102 GN 07/47 FIXED 4                       | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38679 | PA      | $37073.76     | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03551 FG 11/37 FIXED 6               | CUSIP: 3128M5H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       695 | PA      | $736.36       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S964 PIMCO CDSOPT PUT USD 93.78125000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -6000000 | NC      | $-11617.20    | -0.00%            |  |  |  | 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        |      9719 | PA      | $9869.98      | 0.00%             | 2035-11-01      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -15000000 | PA      | $-15403255.80 | -1.60%            | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1296 FN 08/51 FIXED VAR                     | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1708852 | PA      | $1672011.57   | 0.17%             | 2051-08-01      | Fixed         | 4.00%                 | 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        |    146388 | PA      | $136638.84    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U99027 FG 11/42 FIXED 4               | CUSIP: 3132H7A53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109949 | PA      | $107387.31    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5             | CUSIP: 3128M9KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35052 | PA      | $35399.88     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD3902 G2 01/48 FIXED 3.5                  | CUSIP: 3617BKKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11970 | PA      | $11054.57     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737648 GN 11/40 FIXED 4.5                     | CUSIP: 3620ARP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1837 | PA      | $1822.24      | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA5434 FR 05/48 FIXED 3.5             | CUSIP: 31329PBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    262167 | PA      | $246129.90    | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-100                                        | FANNIE MAE FNR 2024 100 FD                              | CUSIP: 3136BUGR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    815201 | PA      | $822592.12    | 0.09%             | 2054-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9626 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVVU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    213604 | PA      | $211358.99    | 0.02%             | 2054-12-01      | 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        |     41364 | PA      | $39935.72     | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473935 | PA      | $126472.35    | 0.01%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ5541 FR 09/54 FIXED 6.5             | CUSIP: 3133CWEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1515542 | PA      | $1592270.11   | 0.17%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C      | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234679 | PA      | $179127.70    | 0.02%             | 2046-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4718 G2 09/47 FIXED 3                    | CUSIP: 36179TG33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20485 | PA      | $18643.04     | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2800000 | NC      | $122966.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4091                                           | FREDDIE MAC FHR 4091 VS                                 | CUSIP: 3137ATGL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110628 | PA      | $88164.76     | 0.01%             | 2040-11-15      | Floating      | 0.43%                 | 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        |     77628 | PA      | $81086.75     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745060 FN 10/35 FLOATING VAR                  | CUSIP: 31403CWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       989 | PA      | $1010.63      | 0.00%             | 2035-10-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S3O1 PIMCO CDSOPT PUT USD 98.90625000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2000000 | NC      | $44.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                  | FREDDIE MAC FHR 2248 FB                                 | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       829 | PA      | $828.68       | 0.00%             | 2030-09-15      | Floating      | 4.60%                 | 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        |      9634 | PA      | $2152.01      | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                     | GSAA HOME EQUITY TRUST GSAA 2007 4 A3A                  | CUSIP: 3622EBAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165794 | PA      | $65964.75     | 0.01%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1988 FN 07/48 FIXED 4.5                     | CUSIP: 3140Q9F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134605 | PA      | $133764.79    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677202 GN 08/38 FIXED 6.5                     | CUSIP: 36295QKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1767 | PA      | $1875.61      | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                  | FREDDIE MAC FHR 2395 FT                                 | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15703 | PA      | $15683.93     | 0.00%             | 2031-12-15      | Floating      | 4.55%                 | 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        |     49438 | PA      | $47386.31     | 0.00%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 956913 FN 11/37 FIXED 6.5                     | CUSIP: 31413VSA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21482 | PA      | $22651.02     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5482                                           | FREDDIE MAC FHR 5482 FC                                 | CUSIP: 3137HHLW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    513659 | PA      | $516916.06    | 0.05%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 785747 GN 07/49 FIXED 4.5                     | CUSIP: 3622ABHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1252380 | PA      | $1237501.42   | 0.13%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ1565 FN 10/41 FIXED 4                       | CUSIP: 3138ASW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    582627 | PA      | $569281.72    | 0.06%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944777 FN 09/37 FIXED 6.5                     | CUSIP: 31413GCN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15845 | PA      | $16671.80     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08525 FG 05/43 FIXED 3               | CUSIP: 3128MJSP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77838 | PA      | $72056.70     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0874 FR 03/55 FIXED 6               | CUSIP: 31427M6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    503556 | PA      | $526910.19    | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784369 GN 08/45 FIXED 4                       | CUSIP: 3622A22A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1306422 | PA      | $1260093.90   | 0.13%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256771 FN 06/37 FIXED 6.5                     | CUSIP: 31371NFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27719 | PA      | $29501.75     | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $83508.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H20 FA          | CUSIP: 38380QSX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104503 | PA      | $103430.15    | 0.01%             | 2070-04-20      | Floating      | 4.46%                 | 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        |     75969 | PA      | $70114.64     | 0.01%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z1A3 PIMCO FPPSWAPTION 4.46 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   4200000 | NC      | $251653.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 827783 FN 05/35 FLOATING VAR                  | CUSIP: 31407DUG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19278 | PA      | $20018.01     | 0.00%             | 2035-05-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX4147 FN 12/52 FIXED 6                       | CUSIP: 3140N8TD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94944 | PA      | $99930.18     | 0.01%             | 2052-12-01      | 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        |       350 | PA      | $335.33       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FE          | CUSIP: 38380QFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1692540 | PA      | $1714598.38   | 0.18%             | 2070-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RR0026 FR 09/40 FIXED 5.5             | CUSIP: 3142JCA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1903515 | PA      | $1952522.71   | 0.20%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A36345 FG 08/35 FIXED 5               | CUSIP: 31297SBN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10297 | PA      | $10571.83     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -60750000 | PA      | $-57593061.25 | -5.99%            | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3793 FN 05/35 FIXED 5.2                     | CUSIP: 3140NYGB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2450000 | PA      | $2560729.32   | 0.27%             | 2035-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4280 FN 01/27 FIXED 3                       | CUSIP: 31417AXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15885 | PA      | $15784.87     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO3793 FR 06/40 FIXED 5.5             | CUSIP: 3133WNGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4997314 | PA      | $5130802.36   | 0.53%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03392 FG 10/37 FIXED 6               | CUSIP: 3128M5C57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       259 | PA      | $274.81       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | 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        |     90972 | PA      | $9665.80      | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B7A0 PIMCO FPPSWAPTION 4.43 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $91074.