# EDGAR Filing Document

**Accession Number:** 0000930007
**File Stem:** 0001410368-25-012219
**Filing Date:** 2025-9
**Character Count:** 460093
**Document Hash:** df7c8911b08479f0ba737089b3797c5d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-012219.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0001410368-25-012219

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20250731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACE SELECT ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0000930007

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08764
- **FILM NUMBER:** 251349608

**BUSINESS ADDRESS:**
- **STREET 1:** C/O UBS ASSET MANAGEMENT (AMERICAS) LLC
- **STREET 2:** 787 SEVENTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-821-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O UBS ASSET MANAGEMENT (AMERICAS) LLC
- **STREET 2:** 787 SEVENTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** UBS PACE SELECT ADVISORS TRUST
- **DATE OF NAME CHANGE:** 20020716

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PAINEWEBBER PACE SELECT ADVISORS TRUST
- **DATE OF NAME CHANGE:** 19980212

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MANAGED ACCOUNTS SERVICES PORTFOLIO TRUST
- **DATE OF NAME CHANGE:** 19941212

## Series and Classes Contracts Data

### PACE Mortgage-Backed Securities Fixed Income Investments (Series ID: S000002696)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000007349 | Class P      | PCGTX           |
| C000007350 | Class A      | PFXAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACE SELECT ADVISORS TRUST

- **b. Investment Company Act file number:** 811-08764

- **c. CIK number of Registrant:** 0000930007

- **d. LEI of Registrant:** 549300TPB2UX3QR3SC50

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

  - **Street Address 1:** C/O UBS ASSET MANAGEMENT (AMERICAS) LLC.

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** 212-821-3000

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

- **a. Name of Series:** PACE Mortgage-Backed Securities Fixed Income Investments

- **b. EDGAR series identifier (if any):** S000002696

- **c. LEI of Series:** 549300SL7FH0DG7NFM06

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

- **a. Date of fiscal year-end:** 2025-07-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $750927458.14

**Total Liabilities:** $582204685.19

**Net Assets:** $168722772.95

**Delayed Delivery Securities:** $179148205.71

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -42.93000000 | **1-Year:** -699.56000000 | **5-Year:** -1717.45000000 | **10-Year:** -598.48000000 | **30-Year:** -103.12000000

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

- **3-Month:** -63.83000000 | **1-Year:** -558.57000000 | **5-Year:** -1742.36000000 | **10-Year:** -4447.32000000 | **30-Year:** -1053.50000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007350 | -1.02%               | 1.89%                | -0.62%               |
| Class ID C000007349 | -1.00%               | 2.01%                | -0.59%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $213345.82               | $-2868122.29                               |
| Month 2  | $-126301.94              | $3047816.18                                |
| Month 3  | $196313.93               | $-1735370.77                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities (Returns Universe)