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18663 FG 10/32 FIXED 3               | CUSIP: 3128MMWZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77703 | PA      | $76029.54     | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2937 FN 04/43 FIXED VAR                     | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1419159 | PA      | $1388716.55   | 0.14%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8627 FN 07/54 FIXED VAR                     | CUSIP: 3140XQSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    731292 | PA      | $769571.43    | 0.08%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0383 FN 04/59 FIXED 4.5                     | CUSIP: 3140FXM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    560816 | PA      | $548307.56    | 0.06%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW6683 FN 06/44 FIXED 4                       | CUSIP: 3138XWM96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67935 | PA      | $65930.94     | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9793 FN 01/55 FIXED 5.5                     | CUSIP: 3140QV3B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19160 | PA      | $19686.66     | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H20 BF          | CUSIP: 38375UP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    775310 | PA      | $779738.96    | 0.08%             | 2067-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB2761 GN 08/42 FIXED 3.5                     | CUSIP: 36178NB65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7546 | PA      | $7046.73      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97AA5 PIMCO FPPSWAPTION 4.265 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $55220.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B7241 FH 08/36 FLOATING VAR          | CUSIP: 3128QPNH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3527 | PA      | $3655.17      | 0.00%             | 2036-08-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS9993 FN 03/54 FIXED VAR                     | CUSIP: 3140XSC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    662808 | PA      | $696987.32    | 0.07%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2015-159                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE          | CUSIP: 38379FWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84877 | PA      | $76942.62     | 0.01%             | 2045-08-20      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97WA1 PIMCO FPPSWAPTION 4.3075 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2900000 | NC      | $117755.66    | 0.01%             |  |  |  | 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        |     41348 | PA      | $40868.52     | 0.00%             | 2037-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UB92A7 PIMCO SWAPTION 3.194 CALL USD 202603          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  20800000 | NC      | $19930.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4534                                           | FREDDIE MAC FHR 4534 PZ                                 | CUSIP: 3137BMGC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185682 | PA      | $128179.18    | 0.01%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800335 FN 12/34 FLOATING VAR                  | CUSIP: 31405VEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       392 | PA      | $397.99       | 0.00%             | 2034-12-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781288 GN 05/31 FIXED 6.5                     | CUSIP: 36225BND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159 | PA      | $166.52       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0873 FR 04/55 FIXED 6               | CUSIP: 31427M6K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275454 | PA      | $288049.80    | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5538                                           | FREDDIE MAC FHR 5538 AF                                 | CUSIP: 3137HKXR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2731788 | PA      | $2749944.11   | 0.29%             | 2055-03-25      | Floating      | 5.17%                 | 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        |     38696 | PA      | $37884.57     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0583 G2 07/47 FIXED 3.5                  | CUSIP: 3617AQUG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9539 | PA      | $8806.27      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QZ2653 FR 09/55 FIXED 6               | CUSIP: 31426Y5P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2626721 | PA      | $2715878.38   | 0.28%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90111 FG 09/42 FIXED 4               | CUSIP: 3132H3DQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    378913 | PA      | $370083.53    | 0.04%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | 3138FJ9E9 FN DUSPOOL KING WESTONE2ND                    | CUSIP: 958QQQII2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1521540.62   | 0.16%             | 2030-11-01      | Fixed         | 4.59%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17848 FG 01/27 FIXED 3               | CUSIP: 3128PXWH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4583 | PA      | $4553.50      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -90000000 | PA      | $-91181089.80 | -9.48%            | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H20 FB          | CUSIP: 38375B6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33904 | PA      | $34247.50     | 0.00%             | 2063-08-20      | Floating      | 5.11%                 | 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        |   1535347 | PA      | $1539092.39   | 0.16%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820356 FN 02/35 FLOATING VAR                  | CUSIP: 31406UMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9337 | PA      | $9609.45      | 0.00%             | 2035-02-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03911 FG 02/38 FIXED 6               | CUSIP: 3128M5VC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70660 | PA      | $74632.08     | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                  | ARES CLO LTD ARES 2022 65A A1R 144A                     | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1699753.86   | 0.18%             | 2034-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA49A2 PIMCO FPPSWAPTION 4.628 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  55000000 | NC      | $3062950.00   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2747 FH 02/35 FLOATING VAR          | CUSIP: 3128JM5H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3194 | PA      | $3297.57      | 0.00%             | 2035-02-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H29 SA          | CUSIP: 38375BZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84098 | PA      | $84176.01     | 0.01%             | 2062-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DE8304 FN 09/55 FIXED 6                       | CUSIP: 3140BMGN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    868931 | PA      | $898222.87    | 0.09%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FH          | CUSIP: 38383KMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    899536 | PA      | $909877.83    | 0.09%             | 2074-01-20      | Floating      | 4.85%                 | 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        |     64693 | PA      | $65074.43     | 0.01%             | 2042-08-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7570 FR 05/54 FIXED 6               | CUSIP: 3132DVMT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2741054 | PA      | $2869541.51   | 0.30%             | 2054-05-01      | Fixed         | 6.00%                 | 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        |     89977 | PA      | $92491.58     | 0.01%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4802 FN 02/31 FIXED 5.25                    | CUSIP: 3140Q0KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    625651 | PA      | $651210.67    | 0.07%             | 2031-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6               | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8419759 | PA      | $8802189.32   | 0.92%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8BDA4 PIMCO SWAPTION 2.75 CALL USD 2026020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2500000 | NC      | $50.00        | 0.00%             |  |  |  | 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        |     10284 | PA      | $447.70       | 0.00%             | 2046-10-25      | Floating      | 1.43%                 | 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        |    128167 | PA      | $7381.65      | 0.00%             | 2045-07-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD4259 FR 11/53 FIXED 6.5             | CUSIP: 3132E0WU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2289163 | PA      | $2406859.19   | 0.25%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98706.84     | 0.01%             | 2040-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1014138.84   | 0.11%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/26 0.00000                             | CUSIP: 912797SY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1402000 | PA      | $1392944.19   | 0.14%             | 2026-03-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-18                                         | FANNIE MAE FNR 2011 18 ZK                               | CUSIP: 31397QF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89616 | PA      | $88497.69     | 0.01%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ9389 FR 11/54 FIXED 5               | CUSIP: 3133D1NE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4601140 | PA      | $4638511.47   | 0.48%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $944804.69    | 0.10%             | 2055-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE9251 FN 11/40 FIXED 4                       | CUSIP: 31419LH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41297 | PA      | $40403.91     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8157 FN 03/54 FIXED 6                       | CUSIP: 3140QUB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1104469 | PA      | $1153301.79   | 0.12%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367425 | PA      | $196515.92    | 0.02%             | 2046-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9318 FN 10/54 FIXED 5.5                     | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1460678 | PA      | $1505549.46   | 0.16%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3         | CUSIP: 06050HKR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       614 | PA      | $599.57       | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                  | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                 | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2200674.12   | 0.23%             | 2034-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4805 FN 05/53 FIXED VAR                     | CUSIP: 3140XLKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4701198 | PA      | $4795285.84   | 0.50%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 JF          | CUSIP: 38380LE82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    209202 | PA      | $209111.84    | 0.02%             | 2069-09-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4150                                           | FREDDIE MAC FHR 4150 SB                                 | CUSIP: 3137AYAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    815653 | PA      | $101943.17    | 0.01%             | 2043-01-15      | Floating      | 2.10%                 | 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        |     40014 | PA      | $1770.03      | 0.00%             | 2042-06-20      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 442324 FN 10/28 FLOATING VAR                  | CUSIP: 31380KLD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818 | PA      | $827.01       | 0.00%             | 2028-10-01      | Floating      | 6.01%                 | 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        |     57657 | PA      | $2848.66      | 0.00%             | 2055-04-25      | Floating      | 1.64%                 | 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        |   1695641 | PA      | $85993.91     | 0.01%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4572                                           | FREDDIE MAC FHR 4572 NI                                 | CUSIP: 3137BNY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122136 | PA      | $22880.51     | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $974218.75    | 0.10%             | 2056-01-22      | Fixed         | 4.50%                 | 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        |   3002552 | PA      | $463980.17    | 0.05%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK2411 FN 02/42 FIXED 4                       | CUSIP: 3138E6VD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87825 | PA      | $85987.13     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                          | FANNIE MAE FNR 2013 5 EZ                                | CUSIP: 3136ABJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    491325 | PA      | $428052.23    | 0.04%             | 2042-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE9075 FN 05/37 FIXED 4                       | CUSIP: 3140FVCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136343 | PA      | $135262.64    | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA1741 FN 01/39 FIXED 5.5                     | CUSIP: 31416J5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29617 | PA      | $30875.47     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | 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        |    126983 | PA      | $113312.93    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4094 FN 06/53 FIXED 6                       | CUSIP: 3140NLRQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142768 | PA      | $150263.49    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 03/19/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $600420.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2211 G2 02/48 FIXED 3.5                  | CUSIP: 3617G8N41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17108 | PA      | $15799.06     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1372 G2 03/43 FIXED 2                    | CUSIP: 36179NQZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56142 | PA      | $47326.88     | 0.00%             | 2043-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR          | CUSIP: 31295MZJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3558 | PA      | $3630.34      | 0.00%             | 2031-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3287 FN 11/47 FIXED 4                       | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9136 | PA      | $8833.13      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA SA 2019-1A                                         | LA HIPOTECARIA SA LHIPO 2019 1A AAA 144A                | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658932 | PA      | $603679.33    | 0.06%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  3 | 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        |      7036 | PA      | $6904.17      | 0.00%             | 2035-04-25      | Floating      | 4.43%                 | 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        |       841 | PA      | $881.29       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DD0825 FN 01/55 FIXED 6                       | CUSIP: 3140B04K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8693241 | PA      | $9083642.56   | 0.94%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 AF          | CUSIP: 38376RYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75935 | PA      | $76257.36     | 0.01%             | 2066-09-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4451 FN 07/32 FIXED 4.5                     | CUSIP: 3140NY5M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4535766.45   | 0.47%             | 2032-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-385                                               | FANNIEMAE STRIP FNS 385 11                              | CUSIP: 3136FEW73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138847 | PA      | $24966.72     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3465 FN 09/38 FIXED 4                       | CUSIP: 31418CZ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53554 | PA      | $52774.00     | 0.01%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8338 FR 08/53 FIXED 5               | CUSIP: 3133C9HP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89277 | PA      | $90001.58     | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5430                                           | FREDDIE MAC FHR 5430 FD                                 | CUSIP: 3137HDSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7601099 | PA      | $7627409.14   | 0.79%             | 2054-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2997 FN 05/32 FIXED 3                       | CUSIP: 31418CKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55404 | PA      | $54131.91     | 0.01%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8301 FN 08/53 FIXED 5                       | CUSIP: 3140NRGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82127 | PA      | $82793.42     | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5648 FN 03/55 FIXED 6.5                     | CUSIP: 31418FH26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7795682 | PA      | $8103361.20   | 0.84%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4084 FN 05/35 FIXED 4.98                    | CUSIP: 3140NYRE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3900000 | PA      | $4019535.86   | 0.42%             | 2035-05-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03698 FG 12/37 FIXED 6               | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2436 | PA      | $2580.44      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H042620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14500000 | PA      | $14115410.12  | 1.47%             | 2056-02-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9976 FN 02/55 FIXED 5.5                     | CUSIP: 3140QWCN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2082518 | PA      | $2114089.84   | 0.22%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FE          | CUSIP: 38380LCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2610 | PA      | $2604.63      | 0.00%             | 2068-02-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2526 FR 09/55 FIXED 6               | CUSIP: 31427PYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3923588 | PA      | $4129561.77   | 0.43%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0938 FN 03/55 FIXED VAR                     | CUSIP: 3140W1BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    940945 | PA      | $984583.86    | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15600000 | PA      | $15009515.51  | 1.56%             | 2041-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579731 GN 08/32 FIXED 6.5                     | CUSIP: 36201DA85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $69.44        | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                            | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   2800000 | PA      | $2799926.64   | 0.29%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7444 FR 12/54 FIXED 5               | CUSIP: 3132DVHV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8646532 | PA      | $8698043.31   | 0.90%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06067 FG 10/39 FIXED 5               | CUSIP: 3128M8CC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    213528 | PA      | $219944.45    | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 814952 FN 04/35 FLOATING VAR                  | CUSIP: 31406NL93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10951 | PA      | $11270.10     | 0.00%             | 2035-04-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5296 FN 03/54 FIXED 5.5                     | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4053011 | PA      | $4115284.69   | 0.43%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-100                                        | FANNIE MAE FNR 2024 100 FB                              | CUSIP: 3136BUGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1042114 | PA      | $1049656.18   | 0.11%             | 2055-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008945 G2 08/26 FLOATING VAR               | CUSIP: 36202K5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $68.34        | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3900000 | PA      | $4057608.56   | 0.42%             | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    393000 | PA      | $389361.19    | 0.04%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18666 FG 11/32 FIXED 3               | CUSIP: 3128MMW41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138487 | PA      | $135426.33    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM4724 G2 01/48 FIXED 3                    | CUSIP: 3617YQG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65389 | PA      | $58574.32     | 0.01%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8812 G2 04/48 FIXED 4                    | CUSIP: 3617B0YH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38167 | PA      | $36230.16     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5355 FN 09/45 FIXED VAR                     | CUSIP: 3140J95R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7524547 | PA      | $7551592.31   | 0.79%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03205 FG 07/35 FIXED 5.5             | CUSIP: 3128M43N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2379 | PA      | $2448.09      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FB          | CUSIP: 38376RRA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23681 | PA      | $23774.41     | 0.00%             | 2066-01-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN5904 G2 10/50 FIXED 4                    | CUSIP: 3617F5RZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1901967 | PA      | $1805404.14   | 0.19%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7122 FR 11/54 FIXED 6.5             | CUSIP: 3132DU4F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    956835 | PA      | $1007570.21   | 0.10%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-81                                                | FANNIE MAE FNR 2001 81 HE                               | CUSIP: 31392BQR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8155 | PA      | $8545.36      | 0.00%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX5505 FR 02/55 FIXED 5.5             | CUSIP: 31426BDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6129497 | PA      | $6229238.06   | 0.65%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933161 FN 11/37 FIXED 6.5                     | CUSIP: 31412SFA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10571 | PA      | $11103.91     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                    | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                 | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499774.54   | 0.16%             | 2035-10-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M8A5 PIMCO FPPSWAPTION 4.44 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2200000 | NC      | $97496.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3278 FN 04/30 FIXED 4.74                    | CUSIP: 3140NXUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1216139.03   | 0.13%             | 2030-04-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9QXA8 PIMCO FPPSWAPTION 4.55875 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   5600000 | NC      | $267752.24    | 0.03%             |  |  |  | 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        |        67 | PA      | $66.71        | 0.00%             | 2027-10-20      | Floating      | 4.61%                 | 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        |   3037326 | PA      | $2905037.21   | 0.30%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5588 FN 01/40 FIXED 4                       | CUSIP: 31418FF69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    885273 | PA      | $874562.49    | 0.09%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD4642 FR 01/54 FIXED 6.5             | CUSIP: 3132DSEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    884888 | PA      | $930949.79    | 0.10%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H04                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H04 FD          | CUSIP: 38380QYA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217228 | PA      | $219775.24    | 0.02%             | 2070-12-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 827785 FN 05/35 FLOATING VAR                  | CUSIP: 31407DUJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       605 | PA      | $617.27       | 0.00%             | 2035-05-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784445 G2 02/48 FIXED 3.5                  | CUSIP: 3622A25E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74833 | PA      | $69226.86     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                   | KKR FINANCIAL CLO LTD KKR 42A AR 144A                   | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2800000 | PA      | $2802100.00   | 0.29%             | 2034-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 FA          | CUSIP: 38375B8G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18103 | PA      | $18270.34     | 0.00%             | 2063-09-20      | Floating      | 5.41%                 | 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        |     22868 | PA      | $1872.18      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-11                                         | FANNIE MAE FNR 2014 11 PL                               | CUSIP: 3136AJGR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    258504 | PA      | $252419.04    | 0.03%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 843014 FN 03/35 FLOATING VAR                  | CUSIP: 31407WSB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       776 | PA      | $797.64       | 0.00%             | 2035-03-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1769036 | PA      | $1819179.21   | 0.19%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04591 FG 06/36 FIXED 5.5             | CUSIP: 3128M6NG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13922 | PA      | $14556.69     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3359 FN 04/38 FIXED 3                       | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17900 | PA      | $16944.64     | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50 | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ50 A2             | CUSIP: 3137HDV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $796098.72    | 0.08%             | 2034-10-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-3                                          | FANNIE MAE FNR 2012 3 PE                                | CUSIP: 3136A3S69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78795 | PA      | $77228.43     | 0.01%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5444 FN 11/30 FIXED 4.62                    | CUSIP: 3140Q1BN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1532894.61   | 0.16%             | 2030-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-11                                         | FANNIE MAE FNR 2025 11 FB                               | CUSIP: 3136BUZ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    597193 | PA      | $598989.47    | 0.06%             | 2055-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2384 FR 06/30 FIXED 4.4             | CUSIP: 3132XGUJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81987 | PA      | $82369.50     | 0.01%             | 2030-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3413 FN 07/38 FIXED 4                       | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164212 | PA      | $161851.85    | 0.02%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2558 FN 08/55 FIXED VAR                     | CUSIP: 3140W2ZY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    780515 | PA      | $802023.52    | 0.08%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CWA0 PIMCO FPPSWAPTION 4.63 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $80129.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S2D6 PIMCO CDSOPT PUT USD 103.66406250 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -3000000 | NC      | $-301.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EFA5 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $74708.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM5684 FN 09/49 FIXED VAR                     | CUSIP: 3140X9J63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3796284 | PA      | $3899235.85   | 0.41%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CK9490 G2 01/50 FIXED 4                    | CUSIP: 3617Y5RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1809092 | PA      | $1719407.98   | 0.18%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-9                                                 | FANNIE MAE FNR 2002 9 FH                                | CUSIP: 31392BD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27400 | PA      | $27393.52     | 0.00%             | 2032-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AY5650 FN 06/30 FIXED 3                       | CUSIP: 3138YKH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26414 | PA      | $25975.33     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S618 PIMCO CDSOPT PUT USD 102.14062500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -17500000 | NC      | $-13310.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA0244 GN 04/47 FIXED 4                       | CUSIP: 3617ACHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130506 | PA      | $125026.50    | 0.01%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0516 FN 02/55 FIXED VAR                     | CUSIP: 3140W0SE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7656285 | PA      | $7679050.76   | 0.80%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4843 FN 02/48 FIXED 4                       | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10710 | PA      | $10349.18     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | 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        |     16521 | PA      | $901.79       | 0.00%             | 2038-02-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831599 FN 07/36 FIXED 6                       | CUSIP: 31407H3G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    219252 | PA      | $231325.45    | 0.02%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03968 FG 12/36 FIXED 5.5             | CUSIP: 3128M5W55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       202 | PA      | $210.04       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928223 FN 04/37 FIXED 6.5                     | CUSIP: 31412LG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5291 | PA      | $5573.38      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0248 FR 01/54 FIXED 5               | CUSIP: 31427MH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9076312 | PA      | $9080747.31   | 0.94%             | 2054-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0167 FN 02/57 FIXED 3                       | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241275 | PA      | $212072.26    | 0.02%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A85470 FG 04/39 FIXED 4.5             | CUSIP: 312932CF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75523 | PA      | $76233.41     | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1524 G2 12/43 FIXED 5                    | CUSIP: 36179NVR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28358 | PA      | $29107.53     | 0.00%             | 2043-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1089 G2 06/43 FIXED 3                    | CUSIP: 36179NF60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    823767 | PA      | $761305.66    | 0.08%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2432 FH 09/35 FLOATING VAR          | CUSIP: 3128JMSW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34400 | PA      | $35268.08     | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F070625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8900000 | PA      | $9368246.53   | 0.97%             | 2055-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB6850 FN 07/54 FIXED 5.5                     | CUSIP: 3140AGTG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4195049 | PA      | $4263310.59   | 0.44%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $297011.36    | 0.03%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0604 G2 07/47 FIXED 3.5                  | CUSIP: 3617AQU56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11523 | PA      | $10641.69     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                         | FANNIE MAE FNR 2024 88 FC                               | CUSIP: 3136BT7D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11931595 | PA      | $12025493.82  | 1.25%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE4350 FN 10/40 FIXED 4                       | CUSIP: 31419EZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72865 | PA      | $71516.26     | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7606 FN 09/48 FIXED 4.5                     | CUSIP: 3140HMNY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1276720 | PA      | $1269604.61   | 0.13%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3862 FN 01/38 FIXED 3                       | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105314 | PA      | $99579.89     | 0.01%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB6244 FN 09/42 FIXED 4                       | CUSIP: 31417C5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147790 | PA      | $144620.06    | 0.02%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8651 G2 08/47 FIXED 3.5                  | CUSIP: 3617B0TG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9998 | PA      | $9232.98      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735355 FN 02/35 FLOATING VAR                  | CUSIP: 31402Q5Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2155 | PA      | $2244.34      | 0.00%             | 2035-02-01      | Floating      | 6.39%                 | 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        |    386231 | PA      | $382490.22    | 0.04%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2477 FN 10/48 FIXED 4.5                     | CUSIP: 3140Q9XF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1485355 | PA      | $1475635.07   | 0.15%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT8451 FN 06/28 FIXED 2.5                     | CUSIP: 3138WWL98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19183 | PA      | $18859.19     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E02997 FG 10/26 FIXED 3               | CUSIP: 31294MKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1944 | PA      | $1934.48      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR          | CUSIP: 31349TD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52405 | PA      | $54211.39     | 0.01%             | 2034-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  57800000 | PA      | $57650984.66  | 5.99%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2200000 | NC      | $114244.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  38200000 | PA      | $32293922.07  | 3.36%             | 2056-02-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2024-1 LTD                                                | TCW GEM LTD TCW 2024 1A A1 144A                         | CUSIP: 87252MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502461.44    | 0.05%             | 2037-01-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-63                                         | FANNIE MAE FNR 2006 63 FD                               | CUSIP: 31395NQL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130961 | PA      | $130311.30    | 0.01%             | 2036-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2638 FR 06/55 FIXED 6.5             | CUSIP: 31427P4Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109346 | PA      | $116374.83    | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A    | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42232 | PA      | $41251.84     | 0.00%             | 2035-08-25      | Floating      | 4.65%                 | 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        |    148730 | PA      | $138315.51    | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4        | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56050 | PA      | $43691.39     | 0.00%             | 2046-05-25      | Floating      | 4.39%                 | 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        |     26344 | PA      | $1514.27      | 0.00%             | 2036-11-15      | Floating      | 1.77%                 | 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        |    420144 | PA      | $387013.37    | 0.04%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5743 FN 11/30 FIXED 4.62                    | CUSIP: 3140Q1LZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4646051 | PA      | $4731413.78   | 0.49%             | 2030-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 84 IB           | CUSIP: 38379PP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    272366 | PA      | $48564.61     | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2021-4                                                      | JP MORGAN MORTGAGE TRUST JPMMT 2021 4 A11 144A          | CUSIP: 46652VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1771412 | PA      | $1643119.11   | 0.17%             | 2051-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2488 FN 10/44 FIXED 4                       | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77860 | PA      | $76585.34     