- **Index Identifier:** LEHM.MC.LEHM003446UUSD

### Schedule of Portfolio Investments

| Name                                             | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418C7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43551 | PA      | $43181.36     | 0.03%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14182 | PA      | $13999.56     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138Y9DA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       686 | PA      | $669.98       | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3620AM6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40460 | PA      | $38367.51     | 0.02%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $58298.70     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128HDPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10671 | PA      | $10818.09     | 0.01%             | 2030-01-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137AXTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403517 | PA      | $31976.08     | 0.02%             | 2033-01-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                 | IndyMac INDX Mortgage Loan Trust                                                  | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134454 | PA      | $123509.93    | 0.07%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AANP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3064 | PA      | $2983.15      | 0.00%             | 2045-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AD3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377728 | PA      | $34617.63     | 0.02%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X6LC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93902 | PA      | $93041.92     | 0.06%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312926VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17221 | PA      | $17633.43     | 0.01%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Securities USA, Inc.             | Repurchase Agreement                                                              | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | Short            | RA               | CORP              | US        |  -9450263 | PA      | $-9450262.52  | -5.60%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | Swaption                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |  -1300000 | NC      | $-0.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3609410.00   | 2.14%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ELA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27345 | PA      | $26865.52     | 0.02%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3622AC3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2607609 | PA      | $2391110.50   | 1.42%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414097 | PA      | $421567.01    | 0.25%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYZG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338941 | PA      | $330073.39    | 0.20%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179NLG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688525 | PA      | $696789.72    | 0.41%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    829179 | PA      | $711196.78    | 0.42%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $-13465.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410LDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23785 | PA      | $23657.80     | 0.01%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138YEZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33431 | PA      | $32639.35     | 0.02%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H6LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24386 | PA      | $22888.29     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                          | GSR Mortgage Loan Trust                                                           | CUSIP: 36242DPD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       878 | PA      | $841.22       | 0.00%             | 2034-12-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                      | Merrill Lynch Mortgage Investors Trust                                            | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7854 | PA      | $7234.46      | 0.00%             | 2029-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396RLX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62335 | PA      | $61980.95     | 0.04%             | 2036-05-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40647 | PA      | $40121.87     | 0.02%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31416W6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1021 | PA      | $1016.61      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132XXXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24649 | PA      | $23122.24     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133BXL25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262124 | PA      | $256192.15    | 0.15%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X8ML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373833 | PA      | $306938.95    | 0.18%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36295QBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63885 | PA      | $66183.60     | 0.04%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36177JQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577991 | PA      | $547739.87    | 0.32%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133L8B53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563405 | PA      | $514747.89    | 0.31%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131XCY43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31275 | PA      | $29806.05     | 0.02%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38380B7Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49140 | PA      | $2214.13      | 0.00%             | 2045-12-20      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1012860.00   | 0.60%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417FZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375830 | PA      | $349158.12    | 0.21%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36294TGQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1014 | PA      | $1046.74      | 0.00%             | 2037-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31329QHD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457348 | PA      | $428270.35    | 0.25%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X63B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140702 | PA      | $136659.30    | 0.08%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FS6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23166 | PA      | $21743.75     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4900000 | OU      | $-135447.76   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4783904 | PA      | $4025776.82   | 2.39%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137ASYF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32111 | PA      | $630.10       | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136B62S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175523 | PA      | $22001.70     | 0.01%             | 2049-11-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MU5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23783 | PA      | $23542.64     | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412PPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38667 | PA      | $37236.54     | 0.02%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137FQLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82344 | PA      | $81528.42     | 0.05%             | 2046-12-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   8500000 | OU      | $22484.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88578 | PA      | $87275.46     | 0.05%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX Trust                                                                         | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490464 | PA      | $412928.26    | 0.24%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FXFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598085 | PA      | $535410.31    | 0.32%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36193QNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272630 | PA      | $249463.17    | 0.15%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GLWQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35187 | PA      | $32939.84     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138W2W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42374 | PA      | $41054.46     | 0.02%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31329PBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    552708 | PA      | $502694.18    | 0.30%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131XJCU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       526 | PA      | $490.16       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 5                                                          | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14368 | PA      | $14134.88     | 0.01%             | 2026-10-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    700000 | OU      | $22147.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31288CUA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       836 | PA      | $854.44       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    785282 | PA      | $144242.68    | 0.09%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13910 | PA      | $13705.11     | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362258 | PA      | $300958.22    | 0.18%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                          | EMC Mortgage Loan Trust                                                           | CUSIP: 268668BU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45190 | PA      | $45657.86     | 0.03%             | 2040-08-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3622A25E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392553 | PA      | $359242.82    | 0.21%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QNUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758624 | PA      | $650681.40    | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140Q9K85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563254 | PA      | $555997.52    | 0.33%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44273 | PA      | $43412.69     | 0.03%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GTJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27043 | PA      | $25337.50     | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas CLO XII Ltd.                                                             | CUSIP: 89641GAN2<br>LEI: 254900G1XMKSN9WBVL66 | Long             | ABS-CBDO         | CORP              | KY        |    487040 | PA      | $487932.84    | 0.29%             | 2033-04-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AL2X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209867 | PA      | $1324.85      | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GBHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112115 | PA      | $104985.57    | 0.06%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-862.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128PXVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15913 | PA      | $15724.77     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FECL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472029 | PA      | $433803.43    | 0.26%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36197K5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46131 | PA      | $42216.41     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2749 | PA      | $2755.51      | 0.00%             | 2030-07-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1993 | PA      | $2050.45      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   2000000 | NC      | $5381.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust               | Morgan Stanley Mortgage Loan Trust                                                | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11639 | PA      | $10986.86     | 0.01%             | 2035-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1200000 | OU      | $5729.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36292CDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8344 | PA      | $8601.77      | 0.01%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241LUT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13107 | PA      | $12850.78     | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYX38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109195 | PA      | $106982.97    | 0.06%             | 2042-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AT4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119324 | PA      | $109199.04    | 0.06%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B6YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57918 | PA      | $49677.11     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31281BHU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123161 | PA      | $122885.25    | 0.07%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202K2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       127 | PA      | $126.55       | 0.00%             | 2026-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC                             | Barclays Capital, Inc.                                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -270000 | NS      | $-270000.00   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132HBEV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451874 | PA      | $430096.42    | 0.25%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G1FZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    944226 | PA      | $864103.30    | 0.51%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140LLZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392000 | PA      | $402381.50    | 0.24%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AQU56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84716 | PA      | $77526.98     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241KXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1617 | PA      | $1674.53      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   1800000 | NC      | $132868.08    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31376GGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.01         | 0.00%             | 2026-09-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      2000 | PA      | $1991.99      | 0.00%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -1700000 | NC      | $-686.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38375US27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494653 | PA      | $478984.79    | 0.28%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H5JG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226354 | PA      | $211088.73    | 0.13%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36196LHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193436 | PA      | $177021.98    | 0.10%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132WJUN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569537 | PA      | $502457.48    | 0.30%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202KUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8 | PA      | $8.08         | 0.00%             | 2025-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BB7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45849 | PA      | $2666.53      | 0.00%             | 2041-10-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136B1P32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188776 | PA      | $167139.91    | 0.10%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X6S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241338 | PA      | $1081444.02   | 0.64%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136A95V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121878 | PA      | $6600.95      | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2400000 | OU      | $115164.70    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132XCSK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513203 | PA      | $511414.68    | 0.30%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137B5HZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255091 | PA      | $247920.15    | 0.15%             | 2035-05-15      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24686 | PA      | $24997.61     | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.              | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates       | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110576 | PA      | $109619.82    | 0.06%             | 2035-03-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       167 | PA      | $166.62       | 0.00%             | 2026-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202DKB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1735 | PA      | $1797.66      | 0.00%             | 2030-10-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                     | Saxon Asset Securities Trust                                                      | CUSIP: 805564SU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134657 | PA      | $133427.70    | 0.08%             | 2035-11-25      | Floating      | 0.82%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                | Generate CLO 3 Ltd.                                                               | CUSIP: 98625UBC5<br>LEI: 549300TKWX739FHPEQ97 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $702372.30    | 0.42%             | 2036-10-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7100000 | OU      | $831314.93    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    400000 | NC      | $32240.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $53153.23     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KND83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1143987 | PA      | $979873.85    | 0.58%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Bank NA                              | Repurchase Agreement                                                              | CUSIP: 000000000<br>LEI: KB1H1DSPRFMYMCUFXT09 | Short            | RA               | CORP              | US        | -24202748 | PA      | $-24202747.55 | -14.34%           |  |  |  | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust              | Thornburg Mortgage Securities Trust                                               | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13895 | PA      | $13571.39     | 0.01%             | 2045-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31297VDF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49337 | PA      | $50845.54     | 0.03%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   4300000 | NC      | $95.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H022697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3400000 | PA      | $2857978.80   | 1.69%             | 2055-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MAFD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14412 | PA      | $14557.02     | 0.01%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27950 | PA      | $27617.98     | 0.02%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132Y0FE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53622 | PA      | $49918.72     | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MMWN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123937 | PA      | $119649.07    | 0.07%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1600000 | NC      | $955.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3620ALAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24580 | PA      | $25463.95     | 0.02%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128PXVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20635 | PA      | $20391.02     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617HF3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126048 | PA      | $125030.09    | 0.07%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36192S2Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337205 | PA      | $305411.39    | 0.18%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31347AKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341203 | PA      | $349363.16    | 0.21%             | 2041-11-01      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Option                                                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-5799.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5500000 | OU      | $144053.80    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -2300000 | NC      | $-1983.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M6V96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90471 | PA      | $92636.78     | 0.05%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3620ASG94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29175 | PA      | $29515.66     | 0.02%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540649 | PA      | $540987.43    | 0.32%             | 2065-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140J9AX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106367 | PA      | $103520.78    | 0.06%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412M2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30098 | PA      | $30365.52     | 0.02%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2045 | PA      | $2050.64      | 0.00%             | 2027-01-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410CME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       172 | PA      | $179.61       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4288655 | PA      | $3577390.54   | 2.12%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QGPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025598 | PA      | $841997.78    | 0.50%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140JLYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75626 | PA      | $72964.98     | 0.04%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 31398SXJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95131 | PA      | $94306.23     | 0.06%             | 2040-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17001 | PA      | $16485.56     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030686<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11750000 | PA      | $-10056930.75 | -5.96%            | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2842 | PA      | $2929.25      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2560582.80   | 1.52%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   4200000 | NC      | $19456.