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9862 FR 09/53 FIXED 6.5             | CUSIP: 3133KR5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96699 | PA      | $101689.35    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2726 FN 12/29 FIXED 4.35                    | CUSIP: 3140NXA45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    705000 | PA      | $712407.00    | 0.07%             | 2029-12-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  99000000 | PA      | $101611214.10 | 10.56%            | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735642 FN 08/42 FLOATING VAR                  | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63269 | PA      | $63342.64     | 0.01%             | 2042-08-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5657203 | PA      | $5822629.66   | 0.61%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A86255 FG 05/39 FIXED 5               | CUSIP: 3129325Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7743 | PA      | $7975.74      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | 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        |      3990 | PA      | $4071.20      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1314 FN 01/48 FIXED 4                       | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28962 | PA      | $28039.91     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AD8825 G2 03/43 FIXED 3.5                  | CUSIP: 36180MYW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188060 | PA      | $172182.23    | 0.02%             | 2043-03-20      | Fixed         | 3.50%                 | 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        |    130089 | PA      | $123676.25    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM          | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270563 | PA      | $270532.90    | 0.03%             | 2065-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                               | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147363 | PA      | $132388.00    | 0.01%             | 2037-12-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5937 FN 10/29 FIXED VAR                     | CUSIP: 3138ENS34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25882 | PA      | $25549.35     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5             | CUSIP: 3128MJJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19680 | PA      | $20539.34     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618522 GN 09/33 FIXED 5.5                     | CUSIP: 36290VD35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1908 | PA      | $1915.93      | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD6374 FN 09/46 FIXED 3.5                     | CUSIP: 3140FECL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    222728 | PA      | $210138.51    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7576 FN 12/27 FIXED 4.86                    | CUSIP: 3140LJM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    705502 | PA      | $715205.94    | 0.07%             | 2027-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                   | EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A             | CUSIP: 268668BU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27114 | PA      | $27759.76     | 0.00%             | 2040-08-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2794 FN 02/30 FIXED 4.28                    | CUSIP: 3140NXC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    555000 | PA      | $560423.58    | 0.06%             | 2030-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A34704 FG 05/35 FIXED 5.5             | CUSIP: 31297QGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13069 | PA      | $13571.86     | 0.00%             | 2035-05-01      | 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        |     22593 | PA      | $20917.95     | 0.00%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 1A        | CUSIP: 3137G1BK2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    186725 | PA      | $162361.80    | 0.02%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3899 FN 11/26 FIXED 3                       | CUSIP: 31417AKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16320 | PA      | $16223.69     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809429 FN 02/35 FLOATING VAR                  | CUSIP: 31406GHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3665 | PA      | $3787.90      | 0.00%             | 2035-02-01      | Floating      | 6.57%                 | 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        |     73938 | PA      | $71488.55     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809271 FN 01/35 FLOATING VAR                  | CUSIP: 31406GCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7108 | PA      | $7270.68      | 0.00%             | 2035-01-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677100 GN 07/38 FIXED 5.5                     | CUSIP: 36295QGH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3050 | PA      | $3152.04      | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | UNITED STATES TREASURY BILL 04/26 0                     | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $988681.07    | 0.10%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4701 FN 08/30 FIXED 4.73                    | CUSIP: 3140Q0GK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1723419.13   | 0.18%             | 2030-08-01      | Fixed         | 4.73%                 | 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        |    145679 | PA      | $50166.32     | 0.01%             | 2035-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5             | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6873928 | PA      | $7145345.29   | 0.74%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |     26948 | PA      | $23649.92     | 0.00%             | 2046-07-20      | Floating      | 4.25%                 | 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        |      6786 | PA      | $6732.51      | 0.00%             | 2026-10-19      | Floating      | 4.55%                 | 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        |      8198 | PA      | $453.14       | 0.00%             | 2041-08-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5243 FR 06/43 FIXED 4.5             | CUSIP: 3133KYZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    218327 | PA      | $219528.60    | 0.02%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888382 FN 07/35 FLOATING VAR                  | CUSIP: 31410F6T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4617 | PA      | $4761.73      | 0.00%             | 2035-07-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A91812 FG 04/40 FIXED 5               | CUSIP: 312940AM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10336 | PA      | $10646.98     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S6A8 PIMCO CDSOPT CALL USD 95.66406250 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-23718.00    | -0.00%            |  |  |  | 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        |    118904 | PA      | $109804.36    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAMIA2 PIMCO SWAPTION 5.0 PUT USD 20260330           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 118000000 | NC      | $1014.80      | 0.00%             |  |  |  | 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        |      2289 | PA      | $2279.35      | 0.00%             | 2031-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79234 FG 05/36 FIXED 5               | CUSIP: 3128LDHK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4202 | PA      | $4265.78      | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3791 FN 05/35 FIXED 5.21                    | CUSIP: 3140NYF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1093324 | PA      | $1139355.32   | 0.12%             | 2035-05-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK          | CUSIP: 38376RRL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93064 | PA      | $93667.98     | 0.01%             | 2066-03-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5593                                           | FREDDIE MAC FHR 5593 FB                                 | CUSIP: 3137HNV47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6860658 | PA      | $6891676.27   | 0.72%             | 2055-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $63287.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7604541 | PA      | $7640899.02   | 0.79%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61254 FG 01/48 FIXED 4               | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42287 | PA      | $40938.48     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                  | FREDDIE MAC FHR 4836 PO                                 | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199071 | PA      | $123189.47    | 0.01%             | 2058-10-15      | Fixed         | 0.00%                 | 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        |     10042 | PA      | $9261.35      | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD5492 G2 11/47 FIXED 3.5                  | CUSIP: 3617BMC54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8420 | PA      | $7776.13      | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5597 G2 11/48 FIXED 5                    | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81727 | PA      | $83086.45     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0497 FN 11/39 FIXED VAR                     | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140468 | PA      | $146475.40    | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6158 FR 02/55 FIXED 6.5             | CUSIP: 3133N3ZX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    663705 | PA      | $675800.16    | 0.07%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ5532 FR 09/54 FIXED 5.5             | CUSIP: 3133CWED0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9566471 | PA      | $9728158.12   | 1.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H01                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H01 FA          | CUSIP: 38376RPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16081 | PA      | $16163.44     | 0.00%             | 2066-01-20      | Floating      | 5.01%                 | 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        |    129811 | PA      | $132874.69    | 0.01%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7271 FN 09/41 FLOATING VAR                  | CUSIP: 3138EQCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20165 | PA      | $20772.62     | 0.00%             | 2041-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5717 FN 07/30 FIXED 4.7                     | CUSIP: 3140Q1K74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3584000 | PA      | $3658281.88   | 0.38%             | 2030-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3898 FN 11/26 FIXED 3                       | CUSIP: 31417AKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13023 | PA      | $12945.90     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | 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        |    180823 | PA      | $18846.42     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FD          | CUSIP: 38380LCX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    364027 | PA      | $363167.44    | 0.04%             | 2068-05-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888115 FN 05/35 FLOATING VAR                  | CUSIP: 31410FVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11243 | PA      | $11654.43     | 0.00%             | 2035-05-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0793 FR 02/55 FIXED 5               | CUSIP: 31427M3B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1405100 | PA      | $1404341.02   | 0.15%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BQ7186 GN 10/49 FIXED 3.5                     | CUSIP: 3617LR6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    554368 | PA      | $507155.90    | 0.05%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FB                                 | CUSIP: 3137HMGK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18706672 | PA      | $18876956.88  | 1.96%             | 2055-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  16100000 | PA      | $16100000.00  | 1.67%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4462                                           | FREDDIE MAC FHR 4462 KG                                 | CUSIP: 3137BHJA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110950 | PA      | $104159.79    | 0.01%             | 2045-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9OQA1 PIMCO FPPSWAPTION 4.4 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3000000 | NC      | $184548.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 688960 FN 04/33 FLOATING VAR                  | CUSIP: 31400JMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5766 | PA      | $5917.71      | 0.00%             | 2033-04-01      | Floating      | 6.37%                 | 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        |    620308 | PA      | $591845.88    | 0.06%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 665366 FN 08/27 FLOATING VAR                  | CUSIP: 31391FFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2986 | PA      | $2990.30      | 0.00%             | 2027-08-01      | Floating      | 5.89%                 | 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        |     18860 | PA      | $18252.14     | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | 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        |    192667 | PA      | $28783.52     | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 A 144A               | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1438636 | PA      | $1421889.37   | 0.15%             | 2038-12-15      | Floating      | 5.17%                 | 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        |    127447 | PA      | $125804.05    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX7601 FR 02/55 FIXED 5               | CUSIP: 31426DNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18096625 | PA      | $18061595.48  | 1.88%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  46100000 | PA      | $39763051.13  | 4.13%             | 2056-02-19      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 384                                     | FANNIEMAE STRIP FNS 384 19                              | CUSIP: 3136FET36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    237074 | PA      | $39524.71     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2645 FR 09/55 FIXED 6.5             | CUSIP: 31427P5F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    437167 | PA      | $461036.71    | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                         | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A                | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4700000 | PA      | $4719973.50   | 0.49%             | 2037-07-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ8794 FR 11/54 FIXED 5               | CUSIP: 3133D0XX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19493242 | PA      | $19651570.23  | 2.04%             | 2054-11-01      | Fixed         | 5.00%                 | 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        |      8471 | PA      | $473.69       | 0.00%             | 2037-05-15      | Floating      | 1.71%                 | 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        |   1192868 | PA      | $1145347.86   | 0.12%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555640 FN 07/33 FIXED VAR                     | CUSIP: 31385XHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $140.47       | 0.00%             | 2033-07-01      | 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        |     35720 | PA      | $1468.77      | 0.00%             | 2044-07-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5588 FN 12/32 FIXED 4.35                    | CUSIP: 3140Q1F62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2992526.79   | 0.31%             | 2032-12-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S2O2 PIMCO CDSOPT PUT USD 102.29687500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -8000000 | NC      | $-3330.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90133 FG 08/42 FIXED 4               | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    311439 | PA      | $304180.74    | 0.03%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QZ2724 FR 09/55 FIXED 6               | CUSIP: 31427AA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2060083 | PA      | $2131516.84   | 0.22%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5415                                           | FREDDIE MAC FHR 5415 FB                                 | CUSIP: 3137HCQ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    958161 | PA      | $960659.45    | 0.10%             | 2054-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5425 FN 07/39 FIXED 5.5                     | CUSIP: 31418FA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2358042 | PA      | $2419263.18   | 0.25%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2730 FN 11/48 FIXED 4.5                     | CUSIP: 3140QAA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1294918 | PA      | $1285644.10   | 0.13%             | 2048-11-01      | Fixed         | 4.50%                 | 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        |     40284 | PA      | $38122.24     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | 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        |    173128 | PA      | $161182.21    | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4933 FN 09/30 FIXED 4.75                    | CUSIP: 3140Q0PT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2146702 | PA      | $2197608.51   | 0.23%             | 2030-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17834 FG 01/27 FIXED 3               | CUSIP: 3128PXV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1437 | PA      | $1428.16      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683380 GN 01/38 FIXED 6.5                     | CUSIP: 36295XFV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44357 | PA      | $46813.68     | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC4840 G2 09/47 FIXED 3.5                  | CUSIP: 3617B8LV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10700 | PA      | $9881.89      | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QO9                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO9 1A3A       | CUSIP: 75114PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79426 | PA      | $72065.03     | 0.01%             | 2046-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RTH0 OTC ECAL FN 4.0 JAN26 97.375 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -17000000 | NC      | $-1.