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312930UC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120784 | PA      | $117751.56    | 0.07%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M6NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13697 | PA      | $14024.96     | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M7CQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16200 | PA      | $16658.98     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2200000 | OU      | $6195.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EP6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104350 | PA      | $107045.87    | 0.06%             | 2036-01-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8255 | PA      | $7962.03      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   2500000 | NC      | $4967.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31403SGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $414.29       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36197DZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153994 | PA      | $145230.26    | 0.09%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52177 | PA      | $46949.35     | 0.03%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412XNK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28262 | PA      | $29024.69     | 0.02%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128KLQQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174245 | PA      | $179452.41    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36188KDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276233 | PA      | $244677.35    | 0.15%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B7PS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86477 | PA      | $74073.37     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398WJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27732 | PA      | $1376.39      | 0.00%             | 2037-10-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $271944.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181686 | PA      | $172491.68    | 0.10%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202KY66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       292 | PA      | $291.66       | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31393QQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262152 | PA      | $227650.69    | 0.13%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C64K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170722 | PA      | $162377.00    | 0.10%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QAEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110344 | PA      | $109508.34    | 0.06%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36184XCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38324 | PA      | $35126.78     | 0.02%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GBLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51904 | PA      | $48603.35     | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G8N41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127457 | PA      | $116641.27    | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417BFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143663 | PA      | $133819.99    | 0.08%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31407HN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7454 | PA      | $7760.64      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22448 | PA      | $19773.66     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138MGMJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808330 | PA      | $729658.82    | 0.43%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MMWE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227882 | PA      | $220120.87    | 0.13%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G0JC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147938 | PA      | $138584.49    | 0.08%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412RD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25274 | PA      | $25012.28     | 0.01%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398W2S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17643 | PA      | $972.19       | 0.00%             | 2037-05-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust                                                          | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250498 | PA      | $238905.55    | 0.14%             | 2049-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3129456E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77859 | PA      | $78330.46     | 0.05%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2900000 | OU      | $-3004.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1353 | PA      | $1352.82      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138X5ND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107290 | PA      | $105092.30    | 0.06%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust       | Bear Stearns Asset-Backed Securities Trust                                        | CUSIP: 073879GZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895107 | PA      | $899025.00    | 0.53%             | 2034-08-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17408 | PA      | $17208.50     | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | Swaption                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   2500000 | NC      | $0.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust          | Federal Home Loan Mortgage Corp. Whole Loan Securities Trust                      | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316831 | PA      | $271681.95    | 0.16%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312946LX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15670 | PA      | $15764.77     | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NRGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82615 | PA      | $80815.33     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307439 | PA      | $296813.31    | 0.18%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132Y0UU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40909 | PA      | $38084.09     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36196YDX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29880 | PA      | $28179.33     | 0.02%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31288JZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $201.90       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F052698<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6500000 | PA      | $-6460506.00  | -3.83%            | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31426MDM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1091796 | PA      | $1121716.45   | 0.66%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GT6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130150 | PA      | $119004.95    | 0.07%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419KK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $559.25       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M8CY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29898 | PA      | $30202.10     | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030488<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1345000 | PA      | $1274006.87   | 0.76%             | 2039-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57960 | PA      | $52006.23     | 0.03%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136BR4S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1496699 | PA      | $1496649.84   | 0.89%             | 2051-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                            | Option                                                                            | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   1500000 | NC      | $111.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131XBX53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46783 | PA      | $45051.43     | 0.03%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LXE97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $186.42       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ATUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230463 | PA      | $26233.54     | 0.02%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136A9SC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100408 | PA      | $98307.44     | 0.06%             | 2042-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KLTN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1421034 | PA      | $1217176.96   | 0.72%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31392XF29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82404 | PA      | $8395.71      | 0.00%             | 2032-02-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EKRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572884 | PA      | $533861.60    | 0.32%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ATY81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30416 | PA      | $1296.29      | 0.00%             | 2046-10-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133BSNZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414019 | PA      | $394585.65    | 0.23%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417DHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1645430 | PA      | $1573852.70   | 0.93%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36178SUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3419 | PA      | $3329.26      | 0.00%             | 2045-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -900000 | NC      | $-484.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G82B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33220 | PA      | $31098.75     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CCBCYHUS5 CCPC BARC COC                          | Collateral Position                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    272000 | NS      | $272000.00    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X5SX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85805 | PA      | $76974.53     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ARXE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97769 | PA      | $9717.01      | 0.01%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BTBB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68841 | PA      | $62999.87     | 0.04%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7600000 | OU      | $-45968.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295LNS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6352 | PA      | $6355.90      | 0.00%             | 2027-10-01      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    179000 | PA      | $177402.47    | 0.11%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137FQLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215519 | PA      | $209442.51    | 0.12%             | 2050-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398QFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3900 | PA      | $3888.84      | 0.00%             | 2038-02-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -1700000 | NC      | $-6184.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Repurchase Agreement                                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Short            | RA               | CORP              | US        |  -2855550 | PA      | $-2855550.05  | -1.69%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      1000 | PA      | $987.88       | 0.00%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CB88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       369 | PA      | $368.85       | 0.00%             | 2027-04-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617ALXP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50041 | PA      | $46944.15     | 0.03%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133BULB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509095 | PA      | $498212.74    | 0.30%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M7HN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       510 | PA      | $525.18       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31384VYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8255 | PA      | $8301.44      | 0.00%             | 2030-05-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36295XFV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4480 | PA      | $4724.61      | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38379TGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119886 | PA      | $7150.64      | 0.00%             | 2042-06-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376T6N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195020 | PA      | $7987.35      | 0.00%             | 2045-09-20      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140LKDW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $298098.15    | 0.18%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M5DQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       845 | PA      | $869.26       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc        | Structured Asset Mortgage Investments II Trust                                    | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118683 | PA      | $107197.32    | 0.06%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286820 | PA      | $275665.67    | 0.16%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GLVF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29005 | PA      | $27152.50     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96439 | PA      | $93349.07     | 0.06%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140E6J78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566355 | PA      | $536129.82    | 0.32%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295LNT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       904 | PA      | $899.70       | 0.00%             | 2025-11-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GS2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68481 | PA      | $64280.41     | 0.04%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36176MN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197121 | PA      | $194660.14    | 0.12%             | 2030-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2000000 | OU      | $275413.46    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B6UH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405541 | PA      | $350053.86    | 0.21%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128HDQ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14826 | PA      | $14850.49     | 0.01%             | 2029-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179NJC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3571 | PA      | $3518.39      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31296MYG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41470 | PA      | $41842.58     | 0.02%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030694<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -42750000 | PA      | $-36596907.00 | -21.69%           | 2055-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20826 | PA      | $21425.79     | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132GDFU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32017 | PA      | $32209.97     | 0.02%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36295NJ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71706 | PA      | $74305.18     | 0.04%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AASW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1385490 | PA      | $1341867.02   | 0.80%             | 2027-12-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1293 | PA      | $1296.19      | 0.00%             | 2030-04-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BCL55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27402 | PA      | $1465.23      | 0.00%             | 2037-03-15      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B5XG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122875 | PA      | $101570.63    | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   1800000 | NC      | $128111.22    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202EWV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       871 | PA      | $913.35       | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137AJKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70759 | PA      | $4185.98      | 0.00%             | 2038-06-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179NDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5162 | PA      | $5061.41      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.               | Chevy Chase Funding LLC Mortgage-Backed Certificates                              | CUSIP: 16678RAS6<br>LEI: 5493000I2UKXKSXK3222 | Long             | ABS-MBS          | CORP              | US        |      5620 | PA      | $5484.21      | 0.00%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2200000 | OU      | $101491.48    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372226 | PA      | $336242.27    | 0.20%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AYC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1136 | PA      | $1121.64      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H2ZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84482 | PA      | $77354.78     | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38379FDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110267 | PA      | $5257.85      | 0.00%             | 2042-06-20      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust               | Renaissance Home Equity Loan Trust                                                | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86253 | PA      | $78188.84     | 0.05%             | 2033-08-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 31398TDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272183 | PA      | $20698.27     | 0.01%             | 2040-07-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9299 | PA      | $9567.13      | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AC5B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278415 | PA      | $31794.80     | 0.02%             | 2042-07-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133ATY47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128304 | PA      | $111485.88    | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $28174.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418773 | PA      | $343655.26    | 0.20%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410PTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12619 | PA      | $13172.59     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $33698.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust          | Amortizing Residential Collateral Trust                                           | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64950 | PA      | $64964.80     | 0.04%             | 2034-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341881 | PA      | $329042.88    | 0.20%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M4LT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15714 | PA      | $16158.87     | 0.01%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  23300000 | NC      | $186.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9018 | PA      | $9008.13      | 0.01%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AQUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71326 | PA      | $65273.22     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36178WGL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25039 | PA      | $22564.99     | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140J84U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83125 | PA      | $82565.93     | 0.05%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYXH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1737 | PA      | $1563.17      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3330263 | PA      | $2907762.35   | 1.72%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36190VGT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277230 | PA      | $254204.90    | 0.15%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418EUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637957 | PA      | $1591727.50   | 0.94%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199145 | PA      | $192752.23    | 0.11%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419DR45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $50.16        | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140Q8N84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68067 | PA      | $63887.39     | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56979 | PA      | $55871.88     | 0.03%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1316 | PA      | $1316.77      | 0.00%             | 2028-01-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G9GA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19530 | PA      | $18282.77     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36184CJV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240482 | PA      | $210167.67    | 0.12%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320357 | PA      | $304549.02    | 0.18%             | 2050-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418DKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99915 | PA      | $96683.07     | 0.06%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31292HPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       394 | PA      | $400.76       | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138A6H37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3578 | PA      | $3560.46      | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31411JTS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2334 | PA      | $2489.28      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BREM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123609 | PA      | $113120.34    | 0.07%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                  | Venture 33 CLO Ltd.                                                               | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |    167328 | PA      | $167415.37    | 0.10%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1300000 | OU      | $83253.22     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HPJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18902 | PA      | $18819.16     | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64800 | PA      | $65450.99     | 0.04%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36294NMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27451 | PA      | $29074.75     | 0.02%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AW4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24223 | PA      | $23936.65     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419AYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605820 | PA      | $583156.75    | 0.35%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132ADW38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80573 | PA      | $78341.03     | 0.05%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11933 | PA      | $11701.35     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25126 | PA      | $24756.98     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376375 | PA      | $366194.82    | 0.22%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X4Y59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482200 | PA      | $413758.70    | 0.25%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYYH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209811 | PA      | $205561.12    | 0.12%             | 2043-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QHKU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1786030 | PA      | $1529811.79   | 0.91%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1400000 | OU      | $103467.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F050494<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2204554.00   | 1.31%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C2ME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428487 | PA      | $417709.41    | 0.25%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                     | State Street Institutional U.S. Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   1429950 | NS      | $1429949.60   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust   | Structured Adjustable Rate Mortgage Loan Trust                                    | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72861 | PA      | $66221.97     | 0.04%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Federal National Mortgage Association-ACES                                        | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582609 | PA      | $34473.29     | 0.02%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   2000000 | NC      | $13929.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    900000 | NC      | $60367.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31415PYW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44895 | PA      | $46130.68     | 0.03%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QC5P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3460955 | PA      | $3110265.50   | 1.84%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31374GW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3796 | PA      | $3827.48      | 0.00%             | 2027-12-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60193 | PA      | $58682.13     | 0.03%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36195XZ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194760 | PA      | $188713.25    | 0.11%             | 2047-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XDFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154508 | PA      | $132342.55    | 0.08%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57859 | PA      | $58555.06     | 0.03%             | 2063-08-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $110403.20    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136APU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79957 | PA      | $4316.90      | 0.00%             | 2055-08-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418MNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1455 | PA      | $1437.90      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NMS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172731 | PA      | $164385.52    | 0.10%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38375B5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110266 | PA      | $110523.19    | 0.07%             | 2063-05-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BUZB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52750 | PA      | $48762.03     | 0.03%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WWL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23386 | PA      | $22882.02     | 0.01%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31294MKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3292 | PA      | $3255.92      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136A9HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36376 | PA      | $23736.89     | 0.01%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131XCH83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19204 | PA      | $18405.13     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138LT4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212871 | PA      | $210666.04    | 0.12%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31411BFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44097 | PA      | $46031.65     | 0.03%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Equity Conversion Asset Trust           | Mortgage Equity Conversion Asset Trust                                            | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653214 | PA      | $596624.13    | 0.35%             | 2042-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LXPZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1497 | PA      | $1532.90      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1600000 | OU      | $32176.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FXLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855303 | PA      | $757634.59    | 0.45%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1100000 | OU      | $-5182.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M6NV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11478 | PA      | $11835.57     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QED66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526036 | PA      | $452287.13    | 0.27%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EKDV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50374 | PA      | $51420.76     | 0.03%             | 2035-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X5VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1433178 | PA      | $1229760.16   | 0.73%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H23C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120410 | PA      | $110099.64    | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Federal Home Loan Mortgage Corp. STRIPS                                           | CUSIP: 31325UEH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345813 | PA      | $56765.26     | 0.03%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2050000 | PA      | $1886998.35   | 1.12%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -1100000 | NC      | $-515.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       948 | PA      | $947.74       | 0.00%             | 2027-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133BWGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466473 | PA      | $444136.57    | 0.26%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ADMT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542310 | PA      | $39423.06     | 0.02%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25011 | PA      | $24688.43     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617B4JZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10195 | PA      | $9563.58      | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132A9UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45604 | PA      | $43277.75     | 0.03%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TK6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       209 | PA      | $13.13        | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417F3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178985 | PA      | $160894.86    | 0.10%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Federal National Mortgage Association Interest STRIPS                             | CUSIP: 31423YS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911017 | PA      | $173582.54    | 0.10%             | 2053-04-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MYC CAS H COLL BROKER             | Collateral Position                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -270000 | NS      | $-270000.00   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31335BMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97023 | PA      | $91180.41     | 0.05%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M8NN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34062 | PA      | $35079.65     | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FNEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156463 | PA      | $147878.83    | 0.09%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128CUU87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134059 | PA      | $131050.32    | 0.08%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AWCL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9445 | PA      | $9332.77      | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NRNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183328 | PA      | $182735.07    | 0.11%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38383KNN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960593 | PA      | $963061.35    | 0.57%             | 2074-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137FHRY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530229 | PA      | $523281.73    | 0.31%             | 2038-04-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138YEGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16584 | PA      | $16144.38     | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109955 | PA      | $113379.14    | 0.07%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456968 | PA      | $399329.38    | 0.24%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1784830.77   | 1.06%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $749.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31413ECZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11796 | PA      | $12627.24     | 0.01%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $99282.49     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CFM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       165 | PA      | $164.59       | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Federal Home Loan Mortgage Corp. STRIPS                                           | CUSIP: 3132HT3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202737 | PA      | $201556.11    | 0.12%             | 2044-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                          | Fremont Home Loan Trust                                                           | CUSIP: 35729PCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237002 | PA      | $225735.44    | 0.13%             | 2034-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188405 | PA      | $172762.23    | 0.10%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QSUR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538227 | PA      | $517458.33    | 0.31%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36296TQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35667 | PA      | $36971.00     | 0.02%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QMRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380771 | PA      | $326146.45    | 0.19%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241LKU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83450 | PA      | $81975.96     | 0.05%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XGWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593074 | PA      | $490246.97    | 0.29%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BHGF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46617 | PA      | $2557.08      | 0.00%             | 2038-02-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BEV43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24325 | PA      | $1315.73      | 0.00%             | 2041-08-15      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C5S44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298762 | PA      | $293647.41    | 0.17%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9430 | PA      | $9291.66      | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137AYSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385670 | PA      | $19962.27     | 0.01%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GQJL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48892 | PA      | $45204.43     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AMEE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68657 | PA      | $3674.64      | 0.00%             | 2045-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617HPC44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11426 | PA      | $11542.98     | 0.01%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H032696<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $89585.10     | 0.05%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FM45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101734 | PA      | $95504.40     | 0.06%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   5600000 | OU      | $-105452.09   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3900000 | OU      | $102292.32    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50783 | PA      | $50651.72     | 0.03%             | 2044-03-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   2000000 | NC      | $132391.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407283 | PA      | $395953.00    | 0.23%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AKPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76160 | PA      | $3008.08      | 0.00%             | 2044-07-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C3WT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116592 | PA      | $113839.74    | 0.07%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                      | Merrill Lynch Mortgage Investors Trust                                            | CUSIP: 59020UNP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43505 | PA      | $41065.74     | 0.02%             | 2034-12-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Federal National Mortgage Association Interest STRIPS                             | CUSIP: 3136FFSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25421 | PA      | $5774.90      | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1700000 | OU      | $9479.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1100000 | NC      | $-148.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F062689<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3500000 | PA      | $-3609410.00  | -2.14%            | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  -1100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138XC3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25946 | PA      | $25415.35     | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140J9CV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52273 | PA      | $48691.37     | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FT5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7280 | PA      | $6841.95      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   1000000 | NC      | $72583.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38375JD69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8558 | PA      | $8107.78      | 0.00%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NLN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504096 | PA      | $495465.62    | 0.29%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   2500000 | NC      | $329.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BMQG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817579 | PA      | $142305.26    | 0.08%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4200000 | OU      | $52290.42     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132A4FG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       560 | PA      | $519.91       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31406WXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5060 | PA      | $5268.31      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131XDBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6263 | PA      | $5956.06      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    600000 | OU      | $66216.29     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11360000 | PA      | $10776652.64  | 6.39%             | 2055-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   2500000 | NC      | $1231.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410GLR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15113 | PA      | $15813.97     | 0.01%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31281BMU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8939 | PA      | $8905.72      | 0.01%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  38700000 | NC      | $3.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36210YME2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1964 | PA      | $1960.36      | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3622AAAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1475836 | PA      | $1350603.52   | 0.80%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QNNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328175 | PA      | $270797.84    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates          | WaMu Mortgage Pass-Through Certificates Trust                                     | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20907 | PA      | $20348.67     | 0.01%             | 2033-09-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155146 | PA      | $139601.41    | 0.08%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AKKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137956 | PA      | $7897.64      | 0.00%             | 2044-07-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3170 | PA      | $3163.36      | 0.00%             | 2061-08-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31416YT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140600 | PA      | $138447.24    | 0.08%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TCW Ltd                                          | TCW CLO Ltd.                                                                      | CUSIP: 87252MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501107.00    | 0.30%             | 2037-01-16      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AUKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110850 | PA      | $101444.14    | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X6ST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309004 | PA      | $1215395.09   | 0.72%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128P7AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $269.75       | 0.00%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31294MKQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35464 | PA      | $35060.83     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AKUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68484 | PA      | $4476.72      | 0.00%             | 2044-08-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7000000 | OU      | $39451.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31407LQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11803 | PA      | $12292.38     | 0.01%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ERM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450152 | PA      | $438390.07    | 0.26%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X5KC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69289 | PA      | $71978.94     | 0.04%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419AE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126502 | PA      | $129983.77    | 0.08%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418DNC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89264 | PA      | $86366.29     | 0.05%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2200000 | OU      | $54296.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AXWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8671 | PA      | $8563.43      | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032690<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -15250000 | PA      | $-13608337.50 | -8.07%            | 2054-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust          | Federal Home Loan Mortgage Corp. Whole Loan Securities Trust                      | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170505 | PA      | $148379.82    | 0.09%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419AVH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112366 | PA      | $117571.72    | 0.07%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F012486<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    824000 | PA      | $727356.34    | 0.43%             | 2039-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22057 | PA      | $21794.89     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LXEN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5905 | PA      | $5979.23      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295LNX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4627 | PA      | $4625.70      | 0.00%             | 2029-01-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31281BRQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1008 | PA      | $1000.79      | 0.00%             | 2037-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417YT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112 | PA      | $111.37       | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31371MBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4385 | PA      | $4565.94      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KKVH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973375 | PA      | $799161.03    | 0.47%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1277141 | PA      | $1124992.10   | 0.67%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295KYF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       710 | PA      | $717.72       | 0.00%             | 2029-12-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3620ACVF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2652 | PA      | $2683.21      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-496.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31371ND51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3122 | PA      | $3149.26      | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323494 | PA      | $293681.21    | 0.17%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BMC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59794 | PA      | $54719.89     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417C5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885550 | PA      | $1803526.97   | 1.07%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WFF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19067 | PA      | $17511.84     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GNHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483658 | PA      | $472190.54    | 0.28%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38379GWG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125239 | PA      | $5061.40      | 0.00%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417MS95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106448 | PA      | $102552.46    | 0.06%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS    | Chase Funding Trust                                                               | CUSIP: 161546DQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3759 | PA      | $3726.74      | 0.00%             | 2032-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132D54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318031 | PA      | $307612.32    | 0.18%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust       | Bear Stearns Asset-Backed Securities I Trust                                      | CUSIP: 073879BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274064 | PA      | $264118.53    | 0.16%             | 2034-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 31396WPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23302 | PA      | $23005.58     | 0.01%             | 2037-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185355 | PA      | $178743.08    | 0.11%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C64F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75681 | PA      | $73917.62     | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138X6ZL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23914 | PA      | $21496.58     | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                   | Option One Mortgage Loan Trust                                                    | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42817 | PA      | $23999.06     | 0.01%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3622A24S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417419 | PA      | $381999.14    | 0.23%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152193 | PA      | $136943.81    | 0.08%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XBLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48608 | PA      | $43682.90     | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QKGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692917 | PA      | $594351.02    | 0.35%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31404KMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8880 | PA      | $9144.92      | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398KZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10934 | PA      | $475.85       | 0.00%             | 2037-10-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ENEN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93377 | PA      | $91170.83     | 0.05%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NRNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193555 | PA      | $193403.71    | 0.11%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3300000 | OU      | $34273.47     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36196CZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85547 | PA      | $82883.12     | 0.05%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3622AC3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1693318 | PA      | $1533660.80   | 0.91%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F070690<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2937900.00   | 1.74%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11750000 | PA      | $10056930.75  | 5.96%             | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1400000 | OU      | $4138.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202KUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21 | PA      | $20.84        | 0.00%             | 2025-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X8RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410648 | PA      | $352837.92    | 0.21%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WEXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3299 | PA      | $3122.76      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Option                                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -4000000 | NC      | $-1715.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36295FGG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4079 | PA      | $4343.13      | 0.00%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147097 | PA      | $145630.59    | 0.09%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F012684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2226840.00   | 1.32%             | 2054-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138A9RW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1091 | PA      | $1085.53      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1900000 | NC      | $-1478.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   4500000 | NC      | $2873.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2491117.50   | 1.48%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617B4GK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39120 | PA      | $36699.11     | 0.02%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XJHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493193 | PA      | $471729.41    | 0.28%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Multifamily Housing Mortgage Loan Trust                                           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1094483 | PA      | $1024572.67   | 0.61%             | 2054-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HPNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35160 | PA      | $34163.10     | 0.02%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3000000 | OU      | $113098.35    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180609 | PA      | $165614.27    | 0.10%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 31397NXK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206458 | PA      | $207739.11    | 0.12%             | 2037-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241LHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88074 | PA      | $91243.84     | 0.05%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28193 | PA      | $27830.15     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XFNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187067 | PA      | $168159.90    | 0.10%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38378PAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614756 | PA      | $51805.10     | 0.03%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AXB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230829 | PA      | $221851.95    | 0.13%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust          | Federal Home Loan Mortgage Corp. Whole Loan Securities Trust                      | CUSIP: 3137G1BL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362050 | PA      | $317111.13    | 0.19%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36195EUQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132237 | PA      | $128131.26    | 0.08%             | 2046-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1400000 | OU      | $4108.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   3300000 | NC      | $15.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417F3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73666 | PA      | $66220.66     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376MCQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101417 | PA      | $3860.15      | 0.00%             | 2045-08-20      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31349TD40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156559 | PA      | $160509.94    | 0.10%             | 2034-09-01      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132D9BT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    893716 | PA      | $828468.70    | 0.49%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31406RSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171678 | PA      | $183181.00    | 0.11%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WCM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282412 | PA      | $276220.42    | 0.16%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498361 | PA      | $422797.39    | 0.25%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128S3JQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128695 | PA      | $111988.61    | 0.07%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3456 | PA      | $3445.73      | 0.00%             | 2029-12-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36296P5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9481 | PA      | $9816.97      | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396GWP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44062 | PA      | $43652.57     | 0.03%             | 2036-01-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 01N040686<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $923744.52    | 0.55%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3700000 | OU      | $72430.83     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323773 | PA      | $1093120.62   | 0.65%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       226 | PA      | $225.41       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416467 | PA      | $381127.17    | 0.23%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation          | Structured Asset Securities Corp. Trust                                           | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    636851 | PA      | $608009.37    | 0.36%             | 2035-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1238 | PA      | $1242.70      | 0.00%             | 2030-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    989273 | PA      | $1003336.81   | 0.59%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ADNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199239 | PA      | $22839.57     | 0.01%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    600000 | OU      | $57311.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179XS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    788122 | PA      | $691075.40    | 0.41%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KMDF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691763 | PA      | $592524.64    | 0.35%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418EJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80423 | PA      | $78524.53     | 0.05%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HSNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $496454.80    | 0.29%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202KZM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2419 | PA      | $2414.09      | 0.00%             | 2026-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CPL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6892 | PA      | $6923.96      | 0.00%             | 2030-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2800000 | OU      | $59557.40     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105010 | PA      | $105225.41    | 0.06%             | 2066-06-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417A6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20274 | PA      | $20003.31     | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312945ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3692 | PA      | $3714.67      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132D53J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20702 | PA      | $20081.07     | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  17500000 | OU      | $-1151461.32  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137ABE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157336 | PA      | $157856.24    | 0.09%             | 2039-03-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H4UM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20802 | PA      | $19524.37     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CGM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64012 | PA      | $61885.17     | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GQNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4501 | PA      | $4230.56      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136A7RY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35228 | PA      | $34821.31     | 0.02%             | 2042-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G1HC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44366 | PA      | $40601.19     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HNV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37671 | PA      | $36397.88     | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MMV26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65322 | PA      | $63199.88     | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108920 | PA      | $107670.77    | 0.06%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412QDL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49121 | PA      | $48460.21     | 0.03%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140L0RM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459814 | PA      | $341977.92    | 0.20%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                  | Venture 36 CLO Ltd.                                                               | CUSIP: 92332LAU3<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |    479959 | PA      | $480275.09    | 0.28%             | 2032-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Federal Home Loan Mortgage Corp. STRIPS                                           | CUSIP: 31325VRC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509557 | PA      | $76638.97     | 0.05%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417EK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33786 | PA      | $32025.16     | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2473 | PA      | $2478.22      | 0.00%             | 2030-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36297DCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25434 | PA      | $25768.04     | 0.02%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M86H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53410 | PA      | $54923.29     | 0.03%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42042 | PA      | $39190.85     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AP3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72493 | PA      | $2856.60      | 0.00%             | 2045-09-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617ALZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19473 | PA      | $18267.38     | 0.01%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132AC2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1369066 | PA      | $1284490.59   | 0.76%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162421 | PA      | $156425.38    | 0.09%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       567 | PA      | $574.20       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36297GVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342891 | PA      | $303982.18    | 0.18%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48245 | PA      | $46780.62     | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    900000 | NC      | $61985.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AP7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176805 | PA      | $107492.39    | 0.06%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Federal National Mortgage Association-ACES                                        | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368136 | PA      | $333610.11    | 0.20%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AQHV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77199 | PA      | $70648.67     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128PXS80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16367 | PA      | $16173.36     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1300000 | NC      | $-800.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617HRSQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161452 | PA      | $154776.96    | 0.09%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20000000 | PA      | $17474380.00  | 10.36%            | 2049-09-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EP2Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521248 | PA      | $535695.23    | 0.32%             | 2037-10-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617AN3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81078 | PA      | $74198.16     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140W1NN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594253 | PA      | $568391.66    | 0.34%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4300000 | OU      | $20110.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B7U63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141419 | PA      | $122069.53    | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   3800000 | NC      | $14.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132VLSJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117403 | PA      | $109294.39    | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LCMA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105891 | PA      | $106967.95    | 0.06%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137A06E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85282 | PA      | $4896.63      | 0.00%             | 2036-11-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| EquiFirst Loan Securitization Trust              | EquiFirst Loan Securitization Trust                                               | CUSIP: 29445UAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    953536 | PA      | $877257.22    | 0.52%             | 2037-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138A1L33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968 | PA      | $963.23       | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QNUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819449 | PA      | $701911.91    | 0.42%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FXM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581095 | PA      | $556955.56    | 0.33%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G02L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13917 | PA      | $13055.20     | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BU2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35270 | PA      | $32609.69     | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust           | Residential Asset Securitization Trust                                            | CUSIP: 76113NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184387 | PA      | $115675.43    | 0.07%             | 2036-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137ARPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335853 | PA      | $332402.13    | 0.20%             | 2042-06-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138M5KX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       629 | PA      | $620.72       | 0.00%             | 2032-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BUZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136425 | PA      | $126110.58    | 0.07%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132D55B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162631 | PA      | $157352.36    | 0.09%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                            | KKR CLO 28 Ltd.                                                                   | CUSIP: 48253WAL6<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500608.00    | 0.30%             | 2035-02-09      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EQCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58680 | PA      | $59594.23     | 0.04%             | 2041-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QBP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210963 | PA      | $218680.63    | 0.13%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128P7HN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       868 | PA      | $868.96       | 0.00%             | 2027-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202K2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1022 | PA      | $1020.00      | 0.00%             | 2026-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $-1104.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36292GT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6676 | PA      | $6807.51      | 0.00%             | 2036-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71030 | PA      | $63738.86     | 0.04%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    350000 | OU      | $2396.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-7956.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC             | PRET LLC                                                                          | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2555764 | PA      | $2544771.22   | 1.51%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       311 | PA      | $310.72       | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust                                                          | CUSIP: 46651DAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411966 | PA      | $392615.73    | 0.23%             | 2050-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3200000 | OU      | $78277.44     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132GEFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3539 | PA      | $3560.62      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31339NC79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5689 | PA      | $5686.36      | 0.00%             | 2032-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136292 | PA      | $119276.05    | 0.07%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148503 | PA      | $133623.56    | 0.08%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31288GY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       694 | PA      | $709.53       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397T3Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21538 | PA      | $20067.47     | 0.01%             | 2034-07-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XGAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976973 | PA      | $1838238.13   | 1.09%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XGWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483371 | PA      | $398859.79    | 0.24%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XH6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1478520 | PA      | $1221362.93   | 0.72%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137F6K55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615389 | PA      | $82437.06     | 0.05%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GUMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44970 | PA      | $40933.43     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | Swaption                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   4000000 | NC      | $37.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31413DQQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11128 | PA      | $11907.89     | 0.01%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136B3QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1176029 | PA      | $1160318.89   | 0.69%             | 2048-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WVX97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152200 | PA      | $141128.77    | 0.08%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C8TD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140412 | PA      | $137585.99    | 0.08%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179FWC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257801 | PA      | $230960.25    | 0.14%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | Swaption                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  14300000 | NC      | $5.72         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-3899.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295KGW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10470 | PA      | $10499.95     | 0.01%             | 2028-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137B0ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30069 | PA      | $1464.21      | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140LJ7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188000 | PA      | $188705.64    | 0.11%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140LLY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491000 | PA      | $503804.24    | 0.30%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295LNU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1212 | PA      | $1216.58      | 0.00%             | 2027-10-01      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617B0YJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91642 | PA      | $85753.23     | 0.05%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31405KNA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5669 | PA      | $5880.68      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21139 | PA      | $21786.99     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38375B8J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35267 | PA      | $35381.88     | 0.02%             | 2063-09-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QBDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628108 | PA      | $588862.58    | 0.35%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138XYZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7896 | PA      | $7772.05      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132XGMZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221351 | PA      | $201004.40    | 0.12%             | 2032-03-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS    | Chase Funding Trust                                                               | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106795 | PA      | $105299.98    | 0.06%             | 2032-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137B12W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451408 | PA      | $10493.33     | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137B5QX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    828981 | PA      | $735635.19    | 0.44%             | 2043-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241L6M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22609 | PA      | $22276.89     | 0.01%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DNBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252826 | PA      | $218262.87    | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G9MX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5200 | PA      | $4868.26      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H2ZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107488 | PA      | $98283.11     | 0.06%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3133TLUJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1942 | PA      | $187.07       | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312943K85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $3062.17      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49766 | PA      | $48277.98     | 0.03%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                            | Sycamore Tree CLO Ltd.                                                            | CUSIP: 87122CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400987.60    | 0.24%             | 2037-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X4VG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244269 | PA      | $209598.74    | 0.12%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31397JZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365323 | PA      | $31718.80     | 0.02%             | 2037-07-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237795 | PA      | $210516.28    | 0.12%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XCTU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378244 | PA      | $323986.58    | 0.19%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202KUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $4.20         | 0.00%             | 2025-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132J86D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104322 | PA      | $93891.58     | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31337NAV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4611 | PA      | $4611.08      | 0.00%             | 2028-06-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust       | Bear Stearns Asset-Backed Securities Trust                                        | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74192 | PA      | $83921.10     | 0.05%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FPL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27285 | PA      | $25794.39     | 0.02%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312943T86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7755 | PA      | $7809.12      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31281BHS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164454 | PA      | $164085.47    | 0.10%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    400000 | OU      | $-681.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376T5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168159 | PA      | $169298.46    | 0.10%             | 2060-01-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138LS6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546626 | PA      | $522878.59    | 0.31%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138XY7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5360 | PA      | $5233.28      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H6HW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11400 | PA      | $10699.65     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       455 | PA      | $474.00       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850567 | PA      | $1618342.05   | 0.96%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137FJJY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368350 | PA      | $226989.77    | 0.13%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140M5N76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432951 | PA      | $421798.28    | 0.25%             | 2043-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179MVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8000 | PA      | $8096.11      | 0.00%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31415YHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       469 | PA      | $463.88       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38378MAC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485619 | PA      | $50959.12     | 0.03%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ADQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227066 | PA      | $18283.89     | 0.01%             | 2042-08-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1400000 | OU      | $24171.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XHS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962768 | PA      | $865458.42    | 0.51%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AMZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168331 | PA      | $9052.69      | 0.01%             | 2045-03-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241KVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149076 | PA      | $154305.46    | 0.09%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36291FQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96896 | PA      | $87093.77     | 0.05%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32400000 | PA      | $32847768.00  | 19.47%            | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36291FRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335609 | PA      | $293414.04    | 0.17%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410WRX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5580 | PA      | $5629.20      | 0.00%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36295YXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44173 | PA      | $44552.90     | 0.03%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140Q8QN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759771 | PA      | $686783.70    | 0.41%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3000000 | OU      | $75858.90     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $603007.44    | 0.36%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       887 | PA      | $886.18       | 0.00%             | 2027-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36197MRM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75464 | PA      | $70793.79     | 0.04%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F020497<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1361959.50   | 0.81%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ATXU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33443 | PA      | $2647.40      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31391YUS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5268 | PA      | $5428.86      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1000000 | OU      | $94814.30     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1800000 | OU      | $31239.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50334 | PA      | $50580.72     | 0.03%             | 2030-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417HA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243051 | PA      | $237181.25    | 0.14%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Swaption                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   2500000 | NC      | $1.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138XZFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22926 | PA      | $22475.09     | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128PXV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2500 | PA      | $2470.62      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418EGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35347 | PA      | $31805.14     | 0.02%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132QLF24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124474 | PA      | $111188.40    | 0.07%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FUKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2183 | PA      | $2051.78      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       165 | NC      | $197917.52    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QCBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195593 | PA      | $171460.37    | 0.10%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F062697<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6900000 | PA      | $7109622.00   | 4.21%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       809 | PA      | $808.07       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202EYG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2138 | PA      | $2277.00      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132J9GR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63305 | PA      | $57029.50     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H22E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97800 | PA      | $89424.93     | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136B3M72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1843547 | PA      | $1824748.77   | 1.08%             | 2049-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   2500000 | NC      | $336.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AWBD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5576 | PA      | $5509.85      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38379MX90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114673 | PA      | $5447.31      | 0.00%             | 2043-06-20      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331829 | PA      | $347666.96    | 0.21%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ARWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52841 | PA      | $2490.91      | 0.00%             | 2046-04-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 11                                                         | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59437 | PA      | $51480.19     | 0.03%             | 2032-12-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1584 | PA      | $1595.13      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2847 | PA      | $2865.88      | 0.00%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417AXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25919 | PA      | $25585.28     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       153 | PA      | $153.41       | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36195ETX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7557 | PA      | $7322.50      | 0.00%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417GQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1594 | PA      | $1480.85      | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179DWV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19303 | PA      | $17321.72     | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KNX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442874 | PA      | $366089.09    | 0.22%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8073460.00   | 4.79%             | 2055-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454675 | PA      | $1331064.40   | 0.79%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138YRQP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21505 | PA      | $20930.98     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418ETR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919863 | PA      | $893900.79    | 0.53%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GNKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91082 | PA      | $85495.59     | 0.05%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132A9TZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197405 | PA      | $187690.57    | 0.11%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418MT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1139 | PA      | $1126.15      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | Swaption                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  11200000 | NC      | $1.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138YTCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5884 | PA      | $5570.35      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14738 | PA      | $14859.62     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117967 | PA      | $114180.50    | 0.07%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36196JFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87034 | PA      | $79648.43     | 0.05%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   2500000 | NC      | $712.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160965 | PA      | $159359.94    | 0.09%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | Swaption                                                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1973.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140X3CN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873094 | PA      | $1631824.43   | 0.97%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71923 | PA      | $70865.02     | 0.04%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WTRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35256 | PA      | $31692.57     | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F042483<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-790528.80   | -0.47%            | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AKTL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133728 | PA      | $6883.00      | 0.00%             | 2054-08-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31405XNA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53322 | PA      | $54915.49     | 0.03%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6204 | PA      | $6278.39      | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $658.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136APNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426826 | PA      | $24321.54     | 0.01%             | 2045-07-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9650000 | PA      | $7906476.60   | 4.69%             | 2054-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140Q9PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54414 | PA      | $52915.10     | 0.03%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                 | Soundview Home Loan Trust                                                         | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499275 | PA      | $337012.16    | 0.20%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DVM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2967963 | PA      | $3054056.90   | 1.81%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31292JBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2462 | PA      | $2489.36      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410F5M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53242 | PA      | $54678.41     | 0.03%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31413FYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23768 | PA      | $25443.54     | 0.02%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates            | Countrywide Asset-Backed Certificates Trust                                       | CUSIP: 1266715K8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9179 | PA      | $9562.57      | 0.01%             | 2034-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419AP35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328434 | PA      | $353316.52    | 0.21%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KNYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149673 | PA      | $123504.62    | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31407A6M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       977 | PA      | $1017.12      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1200000 | OU      | $22729.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136APDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22048 | PA      | $1265.38      | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $2015.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                         | KGS-Alpha SBA COOF Trust                                                          | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   4059924 | PA      | $81198.49     | 0.05%             | 2038-04-25      | Variable      | 1.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2982 | PA      | $2734.72      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31426MCP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5012558 | PA      | $5152332.89   | 3.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Federal Home Loan Mortgage Corp. STRIPS                                           | CUSIP: 31325YRU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4175611 | PA      | $655013.97    | 0.39%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202ESA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45001 | PA      | $45539.68     | 0.03%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224184 | PA      | $217932.33    | 0.13%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138LX2V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205254 | PA      | $196331.96    | 0.12%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HFFC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49398 | PA      | $45944.76     | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $17002.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136A6H98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79475 | PA      | $3842.98      | 0.00%             | 2052-07-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138X5HN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12584 | PA      | $12268.37     | 0.01%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38379FE39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117278 | PA      | $10773.59     | 0.01%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140J8BG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78199 | PA      | $75165.38     | 0.04%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -900000 | NC      | $-1572.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FXDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626179 | PA      | $561566.26    | 0.33%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Federal National Mortgage Association Interest STRIPS                             | CUSIP: 31395Q5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73581 | PA      | $9893.27      | 0.01%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HCAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29516 | PA      | $27653.12     | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128C6N21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29520 | PA      | $30355.41     | 0.02%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36296B6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5919 | PA      | $6190.08      | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241LCR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88508 | PA      | $91707.00     | 0.05%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WEX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1138702 | PA      | $1045816.81   | 0.62%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5853000.00   | 3.47%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2112 | PA      | $2172.77      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140MUM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6886 | PA      | $6196.43      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1300000 | OU      | $33484.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38383KVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    479893 | PA      | $479237.16    | 0.28%             | 2074-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G1A73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51058 | PA      | $46725.05     | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31405PYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31715 | PA      | $32901.36     | 0.02%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412PXC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1605 | PA      | $1586.22      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   5500000 | NC      | $2.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38383KMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850598 | PA      | $1858954.72   | 1.10%             | 2074-01-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 31392EVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24199 | PA      | $24142.02     | 0.01%             | 2032-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30850000 | PA      | $24130931.70  | 14.30%            | 2054-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26514 | PA      | $26325.66     | 0.02%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36178WPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166284 | PA      | $153498.00    | 0.09%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1700000 | NC      | $306.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C9HP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92224 | PA      | $90210.72     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386712 | PA      | $342351.12    | 0.20%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XHDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69266 | PA      | $64520.31     | 0.04%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459343 | PA      | $379603.64    | 0.22%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617B0TG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80552 | PA      | $73716.53     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3100000 | OU      | $42766.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36291FQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336689 | PA      | $294358.73    | 0.17%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KMHX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1378222 | PA      | $1180521.38   | 0.70%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31407CGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       499 | PA      | $519.36       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $32565.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DNBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654876 | PA      | $566444.49    | 0.34%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138X1RR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70118 | PA      | $68421.58     | 0.04%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418EFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274870 | PA      | $247330.08    | 0.15%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust                                               | CUSIP: 36266PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392668 | PA      | $1118362.67   | 0.66%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99233 | PA      | $102277.01    | 0.06%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31371MCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       443 | PA      | $461.60       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ETY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676189 | PA      | $669181.34    | 0.40%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MMWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129518 | PA      | $124910.48    | 0.07%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      1000 | PA      | $990.58       | 0.00%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9571 | PA      | $9589.75      | 0.01%             | 2030-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ANJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126315 | PA      | $5988.87      | 0.00%             | 2055-04-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307426 | PA      | $312539.27    | 0.19%             | 2038-05-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418C7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50242 | PA      | $48838.51     | 0.03%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202K5J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1229 | PA      | $1225.49      | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NGBN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113311 | PA      | $107711.47    | 0.06%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241K5X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16964 | PA      | $17576.49     | 0.01%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                   | BCAP LLC Trust                                                                    | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122111 | PA      | $82030.19     | 0.05%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31406YYK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3172 | PA      | $3302.48      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CP83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       781 | PA      | $782.43       | 0.00%             | 2030-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617ATYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69214 | PA      | $63341.05     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EP2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538290 | PA      | $527575.79    | 0.31%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140JNRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27308 | PA      | $27113.01     | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241KQ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       680 | PA      | $704.02       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                             | Diameter Capital CLO 6 Ltd.                                                       | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $702805.60    | 0.42%             | 2037-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172453 | PA      | $170199.55    | 0.10%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCBCYXUS0 BARCLAYS COC FUTURES                   | Collateral Position                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    364000 | NS      | $364000.00    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QPR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419533 | PA      | $361064.82    | 0.21%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75733 | PA      | $76263.73     | 0.05%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   7100000 | NC      | $21.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36292DT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37955 | PA      | $39502.33     | 0.02%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $1867.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AG3P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163324 | PA      | $9865.32      | 0.01%             | 2043-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36209BHT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48 | PA      | $48.08        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617B4HP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73702 | PA      | $69140.65     | 0.04%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131Y94T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35989 | PA      | $34772.70     | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138W6GB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265447 | PA      | $238617.35    | 0.14%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31396HJ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257156 | PA      | $255348.14    | 0.15%             | 2036-02-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2910 | PA      | $2906.79      | 0.00%             | 2027-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138M0XQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1828 | PA      | $1800.43      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   3300000 | NC      | $23.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140LJ7K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $125470.71    | 0.07%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138YBHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2497 | PA      | $2370.61      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138E4Y47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36046 | PA      | $36582.64     | 0.02%             | 2042-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                      | Swaption                                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  20000000 | NC      | $306.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2400000 | OU      | $34028.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31297US43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12296 | PA      | $12673.08     | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FM7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10534 | PA      | $9886.96      | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202ERC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39276 | PA      | $39742.16     | 0.02%             | 2038-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MMW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229069 | PA      | $220860.48    | 0.13%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $169.61       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31416WP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19450 | PA      | $19248.59     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140HNVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131964 | PA      | $127504.70    | 0.08%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYWX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1320450 | PA      | $1188149.57   | 0.70%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    742452 | PA      | $617458.85    | 0.37%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3620ASY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       503 | PA      | $524.84       | 0.00%             | 2032-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059836 | PA      | $938673.47    | 0.56%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4200000 | OU      | $28961.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F052490<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1015420.00   | 0.60%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137FJE21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656510 | PA      | $394162.34    | 0.23%             | 2058-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GRAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90798 | PA      | $85228.99     | 0.05%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BKKP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86362 | PA      | $79033.82     | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1413353 | PA      | $1239668.18   | 0.73%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137B5QQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280545 | PA      | $241931.26    | 0.14%             | 2043-11-15      | Floating      | 0.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138A8WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2816 | PA      | $2801.28      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36181AYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24917 | PA      | $22359.13     | 0.01%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136715 | PA      | $133945.61    | 0.08%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132XXE47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8631 | PA      | $8096.43      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QSUT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1913341 | PA      | $1832697.54   | 1.09%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31416W6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       959 | PA      | $954.16       | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31404RZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5202 | PA      | $5184.25      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744049 | PA      | $764031.77    | 0.45%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EQ7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602233 | PA      | $578811.68    | 0.34%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128S4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145126 | PA      | $147724.87    | 0.09%             | 2036-11-01      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31416XR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6187 | PA      | $6155.06      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F0406A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -18125000 | PA      | $-16702622.50 | -9.90%            | 2055-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417EQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111610 | PA      | $105742.53    | 0.06%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     21000 | PA      | $20846.91     | 0.01%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169845 | PA      | $158357.44    | 0.09%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C5FZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678187 | PA      | $664977.13    | 0.39%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XCUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702969 | PA      | $585947.93    | 0.35%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 312942GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37707 | PA      | $37973.65     | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QKME5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1399408 | PA      | $1198652.93   | 0.71%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -1800000 | NC      | $-663.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F050692<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -200000 | PA      | $-194558.60   | -0.12%            | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust               | JP Morgan Alternative Loan Trust                                                  | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387155 | PA      | $230397.65    | 0.14%             | 2037-06-27      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38380CSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116413 | PA      | $5321.31      | 0.00%             | 2045-11-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31411KE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2765 | PA      | $2893.21      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       384 | PA      | $383.63       | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202K2M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       373 | PA      | $371.92       | 0.00%             | 2026-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2200000 | OU      | $68363.68     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QNL42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333438 | PA      | $275627.08    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MJCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6835 | PA      | $6920.79      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ECVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10221 | PA      | $9503.54      | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                           | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23859 | PA      | $8455.28      | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     22000 | PA      | $21893.48     | 0.01%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36291FN46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17293 | PA      | $15118.91     | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EQM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72240 | PA      | $74192.61     | 0.04%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138X2Q23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102093 | PA      | $99834.22     | 0.06%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138M1X60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       265 | PA      | $247.38       | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GQJU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33635 | PA      | $31098.81     | 0.02%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80604 | PA      | $77695.53     | 0.05%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    400000 | NC      | $22892.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136AS6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244773 | PA      | $26455.73     | 0.02%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418T2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.71         | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates            | Countrywide Asset-Backed Certificates                                             | CUSIP: 1266713Y0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51385 | PA      | $50422.87     | 0.03%             | 2034-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates            | Countrywide Asset-Backed Certificates Trust                                       | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36516 | PA      | $36159.22     | 0.02%             | 2034-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                            | Option                                                                            | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-1379.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FXJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524432 | PA      | $443119.02    | 0.26%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QDFB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262325 | PA      | $235713.76    | 0.14%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H4Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190040 | PA      | $171620.30    | 0.10%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132A9TV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147132 | PA      | $139975.71    | 0.08%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H6DW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154496 | PA      | $143696.02    | 0.09%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418MRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111661 | PA      | $114731.58    | 0.07%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QKVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1058234 | PA      | $906423.11    | 0.54%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38380AUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26307 | PA      | $3811.75      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CHH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62993 | PA      | $60830.62     | 0.04%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36296DNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1564 | PA      | $1697.44      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MJ2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109201 | PA      | $102624.71    | 0.06%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                   | BCAP LLC Trust                                                                    | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47654 | PA      | $38997.44     | 0.02%             | 2037-03-26      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                   | Adjustable Rate Mortgage Trust                                                    | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224282 | PA      | $156217.12    | 0.09%             | 2035-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202KZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1528 | PA      | $1524.50      | 0.00%             | 2026-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XGD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114644 | PA      | $99304.60     | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136ARNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304719 | PA      | $37668.18     | 0.02%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WFUB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6880 | PA      | $6681.03      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3000000 | OU      | $-79026.27    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617ACHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225536 | PA      | $211343.11    | 0.13%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412N6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2640 | PA      | $2609.33      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KNX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449743 | PA      | $371110.63    | 0.22%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140JHBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194281 | PA      | $180700.15    | 0.11%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136BQ6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643166 | PA      | $641870.97    | 0.38%             | 2050-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132GDS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21750 | PA      | $21881.53     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -1100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                            | Palmer Square CLO Ltd.                                                            | CUSIP: 69689QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150354.30    | 0.09%             | 2035-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  -1100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140E6M74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11707 | PA      | $11279.74     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   5000000 | OU      | $-12052.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138ELXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150169 | PA      | $157130.60    | 0.09%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C9NH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152793 | PA      | $149707.92    | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137ASGB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    788392 | PA      | $76855.50     | 0.05%             | 2042-07-15      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BFTQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64887 | PA      | $64327.93     | 0.04%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Swaption                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  -1700000 | NC      | $-4526.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132GE7M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15718 | PA      | $15813.27     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31412Q7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1137 | PA      | $1123.84      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202D2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49955 | PA      | $50478.80     | 0.03%             | 2033-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92533 | PA      | $89306.47     | 0.05%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G7N35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31199 | PA      | $29216.73     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                                               | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    211000 | PA      | $208646.10    | 0.12%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202DJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       588 | PA      | $597.73       | 0.00%             | 2030-09-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4400000 | OU      | $-98728.70    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36225CNZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13352 | PA      | $13424.42     | 0.01%             | 2030-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38383KMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1436945 | PA      | $1440695.73   | 0.85%             | 2073-12-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133KHLP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228845 | PA      | $205294.67    | 0.12%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31406MJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11473 | PA      | $11415.72     | 0.01%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B9M76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85951 | PA      | $70923.43     | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31418CU85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4464 | PA      | $4189.84      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133C5FY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186145 | PA      | $182641.64    | 0.11%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419ADH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14074 | PA      | $14725.87     | 0.01%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241LJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68120 | PA      | $68912.92     | 0.04%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31300LYH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347099 | PA      | $352120.13    | 0.21%             | 2039-10-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617KDJ99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15567 | PA      | $14436.78     | 0.01%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136BLEX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3529640 | PA      | $14706.95     | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                    | Gallatin CLO VIII Ltd.                                                            | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    942921 | PA      | $943227.10    | 0.56%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2514 | PA      | $2477.50      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1 | NC      | $342.45       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XECC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5021804 | PA      | $4669396.13   | 2.77%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       443 | PA      | $443.26       | 0.00%             | 2065-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3928 | PA      | $4041.22      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust      | Bear Stearns ARM Trust                                                            | CUSIP: 07384MM25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17770 | PA      | $16484.11     | 0.01%             | 2034-05-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                 | Federal Home Loan Mortgage Corp. STRIPS                                           | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119642 | PA      | $118205.03    | 0.07%             | 2037-10-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31417JSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1427 | PA      | $1410.71      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138W9GT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $175.32       | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3133B6YF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119040 | PA      | $101963.80    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14669 | PA      | $14383.56     | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F032484<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1437267.00   | 0.85%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Swaption                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   5500000 | NC      | $0.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617B8LV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75997 | PA      | $69548.29     | 0.04%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138WTST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27775 | PA      | $27280.34     | 0.02%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Swap                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   6400000 | OU      | $169994.75    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132XWE64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206093 | PA      | $193681.11    | 0.11%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                             | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5700000 | PA      | $-5402009.70  | -3.20%            | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763201 | PA      | $734620.18    | 0.44%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association, TBA                                     | CUSIP: 21H062693<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3586765.00   | 2.13%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                              | Apex Credit CLO Ltd.                                                              | CUSIP: 03753AAA8<br>LEI: 2138006ZTCQQWC5OOL40 | Long             | ABS-CBDO         | CORP              | BM        |    500000 | PA      | $503946.50    | 0.30%             | 2036-04-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128K66P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39103 | PA      | $39595.14     | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | Future                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -15 | NC      | $3261.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38379QFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323052 | PA      | $197517.55    | 0.12%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2900000 | OU      | $-3203.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                           | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -1600000 | NC      | $-693.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Swap                                                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5100000 | OU      | $77741.85     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                           | CHL Mortgage Pass-Through Trust                                                   | CUSIP: 12669DC89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2220 | PA      | $2047.10      | 0.00%             | 2033-05-19      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31295KAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11180 | PA      | $11169.45     | 0.01%             | 2027-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11177 | PA      | $11013.06     | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179QRQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51734 | PA      | $50067.66     | 0.03%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128MMWB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336360 | PA      | $325075.28    | 0.19%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BAGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30302 | PA      | $1922.65      | 0.00%             | 2036-08-15      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Federal National Mortgage Association Interest STRIPS                             | CUSIP: 31395QLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364677 | PA      | $51492.21     | 0.03%             | 2042-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    367507 | PA      | $331978.93    | 0.20%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G8U84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35520 | PA      | $33251.52     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128KMUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1869 | PA      | $1922.03      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                     | Morgan Stanley Re-REMICS Trust                                                    | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79913 | PA      | $68549.98     | 0.04%             | 2037-02-26      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617G9E72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33289 | PA      | $31189.70     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140NLQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225543 | PA      | $219816.04    | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138AWAY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4577 | PA      | $4522.64      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QKGJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2307538 | PA      | $1976505.71   | 1.17%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10603 | PA      | $10397.42     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26912 | PA      | $27194.12     | 0.02%             | 2034-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FEGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47884 | PA      | $45234.71     | 0.03%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3131XDG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167133 | PA      | $160690.35    | 0.10%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3138EQNF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6621 | PA      | $6100.65      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Swaption                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   2000000 | NC      | $22715.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Swaption                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   2700000 | NC      | $0.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140J8LH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329047 | PA      | $321508.26    | 0.19%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XGPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131952 | PA      | $108881.70    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3620A7NX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3343 | PA      | $3437.43      | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617BRBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77537 | PA      | $70957.43     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31414GGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29968 | PA      | $32080.33     | 0.02%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 31288JU61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77916 | PA      | $79785.72     | 0.05%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 31398QB71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379424 | PA      | $382309.28    | 0.23%             | 2036-12-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CCBCYCUS6 CCPC BARC COC                          | Collateral Position                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1209000 | NS      | $1209000.00   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38383KVE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700857 | PA      | $699580.38    | 0.41%             | 2074-02-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   3500000 | NC      | $1861.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital CLO 28 Ltd.                                                     | CUSIP: 03330RAA3<br>LEI: 635400KKB8Y6IYOHUU90 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501879.00    | 0.30%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132DV6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247365 | PA      | $237870.87    | 0.14%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128K5W65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15538 | PA      | $15734.43     | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | Swaption                                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   7500000 | NC      | $13.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140FTWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64174 | PA      | $60518.47     | 0.04%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC             | PRET LLC                                                                          | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1066445 | PA      | $1066743.00   | 0.63%             | 2051-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132XW4M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16101 | PA      | $15131.68     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140GYK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175961 | PA      | $161347.35    | 0.10%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3132HBXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69506 | PA      | $66156.70     | 0.04%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241066 | PA      | $237382.88    | 0.14%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140QSUS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1542503 | PA      | $1480841.90   | 0.88%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 3617GLMB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25599 | PA      | $23668.77     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128PXA97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17418 | PA      | $17221.72     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114318 | PA      | $110825.79    | 0.07%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | Option                                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   1500000 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36179NTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78452 | PA      | $70694.37     | 0.04%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp. REMICS                                           | CUSIP: 3137BGLL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78200 | PA      | $4304.15      | 0.00%             | 2038-11-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36296B6S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42127 | PA      | $43649.47     | 0.03%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128PXWH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8332 | PA      | $8237.35      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 31390XQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17017 | PA      | $17366.45     | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                          | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       527 | PA      | $545.93       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association REMICS                                   | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    605586 | PA      | $606393.20    | 0.36%             | 2065-09-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M9AH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32360 | PA      | $33292.80     | 0.02%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140XBHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683281 | PA      | $585259.45    | 0.35%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association REMICS                                      | CUSIP: 3136BBW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7296061 | PA      | $348415.35    | 0.21%             | 2050-10-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Federal National Mortgage Association                                             | CUSIP: 3140H8ZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21828 | PA      | $21232.92     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Federal Home Loan Mortgage Corp.                                                  | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    980906 | PA      | $936473.07    | 0.56%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-29

**Name of Applicant:** PACE SELECT ADVISORS TRUST

**Signature:** Joanne Kilkeary

**Name of Signer:** Joanne Kilkeary

**Title:** Vice President and Treasurer