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB8778 FN 08/54 FIXED 5.5                     | CUSIP: 3140AJXG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6513086 | PA      | $6619065.54   | 0.69%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9931 FN 07/28 FIXED 2.5                     | CUSIP: 31417HA95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44516 | PA      | $43833.98     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6891 FN 08/53 FIXED 4.5                     | CUSIP: 3140QSUR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    654289 | PA      | $649793.88    | 0.07%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A64440 FG 08/37 FIXED 6               | CUSIP: 3128KU4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30145 | PA      | $31935.60     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA6089 GN 02/43 FIXED 3                       | CUSIP: 36178DXS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    833672 | PA      | $766579.86    | 0.08%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9853 FR 09/53 FIXED 6               | CUSIP: 3133KR5N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4802062 | PA      | $4993581.26   | 0.52%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30462 FG 08/26 FIXED 6               | CUSIP: 3128CUQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $308.65       | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 981444 FN 09/38 FIXED 6                       | CUSIP: 31415AZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13616 | PA      | $14111.62     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37500000 | PA      | $35416992.38  | 3.68%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B8A9 PIMCO FPPSWAPTION 4.43 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $66093.75     | 0.01%             |  |  |  | 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        |    405993 | PA      | $341432.55    | 0.04%             | 2046-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FJ          | CUSIP: 38376RLR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150164 | PA      | $150485.63    | 0.02%             | 2065-11-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD6727 FR 07/54 FIXED 6.5             | CUSIP: 3132DUPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    999520 | PA      | $1053001.16   | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |      7367 | PA      | $7172.09      | 0.00%             | 2031-11-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A   | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511935 | PA      | $290014.36    | 0.03%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0093 G2 05/42 FIXED 6                    | CUSIP: 36179MC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17127 | PA      | $18027.21     | 0.00%             | 2042-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S3J2 PIMCO CDSOPT PUT USD 93.47656250 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10000000 | NC      | $-106.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4594 FR 08/55 FIXED 6.5             | CUSIP: 3142GVC82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2654163 | PA      | $2801014.58   | 0.29%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5534                                           | FREDDIE MAC FHR 5534 FD                                 | CUSIP: 3137HLEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1226450 | PA      | $1236341.81   | 0.13%             | 2055-05-25      | Floating      | 5.12%                 | 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        |     37183 | PA      | $38939.69     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4277 FN 01/27 FIXED 3                       | CUSIP: 31417AXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8845 | PA      | $8789.59      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A82215 FG 09/38 FIXED 6               | CUSIP: 312928N83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14437 | PA      | $15015.82     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995175 FN 06/35 FIXED VAR                     | CUSIP: 31416BQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1045 | PA      | $1097.80      | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3407 G2 07/47 FIXED 3.5                  | CUSIP: 3617ATYC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8984 | PA      | $8296.87      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QZ2966 FR 09/55 FIXED 6               | CUSIP: 31427AJL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1884797 | PA      | $1948334.22   | 0.20%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA3594 FN 09/55 FIXED VAR                     | CUSIP: 3140W37G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9849023 | PA      | $10449350.26  | 1.09%             | 2055-09-01      | Fixed         | 6.50%                 | 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        |    249233 | PA      | $244924.84    | 0.03%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX6465 G2 04/47 FIXED 3.5                  | CUSIP: 36196JFE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11831 | PA      | $10925.77     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF          | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    471423 | PA      | $473370.95    | 0.05%             | 2074-04-20      | Floating      | 4.71%                 | 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        |     89557 | PA      | $86602.24     | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698378 GN 07/39 FIXED 4.5                     | CUSIP: 36296Q2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9788 | PA      | $9827.95      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DD0855 FN 01/55 FIXED 6.5                     | CUSIP: 3140B05R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3375063 | PA      | $3593073.15   | 0.37%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1164 | PA      | $1144.37      | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5689 FN 11/30 FIXED 5.11                    | CUSIP: 3140Q1KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1818603 | PA      | $1884134.31   | 0.20%             | 2030-11-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                     | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A    | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2100384.17   | 0.22%             | 2035-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93RA6 PIMCO FPPSWAPTION 4.31 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $96027.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0706 FR 05/45 FIXED 6.5             | CUSIP: 3132D9YB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194729 | PA      | $202755.24    | 0.02%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 457100 GN 11/28 FIXED 6.5                     | CUSIP: 36208PX52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       886 | PA      | $899.59       | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | 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        |     72863 | PA      | $69838.88     | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | 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        |   2353226 | PA      | $2413910.98   | 0.25%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS2580 FN 06/29 FIXED 3                       | CUSIP: 3138WB2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63503 | PA      | $62275.41     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3TA2 PIMCO FPPSWAPTION 4.623 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  50500000 | NC      | $2512289.15   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO3373 FR 03/40 FIXED 5.5             | CUSIP: 3133WMXA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101244 | PA      | $104220.37    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA SA 2016-1A                                   | LA HIPOTECARIA SA LHIPO 2016 1A A 144A                  | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    355610 | PA      | $328990.11    | 0.03%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2015-1                                          | FANNIE MAE FNR 2015 1 SJ                                | CUSIP: 3136AMLP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    328291 | PA      | $217781.11    | 0.02%             | 2043-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                       | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                 | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2401083.31   | 0.25%             | 2034-01-25      | Floating      | 4.97%                 | 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        |    394105 | PA      | $349856.26    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5353 FN 05/54 FIXED 5.5                     | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1388730 | PA      | $1409996.26   | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | 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        |    717710 | PA      | $726997.09    | 0.08%             | 2070-08-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5248 FR 05/43 FIXED 4               | CUSIP: 3133KYZM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    557437 | PA      | $548804.94    | 0.06%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896504 FN 08/36 FIXED 6.5                     | CUSIP: 31410TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10083 | PA      | $10621.05     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 412301 GN 08/27 FIXED 7.5                     | CUSIP: 36206JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $90.25        | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | 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        |     44361 | PA      | $2185.35      | 0.00%             | 2045-12-20      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-10                                         | FANNIE MAE FNR 2019 10 FA                               | CUSIP: 3136B3M72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177056 | PA      | $175410.22    | 0.02%             | 2049-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    855206 | PA      | $881614.19    | 0.09%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer