# EDGAR Filing Document

**Accession Number:** 0000806564
**File Stem:** 0001752724-23-073146
**Filing Date:** 2023-3
**Character Count:** 259021
**Document Hash:** e13cc75703db23869459649571c4d41a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-073146.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-073146

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY MORTGAGE SECURITIES TRUST
- **CENTRAL INDEX KEY:** 0000806564
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04917
- **FILM NUMBER:** 23777637

**BUSINESS ADDRESS:**
- **STREET 1:** 522 FIFTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-869-6397

**MAIL ADDRESS:**
- **STREET 1:** 522 FIFTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 20010618

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY DEAN WITTER FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19980622

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WITTER DEAN FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19930210

## Series and Classes Contracts Data

### Morgan Stanley Mortgage Securities Trust (Series ID: S000002467)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006611 | A            | MTGAX           |
| C000006613 | L            | MTGCX           |
| C000006614 | I            | MTGDX           |
| C000155975 | Class C      | MSMTX           |
| C000198813 | Class R6     | MORGX           |

## Nport-Ex

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br> AMOUNT <br> (000)** |  | **COUPON<br> RATE** | **MATURITY <br> DATE** | **VALUE** |
|  | **Agency Fixed Rate Mortgages (31.0%)** |  |  |  |
|  | Federal Home Loan Mortgage Corporation, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;Conventional Pools: |  |  |  |
| $1701 |  | 2.50% | 05/01/50–11/01/52 | $1445557 |
| 189 |  | 3.00 | 04/01/50 | 169444 |
| 62 |  | 3.50 | 08/01/49 | 57978 |
| 1760 |  | 4.00 | 07/01/49–11/01/52 | 1669679 |
| 1655 |  | 4.50 | 10/01/52 | 1612220 |
|  | &nbsp;&nbsp;&nbsp;Gold Pools: |  |  |  |
| 275 |  | 3.50 | 01/01/44–09/01/47 | 261953 |
| 294 |  | 4.00 | 12/01/41–10/01/44 | 290351 |
| 320 |  | 4.50 | 03/01/41–01/01/49 | 323411 |
| 58 |  | 5.00 | 12/01/40–05/01/41 | 59594 |
| 7 |  | 5.50 | 07/01/37 | 7623 |
| 10 |  | 6.00 | 12/01/37 | 10414 |
| 5 |  | 6.50 | 06/01/29–09/01/33 | 5672 |
| 23 |  | 7.50 | 05/01/35 | 24386 |
| 11 |  | 8.00 | 08/01/32 | 11720 |
| 20 |  | 8.50 | 08/01/31 | 21673 |
|  | Federal National Mortgage Association, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;Conventional Pools: |  |  |  |
| 1541 |  | 1.50 | 01/01/51–03/01/51 | 1256435 |
| 325 |  | 2.00 | 11/01/50 | 268062 |
| 870 |  | 2.50 | 02/01/50–09/01/51 | 764290 |
| 1042 |  | 3.00 | 08/01/46–02/01/50 | 960007 |
| 3152 |  | 3.50 | 09/01/42–10/01/52 | 2944499 |
| 923 |  | 4.00 | 04/01/45–01/01/49 | 909408 |
| 442 |  | 4.50 | 08/01/40–08/01/49 | 437036 |
| 156 |  | 5.00 | 12/01/40–12/01/48 | 161307 |
| 5 |  | 5.50 | 08/01/37 | 5675 |
| 274 |  | 6.50 | 02/01/28–11/01/33 | 291792 |
| 11 |  | 7.00 | 07/01/23–06/01/32 | 11366 |
| 29 |  | 7.50 | 08/01/37 | 31198 |
| 30 |  | 8.00 | 04/01/33 | 31629 |
| 31 |  | 8.50 | 10/01/32 | 32923 |
| 10 |  | 9.50 | 04/01/30 | 9927 |
|  | &nbsp;&nbsp;&nbsp;February TBA: |  |  |  |
| 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) | 4.00 | 02/01/53 | 5792812 |
| 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) | 4.50 | 02/01/53 | 5927344 |
| 18000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) | 5.00 | 02/01/53 | 18074532 |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) | 5.50 | 02/01/53 | 2032188 |
|  | &nbsp;&nbsp;&nbsp;March TBA: |  |  |  |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) | 6.00 | 03/01/53 | 1025156 |
|  | Government National Mortgage Association, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;February TBA: |  |  |  |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) | 4.00 | 02/20/53 | 971945 |
|  | &nbsp;&nbsp;&nbsp;Various Pools: |  |  |  |
| 2769 |  | 2.50 | 03/20/50–04/20/51 | 2443358 |
| 1223 |  | 3.00 | 09/20/49–08/20/50 | 1100972 |
| 1811 |  | 3.50 | 10/20/44–10/20/50 | 1692899 |
| 1046 |  | 4.00 | 07/15/44–11/20/51 | 1001755 |
| 38 |  | 4.00 | 11/20/49 | 37129 |
| 379 |  | 4.50 | 12/20/48–12/20/49 | 374103 |
| 342 |  | 5.00 | 05/20/41–06/20/49 | 345994 |
| 26 |  | 5.50 | 05/20/49 | 26270 |
| 398 |  | 6.00 | 08/20/52 | 404508 |
| 1497 |  | 6.50 | 11/20/52 | 1547144 |
| 999 |  | 7.00 | 12/20/52 | 1037244 |
| 3376 |  | 7.00 | 12/20/52–01/20/53 | 3492107 |
|  | **Total Agency Fixed Rate Mortgages** *(Cost $62,691,318)* |  |  | **61414689** |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Asset-Backed Securities (17.4%)** |  |  |  |
| 403.0 | ABFC 2004-OPT2 Trust <br> 1 Month USD LIBOR + 0.78% | 5.286(b) | 10/25/33 | 390477.0 |
| 109.0 | ABFC 2005-WF1 Trust <br> 1 Month USD LIBOR + 0.95% | 5.451(b) | 07/25/34 | 102690.0 |
|  | Amortizing Residential Collateral Trust |  |  |  |
| 354.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.29% | 5.029(b) | 10/25/31 | 324054.0 |
| 293.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.76% | 5.266(b) | 10/25/32 | 264364.0 |
| 109.0 | Argent Securities, Inc. Asset-Backed Pass-Through Certificates,<br> 5.63% - 1 Month USD LIBOR | 3.652(c) | 12/25/33 | 117955.0 |
|  | Bear Stearns Asset-Backed Securities Trust |  |  |  |
| 61.0 |  | 3.833(b) | 07/25/36 | 60178.0 |
| 102.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 1.30% | 5.806(b) | 10/27/32 | 100288.0 |
| 23.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 1.95% | 6.456(b) | 12/25/42 | 23195.0 |
| 293.0 | Business Loan Express Business Loan Trust, <br> 1 Month USD LIBOR + 0.40% (d) | 4.886(b) | 10/20/40 | 258711.0 |
| 99.0 | Cendant Mortgage Corp., (d) | 6.00(b) | 07/25/43 | 94942.0 |
| 268.0 | Citicorp Residential Mortgage Trust | 4.955 | 03/25/37 | 262861.0 |
|  | Conn's Receivables Funding LLC |  |  |  |
| 900.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 0.01 | 12/15/26 | 704970.0 |
| 3000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 9.52 | 12/15/26 | 2996578.0 |
| 772.0 | Conseco Finance Securitizations Corp. | 7.424(b) | 03/01/33 | 770877.0 |
| 4197.0 | Corevest American Finance 2020-4 Trust, IO (d) | 3.836(b) | 12/15/52 | 377728.0 |
| 59.0 | Credit-Based Asset Servicing & Securitization LLC, (d) | 7.25 | 05/25/36 | 59517.0 |
|  | ECAF I Ltd. |  |  |  |
| 40.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.473 | 06/15/40 | 21065.0 |
| 678.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.947 | 06/15/40 | 427399.0 |
| 110.0 | EquiFirst Mortgage Loan Trust, <br> 1 Month USD LIBOR + 3.00% | 7.506(b) | 10/25/34 | 105317.0 |
| 954.0 | European Residential Loan Securitisation 2019-NPL1 DAC, <br> 1 Month EURIBOR + 3.25% (Ireland) | 5.249(b) | 07/24/54 | 1029707.0 |
| $7.0 | FCI Funding 2019-1 LLC (d) | 3.63 | 02/18/31 | 6928.0 |
|  | Finance of America HECM Buyout |  |  |  |
| 4000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 6.00(b) | 08/01/32 | 3031100.0 |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 6.414(b) | 02/25/32 | 939281.0 |
| 2000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 7.87(b) | 02/25/32 | 1872795.0 |
| 155.0 | Financial Asset Securities Corp. AAA Trust, <br> 1 Month USD LIBOR + 0.41% (d) | 4.927(b) | 02/27/35 | 158105.0 |
| 252.0 | GAIA Aviation Ltd. (Cayman Islands) (d) | 3.967 | 12/15/44 | 211658.0 |
| 772.0 | Home Partners of America 2019-1 Trust (d) | 3.866 | 10/19/39 | 662635.0 |
| 734.0 | JOL Air Ltd., Class A (Cayman Islands) (d) | 3.967 | 04/15/44 | 603442.0 |
| 393.0 | Kestrel Aircraft Funding Ltd., Class A (d) | 4.25 | 12/15/38 | 319036.0 |
| 193.0 | Lehman ABS Manufactured Housing Contract Trust | 6.63(b) | 04/15/40 | 192177.0 |
| 764.0 | LoanMe Trust (d) | 5.00 | 09/15/34 | 692507.0 |
| 149.0 | MERIT Securities Corp. | 7.88 | 12/28/33 | 146646.0 |
| 292.0 | METAL LLC (d) | 4.581 | 10/15/42 | 154719.0 |
| 135.0 | New Century Home Equity Loan Trust, <br> 1 Month USD LIBOR + 0.80% | 4.264(b) | 11/25/33 | 121842.0 |
| 1000.0 | Newday Funding PLC, <br> 1 Month GBP SONIA + 5.00% (United Kingdom) (d) | 8.432(b) | 07/15/30 | 1234543.0 |
|  | Newtek Small Business Loan Trust, |  |  |  |
| $1124.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Daily U.S. Prime Rate - 0.70% (d) | 6.80(b) | 10/25/49 | 1113755.0 |
| 170.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Daily U.S. Prime Rate - 0.55% (d) | 6.95(b) | 02/25/44 | 168100.0 |
|  | NRZ Advance Receivables Trust |  |  |  |
| 1050.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.863 | 09/15/53 | 1014482.0 |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 5.663 | 09/15/53 | 963178.0 |
|  | NRZ Excess Spread-Collateralized Notes, |  |  |  |
| 449.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.981 | 03/25/26 | 403421.0 |
| 493.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.844 | 12/25/25 | 451352.0 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
| 661.0 | NRZ FHT Excess LLC, Class A (d) | 4.212 | 11/25/25 | 619202 |
|  | Oakwood Mortgage Investors, Inc. |  |  |  |
| 849.0 |  | 7.405(b) | 06/15/31 | 123359 |
| 54.0 |  | 7.72 | 04/15/30 | 54002 |
| 121.0 |  | 7.84(b) | 11/15/29 | 124132 |
|  | PMT FMSR Issuer Trust |  |  |  |
| 1250.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 3.00% (d) | 7.506(b) | 03/25/26 | 1240746 |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFR30A + 4.19% (d) | 8.50(b) | 06/25/27 | 971631 |
| 1500.0 | PNMAC GMSR Issuer Trust, <br> SOFR30A + 4.25% (d) | 8.56(b) | 05/25/27 | 1433516 |
| 393.0 | Portman Square DAC (United Kingdom) | 3.577(b) | 10/25/61 | 415509 |
| $630.0 | Pretium Mortgage Credit Partners LLC (d) | 1.992 | 02/25/61 | 585623 |
| 1396.0 | Raptor Aircraft Finance I LLC (d) | 4.213 | 08/23/44 | 1043515 |
| 540.0 | ReadyCap Lending Small Business Loan Trust,<br> Daily U.S. Prime Rate - 0.50% (d) | 7.00(b) | 12/27/44 | 515186 |
| 266.0 | Saxon Asset Securities Trust, <br> 1 Month USD LIBOR + 1.13% | 5.631(b) | 12/25/32 | 220264 |
|  | Shenton Aircraft Investment I Ltd. |  |  |  |
| 780.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.75 | 10/15/42 | 614133 |
| 246.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 5.75 | 10/15/42 | 138053 |
| 883.0 | Small Business Origination Loan Trust DAC (United Kingdom) | 7.93(b) | 03/01/30 | 1061124 |
| $245.0 | Start II Ltd. (Bermuda) (d) | 4.089 | 03/15/44 | 211971 |
| 1950.0 | USASF Receivables 2020-1 LLC (d) | 9.35 | 03/15/27 | 1967805 |
| 222.0 | WAVE Trust (d) | 3.844 | 11/15/42 | 170689 |
|  | **Total Asset-Backed Securities** *(Cost $36,347,423)* |  |  | **34465035** |
|  | **Collateralized Mortgage Obligations - Agency Collateral Series (3.9%)** | **Collateralized Mortgage Obligations - Agency Collateral Series (3.9%)** |  |  |
|  | Federal Home Loan Mortgage Corporation, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;IO REMIC |  |  |  |
| 186.0 |  | 0.009(b) | 10/15/39 | 5049 |
| 567.0 |  | 0.112(b) | 09/15/41 | 15320 |
| 374.0 |  | 0.24(b) | 10/15/40 | 14276 |
| 283.0 |  | 0.295(b) | 08/15/42 | 8107 |
| 207.0 |  | 0.388(b) | 04/15/39 | 7039 |
| 99.0 |  | 0.41(b) | 10/15/41 | 5197 |
| 456.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00% - 1 Month USD LIBOR | 1.541(c) | 11/15/43–06/15/44 | 41924 |
| 9275.0 |  | 2.00 | 10/25/50 | 1132320 |
| 28.0 |  | 5.00 | 08/15/41 | 6062 |
|  | &nbsp;&nbsp;&nbsp;IO STRIPS |  |  |  |
| 817.0 |  | 0.184(b) | 10/15/37 | 32345 |
| 53.0 |  | 7.00 | 06/15/30 | 7741 |
| 53.0 |  | 7.50 | 12/15/29 | 8941 |
|  | &nbsp;&nbsp;&nbsp;REMIC |  |  |  |
| 56.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.00% - 2.67 x 1 Month USD LIBOR | 0.35(c) | 12/15/43 | 61197 |
| 89.0 |  | 3.50 | 02/15/42 | 85475 |
|  | Federal National Mortgage Association, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;IO REMIC |  |  |  |
| 1011.0 |  | 0.002(b) | 03/25/46 | 28945 |
| 268.0 |  | 0.404(b) | 10/25/39 | 10328 |
| 188.0 |  | 0.628(b) | 03/25/44 | 4848 |
| 113.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.65% - 1 Month USD LIBOR | 1.144(c) | 11/25/41 | 2336 |
| 449.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.05% - 1 Month USD LIBOR | 1.544(c) | 06/25/42 | 48466 |
| 64.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.55% - 1 Month USD LIBOR | 2.044(c) | 08/25/41 | 1632 |
| 40.0 |  | 3.50 | 03/25/43 | 339 |
|  | &nbsp;&nbsp;&nbsp;IO STRIPS |  |  |  |
| 11.0 |  | 7.00 | 11/25/27 | 1240 |
| 42.0 |  | 8.00 | 05/25/30–06/25/30 | 5665 |
| 8.0 |  | 8.50 | 10/25/24 | 367 |
|  | &nbsp;&nbsp;&nbsp;REMIC |  |  |  |
| 20.0 |  | 1.238(b) | 04/25/39 | 17570 |
| 526.0 |  | 2.00 | 07/25/50 | 310469 |
| 5.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 1.20% | 5.706(b) | 12/25/23 | 4788 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Government National Mortgage Association |  |  |  |
| 6591.0 |  | 0.008(b) | 12/20/70 | 265610 |
| 2551.0 |  | 0.026(b) | 02/20/65 | 91175 |
| 6827.0 |  | 0.176(b) | 10/20/64 | 432753 |
| 5741.0 |  | 0.447(b) | 12/20/66 | 315763 |
| 2757.0 |  | 1.334(b) | 01/20/64 | 43809 |
| 5249.0 |  | 1.413(b) | 05/20/67 | 262116 |
| 9105.0 |  | 1.434(b) | 05/20/72 | 412213 |
| 1413.0 |  | 1.507(b) | 05/20/64 | 60345 |
| 1524.0 |  | 1.562(b) | 06/20/67 | 102813 |
| 503.0 |  | 1.927(b) | 03/20/67 | 25999 |
| 6341.0 |  | 2.786(b) | 02/20/68 | 348503 |
| 287.0 |  | 3.876(b) | 01/20/68 | 14027 |
| 51.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.45% | 4.635(b) | 02/20/61 | 51091 |
| 2.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.77% | 4.647(b) | 02/20/66 | 2404 |
| 30.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.70% | 4.885(b) | 08/20/63 | 29790 |
|  | &nbsp;&nbsp;&nbsp;IO |  |  |  |
| 1341.0 |  | 0.646(b) | 08/20/58 | 13282 |
| 256.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00% - 1 Month USD LIBOR | 1.514(c) | 08/20/42 | 27630 |
| 316.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.10% - 1 Month USD LIBOR | 1.614(c) | 04/20/41–08/20/42 | 33899 |
| 295.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.14% - 1 Month USD LIBOR | 1.654(c) | 12/20/43 | 37947 |
| 232.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.30% - 1 Month USD LIBOR | 1.814(c) | 09/20/43 | 14082 |
| 170.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.55% - 1 Month USD LIBOR | 2.091(c) | 08/16/34 | 12618 |
| 793.0 |  | 3.50 | 06/20/41–10/16/42 | 138290 |
| 37.0 |  | 4.50 | 05/20/40 | 2562 |
| 28.0 |  | 5.00 | 02/16/41 | 6054 |
|  | &nbsp;&nbsp;&nbsp;IO PAC |  |  |  |
| 19.0 |  | 5.00 | 10/20/40 | 1396 |
|  | &nbsp;&nbsp;&nbsp;IO REMIC |  |  |  |
| 2766.0 |  | 0.022(b) | 08/20/69 | 130320 |
| 1203.0 |  | 0.128(b) | 11/20/67 | 91516 |
| 4274.0 |  | 0.129(b) | 11/20/64 | 184069 |
| 440.0 |  | 0.154(b) | 10/20/67 | 13402 |
| 881.0 |  | 0.216(b) | 10/20/67 | 54982 |
| 2583.0 |  | 0.226(b) | 09/20/64 | 192594 |
| 659.0 |  | 1.235(b) | 06/20/67 | 29420 |
| 5672.0 |  | 1.462(b) | 02/20/68 | 242735 |
| 2817.0 |  | 1.593(b) | 07/20/67 | 90634 |
| 1117.0 |  | 1.716(b) | 07/20/67 | 61020 |
| 7532.0 |  | 2.00 | 11/20/50 | 874820 |
| 267.0 |  | 2.945(b) | 02/20/68 | 13357 |
| 442.0 |  | 3.50 | 05/20/43 | 70914 |
| 1047.0 |  | 3.696(b) | 02/20/68 | 54969 |
|  | &nbsp;&nbsp;&nbsp;REMIC |  |  |  |
| 5927.0 |  | 2.089(b) | 01/20/66 | 206558 |
| 3715.0 |  | 2.371(b) | 07/20/65 | 115809 |
| 9087.0 |  | 2.656(b) | 06/20/66 | 757898 |
|  | **Total Collateralized Mortgage Obligations - Agency Collateral Series** *(Cost $6,947,626)* | **Total Collateralized Mortgage Obligations - Agency Collateral Series** *(Cost $6,947,626)* | **Total Collateralized Mortgage Obligations - Agency Collateral Series** *(Cost $6,947,626)* | **7799174** |
|  | **Commercial Mortgage-Backed Securities (6.1%)** |  |  |  |
| 352.0 | Bayview Commercial Asset Trust,<br> 1 Month USD LIBOR + 0.45% (d) | 4.956(b) | 10/25/36 | 339110 |
| 180.0 | CG-CCRE Commercial Mortgage Trust, <br> 1 Month USD LIBOR + 1.85% (d) | 6.313(b) | 11/15/31 | 171135 |
| 731.0 | CIM Retail Portfolio Trust, <br> 1 Month USD LIBOR + 3.75% (d) | 8.21(b) | 08/15/36 | 724002 |
|  | Citigroup Commercial Mortgage Trust, |  |  |  |
| 220.0 |  | 4.573(b) | 09/10/58 | 197215 |
|  | &nbsp;&nbsp;&nbsp;IO |  |  |  |
| 1992.0 |  | 0.872(b) | 09/10/58 | 36446 |
|  | Commercial Mortgage Trust |  |  |  |
| 100.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.747(b) | 07/15/47 | 91827 |
|  | &nbsp;&nbsp;&nbsp;IO |  |  |  |
| 2140.0 |  | 0.511(b) | 02/10/47 | 7198 |
| 846.0 |  | 0.662(b) | 10/10/47 | 7175 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| 1103 | COOF Securitization Trust, IO (d) | 2.767(b) | 10/25/40 | 57193 |
| 1091 | COOF Securitization Trust II, IO (d) | 2.562(b) | 08/25/41 | 48127 |
|  | Credit Suisse Mortgage Trust, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month Term SOFR + 3.14% (d) | 7.621(b) | 09/09/24 | 1487367 |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 3.50% (d) | 7.959(b) | 12/15/35 | 1000616 |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month Term SOFR + 3.57% (d) | 8.052(b) | 05/15/23 | 929436 |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 3.71% (d) | 8.174(b) | 08/15/23 | 969583 |
| 1383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 3.97% (d) | 8.429(b) | 04/15/23 | 1358942 |
| 6679 | GS Mortgage Securities Corportation Trust, IO (d) | 0.457(b) | 10/10/32 | 34908 |
|  | GS Mortgage Securities Trust |  |  |  |
| 450 |  | 3.345 | 07/10/48 | 386497 |
| 370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.698(b) | 08/10/46 | 302449 |
|  | &nbsp;&nbsp;&nbsp;IO |  |  |  |
| 1560 |  | 0.697(b) | 09/10/47 | 13495 |
| 1097 |  | 1.008(b) | 04/10/47 | 8815 |
| 1489 | JP Morgan Chase Commercial Mortgage Securities Trust, IO | 0.579(b) | 12/15/49 | 25364 |
|  | JPMBB Commercial Mortgage Securities Trust |  |  |  |
| 267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.653(b) | 04/15/47 | 244309 |
|  | &nbsp;&nbsp;&nbsp;IO |  |  |  |
| 2662 |  | 0.686(b) | 01/15/47 | 9310 |
|  | KGS-Alpha SBA COOF Trust, |  |  |  |
|  | &nbsp;&nbsp;&nbsp;Class A |  |  |  |
| 541 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 0.835(b) | 08/25/38 | 8296 |
| 420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.612(b) | 07/25/41 | 44929 |
| 539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.084(b) | 04/25/40 | 28013 |
| 600 | Natixis Commercial Mortgage Securities Trust (d) | 4.135(b) | 05/15/39 | 481065 |
| 8635 | Real Estate Asset Liquidity Trust, IO (Canada) (d) | 1.187(b) | 02/12/55 | 392940 |
| $863 | Sutherland Commercial Mortgage Trust (d) | 2.23(b) | 12/25/41 | 788423 |
| 8864 | UBS Commercial Mortgage Trust, IO | 0.927(b) | 03/15/51 | 339722 |
| 944 | Velocity Commercial Capital Trust (d) | 6.90 | 05/25/47 | 929480 |
| 746 | VMC Finance 2021-HT1 LLC, <br> 1 Month USD LIBOR + 1.65% (d) | 6.12(b) | 01/18/37 | 726801 |
|  | **Total Commercial Mortgage-Backed Securities** *(Cost $12,270,074)* | **Total Commercial Mortgage-Backed Securities** *(Cost $12,270,074)* | **Total Commercial Mortgage-Backed Securities** *(Cost $12,270,074)* | **12190188** |
|  | **Corporate Bond (0.1%)** |  |  |  |
|  | Finance (0.1%) |  |  |  |
| 350 | DP Facilities Data Center Subordinated Pass-Through Trust (d) *(Cost $263,246)* | 0.00(b) | 11/10/28 | 144375 |
|  | **Mortgages - Other (36.4%)** |  |  |  |
| 77 | Adjustable Rate Mortgage Trust | 3.803(b) | 04/25/35 | 70161 |
| 459 | Ajax Mortgage Loan Trust (d) | 2.25 | 06/25/60 | 439744 |
| 252 | Alba 2005-1 PLC, <br> 3 Month GBP SONIA + 0.72% (United Kingdom) | 4.017(b) | 11/25/42 | 287112 |
|  | Alternative Loan Trust |  |  |  |
| 40 |  | 5.50 | 02/25/25–01/25/36 | 27507 |
| 133 |  | 5.75 | 03/25/34 | 130189 |
| 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40.02% - 6 x 1 Month USD LIBOR | 12.985(c) | 05/25/37 | 72764 |
|  | Banc of America Funding Trust |  |  |  |
| 6 |  | 5.25 | 07/25/37 | 6235 |
| 251 |  | 5.50 | 09/25/35 | 236067 |
| 523 | Bear Stearns Asset-Backed Securities I Trust,<br> 25.64% - 3.29 x 1 Month USD LIBOR | 10.831(c) | 03/25/36 | 265445 |
| 1000 | Boston Lending Trust (d) | 3.25(b) | 05/25/62 | 840033 |
|  | Cascade Funding Mortgage Trust |  |  |  |
| 1543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.00(b) | 09/25/50–02/25/52 | 1252650 |
| 2390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.72(b) | 12/26/30 | 2237164 |
| 1700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.91(b) | 02/25/31 | 1587013 |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.25(b) | 11/25/35 | 859209 |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.735(b) | 06/25/36 | 1828161 |
| 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.75(b) | 04/25/25 | 2764685 |
| 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.948(b) | 12/26/30 | 2345290 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 5.072(b) | 10/27/31 | 1376111.0 |
| 2315.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 5.683(b) | 02/25/31 | 2164415.0 |
| 1250.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 6.00(b) | 12/26/30 | 1170992.0 |
| 3721.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.00(b) | 10/25/68–06/25/69 | 3427874.0 |
| 1469.0 | Cascade MH Asset Trust (d) | 4.25 | 08/25/54 | 1316687.0 |
| 2000.0 | CFMT 2022-HB8 LLC (d) | 3.75(b) | 04/25/25 | 1671140.0 |
| 1500.0 | CFMT 2022-HB9 LLC (d) | 3.25(b) | 09/25/37 | 1195256.0 |
|  | CHL Mortgage Pass-Through Trust |  |  |  |
| 95.0 |  | 3.977(b) | 05/20/34 | 87800.0 |
| 181.0 |  | 4.251(b) | 10/25/33 | 172378.0 |
| 222.0 |  | 5.50 | 10/25/34 | 214581.0 |
| 61.0 |  | 6.00 | 12/25/36 | 37570.0 |
| 1337.0 | CIM Trust (d) | 2.50(b) | 06/25/51 | 1120407.0 |
|  | Citigroup Mortgage Loan Trust, |  |  |  |
| 1141.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 6.17 | 09/25/62 | 1131455.0 |
| 95.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Year CMT + 2.40% | 6.47(b) | 11/25/35 | 94200.0 |
| 335.0 | Credit Suisse First Boston Mortgage Securities Corp., <br> 1 Month USD LIBOR + 3.30% | 7.806(b) | 02/25/32 | 336756.0 |
|  | CSFB Mortgage-Backed Pass-Through Certificates |  |  |  |
| 248.0 |  | 3.411(b) | 05/25/34 | 226659.0 |
| 470.0 |  | 6.50 | 11/25/35 | 108432.0 |
| 287.0 | Dssv Sarl (Spain) | 5.288(b) | 10/15/24 | 302738.0 |
| 348.0 | E-MAC DE 2005-I BV, <br> 3 Month EURIBOR + 0.50% (Germany) | 10.028(b) | 05/25/52 | 365612.0 |
| 149.0 | E-MAC NL 2004-I BV,<br> 3 Month EURIBOR + 0.18% (Netherlands) | 4.709(b) | 07/25/36 | 152772.0 |
| 84.0 | E-MAC NL 2005-I BV, <br> 3 Month EURIBOR + 0.23% (Netherlands) | 6.949(b) | 04/25/38 | 81972.0 |
| 166.0 | E-MAC Program BV, <br> 3 Month EURIBOR + 2.00% (Netherlands) | 5.749(b) | 01/25/48 | 169490.0 |
| 109.0 | E-MAC Program II BV, <br> 3 Month EURIBOR + 2.00% (Netherlands) | 4.449(b) | 04/25/48 | 110264.0 |
| $1500.0 | Eagle RE Ltd., <br> 1 Month USD LIBOR + 4.50% (d) | 9.006(b) | 04/25/29 | 1507517.0 |
|  | EMF-NL Prime |  |  |  |
| 227.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.80% (Netherlands) | 3.128(b) | 04/17/41 | 232081.0 |
| 200.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.85% (Netherlands) | 3.178(b) | 04/17/41 | 179529.0 |
| 195.0 | Eurohome Mortgages PLC, <br> 3 Month EURIBOR + 0.21% (Germany) | 1.815(b) | 08/02/50 | 156061.0 |
| 500.0 | Eurosail-Nl 2007-1 BV, <br> 3 Month EURIBOR + 1.10% (Netherlands) | 3.428(b) | 04/17/40 | 477739.0 |
|  | Eurosail-NL 2007-2 BV |  |  |  |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Month EURIBOR + 1.80% (Netherlands) | 4.128(b) | 10/17/40 | 1057913.0 |
| 500.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Month EURIBOR + 2.20% (Netherlands) | 4.528(b) | 10/17/40 | 513207.0 |
| 907.0 | Farringdon Mortgages No. 2 PLC, <br> 3 Month GBP SONIA + 1.62% (United Kingdom) | 5.062(b) | 07/15/47 | 1091374.0 |
|  | Federal Home Loan Mortgage Corporation |  |  |  |
| 657.0 |  | 3.00 | 09/25/45–05/25/47 | 573288.0 |
| 33.0 |  | 3.50 | 05/25/45 | 29052.0 |
|  | Flagstar Mortgage Trust, |  |  |  |
| 1284.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 2.50(b) | 04/25/51 | 1077607.0 |
| 128.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.00(b) | 03/25/50 | 103548.0 |
|  | FMC GMSR Issuer Trust |  |  |  |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.36(b) | 07/25/26 | 783609.0 |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.45(b) | 01/25/26 | 882693.0 |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 10.07 | 07/25/27 | 938281.0 |
| 1100.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.62(b) | 07/25/26 | 924769.0 |
| 35.0 | Galton Funding Mortgage Trust (d) | 4.00(b) | 02/25/59 | 33915.0 |
| 500.0 | Great Hall Mortgages No. 1 PLC, <br> 3 Month EURIBOR + 0.22% (United Kingdom) | 2.282(b) | 03/18/39 | 510562.0 |
| $124.0 | GSAA Trust | 6.00 | 04/01/34 | 119979.0 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | GSR Mortgage Loan Trust |  |  |  |
| 185 |  | 4.04(b) | 12/25/34 | 165084 |
| 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.25% | 4.756(b) | 03/25/35 | 20236 |
| 12 |  | 5.00 | 02/25/34 | 11461 |
| 3 |  | 5.50 | 11/25/35 | 2852 |
| 293 |  | 6.00 | 09/25/35 | 284241 |
| 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Year CMT + 1.75% | 2.88(b) | 03/25/33 | 3801 |
| 93 | HarborView Mortgage Loan Trust | 3.692(b) | 05/19/33 | 85256 |
| 53 | Impac CMB Trust, <br> 1 Month USD LIBOR + 0.80% | 5.301(b) | 10/25/34 | 50752 |
| 486 | IMS Ecuadorian Mortagage Trust (d) | 3.40 | 08/18/43 | 465688 |
| 83 | IndyMac INDX Mortgage Loan Trust | 4.495(b) | 11/25/34 | 78840 |
|  | JP Morgan Mortgage Trust |  |  |  |
| 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.00(b) | 10/25/50 | 85335 |
| 102 |  | 3.246(b) | 12/25/34 | 88805 |
| 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.35(b) | 07/27/37 | 74968 |
| 186 | Lansdowne Mortgage Securities No. 1 PLC, <br> 3 Month EURIBOR + 0.30% (Ireland) | 2.346(b) | 06/15/45 | 193078 |
| 372 | Lansdowne Mortgage Securities No. 2 PLC,<br> 3 Month EURIBOR + 0.34% (Ireland) | 2.421(b) | 09/16/48 | 363252 |
| 235 | Ludgate Funding PLC, <br> 3 Month EURIBOR + 0.42% (United Kingdom) | 2.404(b) | 12/01/60 | 217591 |
| 128 | Mansard Mortgages PLC, <br> 3 Month GBP SONIA + 0.72% (United Kingdom) | 4.162(b) | 10/15/48 | 144222 |
| $223 | MASTR Adjustable Rate Mortgages Trust | 3.373(b) | 06/25/34 | 207653 |
|  | MASTR Alternative Loan Trust |  |  |  |
| 128 |  | 5.00 | 05/25/18 | 117059 |
| 95 |  | 6.00 | 05/25/33 | 90984 |
| 1 | MASTR Asset Securitization Trust | 5.50 | 10/25/25 | 1125 |
| 106 | MASTR Reperforming Loan Trust (d) | 7.50 | 05/25/35 | 85282 |
| 396 | MERIT Securities Corp., <br> 1 Month USD LIBOR + 2.25% (d) | 6.797(b) | 09/28/32 | 358244 |
|  | Merrill Lynch Mortgage Investors Trust |  |  |  |
| 17 |  | 4.07(b) | 01/25/37 | 16389 |
| 85 |  | 4.454(b) | 02/25/34 | 80963 |
| 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 Month USD LIBOR + 0.50% | 4.683(b) | 04/25/29 | 13072 |
| 700 | Miravet Sarl, <br> 3 Month EURIBOR + 1.60% (Spain) | 3.508(b) | 05/26/65 | 721652 |
| $74 | Morgan Stanley Mortgage Loan Trust (e) | 4.461(b) | 02/25/34 | 70878 |
| 179 | Mortgage Equity Conversion Asset Trust, <br> 1 Year CMT + 0.47% (d) | 5.17(b) | 02/25/42 | 176264 |
| 59 | National City Mortgage Capital Trust | 6.00 | 03/25/38 | 55101 |
| 246 | Newgate Funding PLC, <br> 3 Month GBP LIBOR + 3.00% (United Kingdom) | 6.796(b) | 12/15/50 | 272048 |
| $1101 | PMC PLS ESR Issuer LLC (d) | 5.114 | 02/25/27 | 1044404 |
| 968 | PRPM 2022-INV1 Trust (d) | 4.40 | 04/25/67 | 962631 |
| 77 | RALI Trust | 6.00 | 05/25/36- 06/25/36 | 65125 |
| 50 | RBSSP Resecuritization Trust (d) | 57.779(b) | 09/26/37 | 155239 |
| 122 | Reperforming Loan REMIC Trust (d) | 8.50 | 06/25/35 | 124272 |
| 13114 | Residential Asset Securitization Trust, IO | 0.50 | 04/25/37 | 222584 |
|  | Resloc UK PLC |  |  |  |
| 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Month EURIBOR + 0.45% | 2.496(b) | 12/15/43 | 352926 |
| $1344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Month USD LIBOR + 0.16% (d) | 4.929(b) | 12/15/43 | 1279247 |
|  | RMF Buyout Issuance Trust |  |  |  |
| 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 3.69(b) | 11/25/31 | 759407 |
| 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.50(b) | 04/25/32 | 993865 |
| 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.704(b) | 11/25/31 | 1362696 |
| 1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.75(b) | 10/25/50 | 1022808 |
| 3351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 6.00 | 10/25/50 | 2422877 |
|  | Seasoned Credit Risk Transfer Trust |  |  |  |
| 5923 |  | 3.00 | 09/25/55–05/25/60 | 5383485 |
| 748 |  | 3.25 | 07/25/56–06/25/57 | 692914 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| 2143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.00(b) | 08/25/56–02/25/59 | 2016421 |
| 1000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) | 4.25(b) | 11/25/59 | 857950 |
| 286.0 |  | 4.50 | 06/25/57 | 285644 |
| 72.0 | Sequoia Mortgage Trust, <br> 1 Month USD LIBOR + 0.78% | 5.266(b) | 01/20/36 | 55155 |
| 500.0 | Solaris Trust (Australia) | 6.075(b) | 06/15/52 | 350322 |
| $309.0 | Stanwich Mortgage Loan Co. LLC (d) | 2.735 | 10/16/26 | 278362 |
| 183.0 | Structured Adjustable Rate Mortgage Loan Trust | 4.488(b) | 02/25/35 | 174036 |
|  | Structured Asset Mortgage Investments II Trust |  |  |  |
| 40.0 |  | 2.08(b) | 04/19/35 | 35148 |
| 83.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 Month USD LIBOR + 0.46% | 4.966(b) | 05/25/45 | 74298 |
| 235.0 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates | 4.073(b) | 11/25/30 | 220482 |
| 1118.0 | Structured Asset Securities Corp. Reverse Mortgage Loan Trust,<br> 1 Month USD LIBOR + 1.85% (d) | 6.356(b) | 05/25/47 | 997808 |
| 556.0 | TDA 27 FTA, <br> 3 Month EURIBOR + 0.19% (Spain) | 2.331(b) | 12/28/50 | 486535 |
| $201.0 | TIAA Bank Mortgage Loan Trust (d) | 4.00(b) | 11/25/48 | 186052 |
| 800.0 | Towd Point Mortgage Funding PLC, <br> 3 Month GBP SONIA + 2.35% (United Kingdom) | 5.62(b) | 02/20/54 | 969794 |
| $61.0 | TVC Mortgage Trust (d) | 3.474 | 09/25/24 | 60871 |
| 70.0 | Washington Mutual Mortgage Pass-Through Certificates Trust | 4.122(b) | 09/25/33 | 66404 |
|  | **Total Mortgages - Other** *(Cost $77,467,019)* |  |  | **72039652** |
|  | **Short-Term Investments (24.4%)** |  |  |  |
|  | U.S. Treasury Securities (21.0%) |  |  |  |
|  | U.S. Treasury Bills |  |  |  |
| 115.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.812 | 03/16/23 | 114492 |
| 40.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.812 | 03/16/23 | 39823 |
| 385.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.819 | 03/16/23 | 383298 |
| 973.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.843 | 03/16/23 | 968675 |
| 20.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.854 | 03/16/23 | 19911 |
| 40.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.855 | 03/16/23 | 39822 |
| 600.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.862 | 03/16/23 | 597319 |
| 300.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.935 | 03/16/23 | 298632 |
| 70.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f)(g) | 3.978 | 03/16/23 | 69677 |
| 10000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) | 4.70 | 06/15/23 | 9832733 |
| 5000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) | 4.705 | 06/08/23 | 4919611 |
| 20000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) | 4.82 | 07/20/23 | 19569598 |
| 5000.0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) | 4.821 | 07/27/23 | 4888329 |
|  |  |  |  | 41741920 |

---

---

| | | | |
|:---|:---|:---|:---|
| **NUMBER OF<br> SHARES<br> (000)** |  | | |
|  | **Investment Company (3.4%)** |  |  |
| 6809 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (h) *(Cost $6,809,310)* |  | 6809310 |
|  | **Total Short-Term Investments** *(Cost $48,542,891)* |  | 48551230 |
|  | **Total Investments** *(Cost $244,529,597)* (i)(j)(k) | 119.3% | 236604343 |
|  | **Liabilities in Excess of Other Assets** | (19.3) | (38197890) |
|  | **Net Assets** | 100.0% | $198406453 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

---

| | |
|:---|:---|
| CMT | &nbsp;&nbsp;&nbsp;&nbsp;Constant Maturity Treasury Note Rate. |
| DAC | &nbsp;&nbsp;&nbsp;&nbsp;Designated Activity Company. |
| EURIBOR | &nbsp;&nbsp;&nbsp;&nbsp;Euro Interbank Offered Rate. |
| IO | &nbsp;&nbsp;&nbsp;&nbsp;Interest Only. |
| LIBOR | &nbsp;&nbsp;&nbsp;&nbsp;London Interbank Offered Rate. |
| PAC | &nbsp;&nbsp;&nbsp;&nbsp;Planned Amortization Class. |
| REMIC | &nbsp;&nbsp;&nbsp;&nbsp;Real Estate Mortgage Investment Conduit. |
| SOFR | &nbsp;&nbsp;&nbsp;&nbsp;Secured Overnight Financing Rate. |
| SONIA | &nbsp;&nbsp;&nbsp;&nbsp;Sterling Overnight Index Average. |
| STRIPS | &nbsp;&nbsp;&nbsp;&nbsp;Separate Trading of Registered Interest and Principal of Securities. |
| TBA | &nbsp;&nbsp;&nbsp;&nbsp;To Be Announced. |
| (a) | &nbsp;&nbsp;&nbsp;&nbsp;Security is subject to delayed delivery. |
| (b) | &nbsp;&nbsp;&nbsp;&nbsp;Floating or variable rate securities: The rates disclosed are as of January 31, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments. |
| (c) | &nbsp;&nbsp;&nbsp;&nbsp;Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at January 31, 2023. |
| (d) | &nbsp;&nbsp;&nbsp;&nbsp;144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
| (e) | &nbsp;&nbsp;&nbsp;&nbsp;For the three months ended January 31, 2023, the proceeds from paydowns of Morgan Stanley Mortgage Loan Trust, Mortgage - Other, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, was $2,361, including net realized losses of $16. |
| (f) | &nbsp;&nbsp;&nbsp;&nbsp;Rate shown is the yield to maturity at January 31, 2023. |
| (g) | &nbsp;&nbsp;&nbsp;&nbsp;All or a portion of the security was pledged to cover margin requirements for futures contracts. |
| (h) | &nbsp;&nbsp;&nbsp;&nbsp;The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the three months ended January 31, 2023, advisory fees paid were reduced by $3,093 relating to the Fund's investment in the Liquidity Funds. |
| (i) | &nbsp;&nbsp;&nbsp;&nbsp;Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency forward exchange contracts and futures contracts. |
| (j) | &nbsp;&nbsp;&nbsp;&nbsp;The Fund is permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the three months ended January 31, 2023, the Fund did not engage in any cross-trade transactions. |
| (k) | &nbsp;&nbsp;&nbsp;&nbsp;At January 31, 2023, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $3,786,175 and the aggregate gross unrealized depreciation is $12,536,764, resulting in net unrealized depreciation of $8,750,589. |

---

**Foreign Currency Forward Exchange Contracts:**<br> The Fund had the following foreign currency forward exchange contracts open at January 31, 2023:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **COUNTERPARTY** | **CONTRACTS<br> TO DELIVER** | **IN EXCHANGE<br> FOR** | **DELIVERY<br> DATE** | **UNREALIZED<br> APPRECIATION<br> (DEPRECIATION)** |
| Australia and New Zealand Banking Group Ltd. | $3462 | 4965 | 02/09/23 | $43 |
| Bank of America NA | 348 | $257 | 02/09/23 | (5) |
| Bank of America NA | 1718 | $1868 | 02/09/23 |  |
| Barclays Bank PLC | 446951 | $286160 | 02/09/23 | (29415) |
| BNP Paribas NA | 3423574 | $3871959 | 02/09/23 | (349425) |
| BNP Paribas NA | $6398 | 8731 | 02/09/23 | 164 |
| HSBC Bank PLC | 107892 | $79728 | 02/09/23 | (1364) |
| JPMorgan Chase Bank NA | $1663 | 2439 | 02/09/23 | 59 |
| JPMorgan Chase Bank NA | $7056 | 9464 | 02/09/23 | 57 |
| Standard Chartered Bank | 121479 | $130046 | 02/09/23 | (2087) |
| State Street Bank & Trust Co. | 8052314 | $7992493 | 02/09/23 | (766019) |
| State Street Bank & Trust Co. | 845533 | $1049700 | 02/09/23 | 7129 |
| State Street Bank & Trust Co. | 114664 | $138136 | 02/09/23 | (3249) |
| UBS AG | 336137 | $247175 | 02/09/23 | (5466) |
| UBS AG | 2688367 | $2921604 | 02/09/23 | (2536) |
| UBS AG | $2714196 | 2490065 | 02/09/23 | (5749) |
| UBS AG | $101637 | 96021 | 02/09/23 | 2806 |
| UBS AG | $544452 | 514952 | 02/09/23 | 15662 |
| UBS AG | $390064 | 325310 | 02/09/23 | 11054 |
| UBS AG | $27797 | 22602 | 02/09/23 | 72 |
| Westpac Banking Corporation | 31 | $38 | 02/09/23 |  |
|  |  |  |  | $(1128269 |

---

Morgan Stanley Mortgage Securities Trust

**Portfolio of Investments ▪ January 31, 2023 (unaudited)** *continued*

**Futures Contracts:**<br> The Fund had the following futures contracts open at January 31, 2023:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **NUMBER<br> OF<br> CONTRACTS** | **EXPIRATION<br> DATE** | **NOTIONAL<br> AMOUNT<br> (000)** | **VALUE** | **UNREALIZED<br> APPRECIATION** |
| **Long:** | **Long:** | **Long:** | **Long:** | **Long:** | |
| U.S. Treasury Long Bond | 20 | Mar-23 | 2000 | $2597500 | $73658 |
| U.S. Treasury 10 yr. Note | 1 | Mar-23 | 100 | 114516 | 1727 |
| U.S. Treasury 5 yr. Note | 363 | Mar-23 | 36300 | 39654914 | 131391 |
| U.S. Treasury 2 yr. Note | 115 | Mar-23 | 23000 | 23649570 | 96158 |
|  |  |  |  |  | $302934 |

---

---

| |
|:---|
| @ |
| AUD – Australian Dollar |
| CAD – Canadian Dollar |
| EUR – Euro |
| GBP – British Pound |
| USD – United States Dollar |

---

---

| | | |
|:---|:---|:---|
| **PORTFOLIO COMPOSITION as of 01/31/23** | **Percentage of <br> Total <br> Investments** |  |
| Mortgages - Other | 30.4 | % |
| Agency Fixed Rate Mortgages | 26.0 |  |
| Short-Term Investments | 20.5 |  |
| Asset-Backed Securities | 14.6 |  |
| Commercial Mortgage-Backed Securities | 5.1 |  |
| Collateralized Mortgage Obligations - Agency Collateral Series | 3.3 |  |
| Corporate Bond | 0.1 |  |
| Total Investments | 100.0 | %\* |

---

\* Does not include open long futures contracts with a value of $66,016,500 and total unrealized appreciation of $302,934. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of $1,128,269.

Morgan Stanley Mortgage Securities Trust

**Notes to Portfolio of Investments** **▪ January 31, 2023 (unaudited)**

**<u>Valuation of Investments</u>** - (1) Fixed income securities may be valued by an outside pricing service/vendor approved by the Fund's Board of Trustees (the "Trustees"). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. If Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor does not reflect the security's fair value or is unable to provide a price, prices from brokers/dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers/dealers; (2) when market quotations are not readily available, as defined by Rule 2a-5 under the Act, including circumstances under which the Adviser, determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures approved by and under the general supervision of the Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the New York Stock Exchange ("NYSE"). If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) foreign exchange transactions ("spot contracts") and foreign exchange forward contracts ("forward contracts") are valued daily using an independent pricing vendor at the spot and forward rates, respectively, as of the close of the NYSE; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.

In connection with Rule 2a-5 of the Act, which became effective September 8, 2022, the Trustees have designated the Fund's Adviser as its valuation designee. The valuation designee has responsibility for determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Fund's Adviser, as valuation designee, has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund's valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

**<u>Fair Valuation Measurements</u>**

Financial Accounting Standards Board ("FASB") Accounting Standards CodificationTM ("ASC") 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the price that would be received to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Level 1 – unadjusted quoted prices in active markets for identical investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Level 3 – significant unobservable inputs including the Fund's own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

The following is a summary of the inputs used to value the Fund's investments as of January 31, 2023:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investment Type** | **Level 1<br> Unadjusted<br> quoted<br> prices** | **Level 2<br> Other<br> significant<br> observable<br> inputs** | **Level 3<br> Significant<br> unobservable<br> inputs** | **Total** |
| **Assets:** |  |  |  |  |
| **Fixed Income Securities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Agency Fixed Rate Mortgages | $— | $61414689 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $61414689 |
| &nbsp;&nbsp;&nbsp;Asset-Backed Securities |  | 34465035 |  | 34465035 |
| &nbsp;&nbsp;&nbsp;Collateralized Mortgage Obligations - Agency Collateral Series |  | 7799174 |  | 7799174 |
| &nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities |  | 12190188 |  | 12190188 |
| &nbsp;&nbsp;&nbsp;Corporate Bond |  | 144375 |  | 144375 |
| &nbsp;&nbsp;&nbsp;Mortgages - Other |  | 72039652 |  | 72039652 |
| **Total Fixed Income Securities** | **—** | **188053113** | **—** | **188053113** |
| **Short-Term Investments** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Securities |  | 41741920 |  | 41741920 |
| &nbsp;&nbsp;&nbsp;Investment Company | 6809310 |  |  | 6809310 |
| **Total Short-Term Investments** | **6809310** | **41741920** | **—** | **48551230** |
| **Foreign Currency Forward Exchange Contracts** |  | 37046 |  | 37046 |
| **Futures Contracts** | 302934 |  |  | 302934 |
| **Total Assets** | **7112244** | **229832079** | **—** | **236944323** |
| **Liabilities:** |  |  |  |  |
| **Foreign Currency Forward Exchange Contracts** |  | (1165315) |  | (1165315) |
| **Total** | $**7112244** | $**228666764** | $— | $**235779008** |

---

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY MORTGAGE SECURITIES TRUST

- **b. Investment Company Act file number:** 811-04917

- **c. CIK number of Registrant:** 0000806564

- **d. LEI of Registrant:** WKCEPKI1XKBG42N8NC94

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

  - **Street Address 1:** 522 FIFTH AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-548-7786

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

- **a. Name of Series:** Morgan Stanley Mortgage Securities Trust

- **b. EDGAR series identifier (if any):** S000002467

- **c. LEI of Series:** WKCEPKI1XKBG42N8NC94

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $237595156.71

**Total Liabilities:** $39576068.50

**Net Assets:** $198019088.21

**Cash Not Reported:** $250004.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -110.02000000 | **1-Year:** -2098.42000000 | **5-Year:** -3334.68000000 | **10-Year:** -3080.10000000 | **30-Year:** -1267.72000000

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

- **3-Month:** -582.50000000 | **1-Year:** -7574.71000000 | **5-Year:** -12975.01000000 | **10-Year:** -5478.22000000 | **30-Year:** -891.73000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000198813 | 2.34%                | -0.10%               | 2.65%                |
| Class ID C000006611 | 2.41%                | -0.26%               | 2.71%                |
| Class ID C000155975 | 2.36%                | -0.33%               | 2.66%                |
| Class ID C000006613 | 2.27%                | -0.29%               | 2.71%                |
| Class ID C000006614 | 2.33%                | -0.24%               | 2.78%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $449351.98               | $3360650.38                                |
| Month 2  | $68160.83                | $-505436.29                                |
| Month 3  | $50587.90                | $3063351.01                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** BBG_US_MBS

### Schedule of Portfolio Investments

| Name                                              | Title                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502549 | PA      | $25999.33     | 0.01%             | 2067-03-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2021-HB5 LLC                                                        | CUSIP: 12526PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2314525 | PA      | $2164415.09   | 1.09%             | 2031-02-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31384WAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9687 | PA      | $9926.92      | 0.01%             | 2030-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31383RFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       312 | PA      | $319.30       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112703 | PA      | $2335.77      | 0.00%             | 2041-11-25      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3618AVMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2376500 | PA      | $2466266.23   | 1.25%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31371RFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19459 | PA      | $20459.63     | 0.01%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17538 | PA      | $17457.87     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2016-1                        | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    570428 | PA      | $516259.74    | 0.26%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR2                  | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83283 | PA      | $74297.73     | 0.04%             | 2045-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.             | Conseco Finance Securitizations Corp                                     | CUSIP: 20846QJY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    772145 | PA      | $770877.04    | 0.39%             | 2033-03-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31386TQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1055 | PA      | $1112.68      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-3                        | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    696049 | PA      | $639377.71    | 0.32%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                 | Real Estate Asset Liquidity Trust                                        | CUSIP: 75585RRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   8635327 | PA      | $392939.65    | 0.20%             | 2055-02-12      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95947 | PA      | $94354.52     | 0.05%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5792812.50   | 2.93%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                                      | GAIA Aviation Ltd                                                        | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    252133 | PA      | $211658.49    | 0.11%             | 2044-12-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13641 | PA      | $13072.40     | 0.01%             | 2029-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                  | Newtek Small Business Loan Trust 2018-1                                  | CUSIP: 65252MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170360 | PA      | $168099.54    | 0.08%             | 2044-02-25      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-0.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137BCNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283490 | PA      | $8107.19      | 0.00%             | 2042-08-15      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                             | PURCHASED USD / SOLD GBP                                                 | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | N/A              | DFE              |  | US        |         1 | NC      | $-0.38        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-2                        | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $857949.70    | 0.43%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization          | European Residential Loan Securitisation 2019-NPL1 DAC                   | CUSIP: 000000000<br>LEI: 635400NCOLE2BYYWTZ86 | Long             | ABS-O            | CORP              | IE        |    953539 | PA      | $1029706.96   | 0.52%             | 2054-07-24      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140K8P62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118743 | PA      | $105694.79    | 0.05%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137BCNR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567367 | PA      | $15319.59     | 0.01%             | 2041-09-15      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137B9FK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206857 | PA      | $7039.14      | 0.00%             | 2039-04-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286797 | PA      | $14026.55     | 0.01%             | 2068-01-20      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-766019.19   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50207 | PA      | $46903.95     | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880921 | PA      | $54981.92     | 0.03%             | 2067-10-20      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-1                        | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    593479 | PA      | $536120.54    | 0.27%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-1                        | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    419154 | PA      | $398854.30    | 0.20%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137BFBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99169 | PA      | $5196.92      | 0.00%             | 2041-10-15      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2551397 | PA      | $91175.18     | 0.05%             | 2065-02-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179WRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642899 | PA      | $614058.98    | 0.31%             | 2051-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301140 | PA      | $276271.72    | 0.14%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11536 | PA      | $11390.10     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8419 | PA      | $8865.22      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SWAP CITIBANK BOC                                 | SWAP CITIBANK BOC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -21000 | NS      | $-21000.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AAA Trust                                         | Financial Asset Securities Corp AAA Trust 2005-1                         | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $158104.86    | 0.08%             | 2035-02-27      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2019-10K                    | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $481064.91    | 0.24%             | 2039-05-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2017-1                        | CUSIP: 35563PAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    268085 | PA      | $243914.81    | 0.12%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10            | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470230 | PA      | $108432.32    | 0.05%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alba Plc                                          | Alba 2005-1 PLC                                                          | CUSIP: 000000000<br>LEI: 213800OGMHK8BKUJEY32 | Long             | ABS-MBS          | CORP              | GB        |    252175 | PA      | $287111.82    | 0.14%             | 2042-11-25      | Floating      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-19                                  | CUSIP: 12669F4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222103 | PA      | $214580.64    | 0.11%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                         | EMF-NL Prime 2008-A BV                                                   | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |    200000 | PA      | $179529.18    | 0.09%             | 2041-04-17      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD CAD                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-4.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38378TAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441590 | PA      | $70914.10     | 0.04%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138ARHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55469 | PA      | $56122.09     | 0.03%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179U6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213044 | PA      | $198453.17    | 0.10%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136AQ7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011317 | PA      | $28944.70     | 0.01%             | 2046-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31385HQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6629 | PA      | $6960.48      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Eurohome Mortgages PLC                            | Eurohome Mortgages PLC                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    195056 | PA      | $156061.22    | 0.08%             | 2050-08-02      | Floating      | 1.81%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3618APTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999230 | PA      | $1025841.15   | 0.52%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-2                        | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    556746 | PA      | $503837.09    | 0.25%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28275 | PA      | $6054.17      | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust Resecuritization 2008-2R                 | CUSIP: 12544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61348 | PA      | $37569.88     | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74973 | PA      | $74022.57     | 0.04%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140JMAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29679 | PA      | $28905.50     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust 2017-4                               | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    312975 | PA      | $291802.46    | 0.15%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5249161 | PA      | $262115.79    | 0.13%             | 2067-05-20      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2003-3                                      | CUSIP: 576434DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95272 | PA      | $90983.57     | 0.05%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2007-4                                            | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72044 | PA      | $55155.30     | 0.03%             | 2036-01-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70966 | PA      | $71138.30     | 0.04%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663924 | PA      | $655859.11    | 0.33%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                                | E-MAC Program II BV                                                      | CUSIP: 000000000<br>LEI: 724500E754K57OOQQ940 | Long             | ABS-MBS          | CORP              | NL        |    109026 | PA      | $110264.49    | 0.06%             | 2048-04-25      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Trust 2004-CW1                                                      | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123885 | PA      | $119979.20    | 0.06%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2020-1NV                                         | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127803 | PA      | $103547.60    | 0.05%             | 2050-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267191 | PA      | $13356.61     | 0.01%             | 2068-02-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-4 Trust                                   | CUSIP: 21873AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4196837 | PA      | $377728.32    | 0.19%             | 2052-12-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                | CUSIP: 31364HK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8002 | PA      | $366.77       | 0.00%             | 2024-10-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                              | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2543000 | PA      | $2531649.63   | 1.28%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38378PFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295386 | PA      | $37947.12     | 0.02%             | 2043-12-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities Trust 2006-SD3                      | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60859 | PA      | $60177.60     | 0.03%             | 2036-07-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Farringdon Mortgages Plc                          | Farringdon Mortgages No 2 PLC                                            | CUSIP: 000000000<br>LEI: 2138004JCHK8UD348R73 | Long             | ABS-MBS          | CORP              | GB        |    907497 | PA      | $1091374.02   | 0.55%             | 2047-07-15      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13630 | PA      | $13624.62     | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659188 | PA      | $29420.02     | 0.01%             | 2067-06-20      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2007-5 Trust                                     | CUSIP: 059523AR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6457 | PA      | $6234.83      | 0.00%             | 2037-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR4           | CUSIP: 22541SFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248355 | PA      | $226658.69    | 0.11%             | 2034-05-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439800 | PA      | $13402.30     | 0.01%             | 2067-10-20      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138A6JT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14587 | PA      | $15009.03     | 0.01%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                | CUSIP: 31364HQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10951 | PA      | $1239.92      | 0.00%             | 2027-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60064 | PA      | $59067.22     | 0.03%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $2805.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2021-HB5 LLC                                                        | CUSIP: 12526PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1587013.07   | 0.80%             | 2031-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                                   | VMC Finance 2021-HT1 LLC                                                 | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    745875 | PA      | $726801.47    | 0.37%             | 2037-01-18      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2019-Vantage2 PLC                            | CUSIP: 000000000<br>LEI: 635400FCYDBSQ71YXS67 | Long             | ABS-MBS          | CORP              | GB        |    800000 | PA      | $969793.95    | 0.49%             | 2054-02-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2021-2                                           | CUSIP: 33852EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1283804 | PA      | $1077607.35   | 0.54%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CG-CCRE Commercial Mortgage Trust                 | CG-CCRE Commercial Mortgage Trust 2014-FL2                               | CUSIP: 12528PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179851 | PA      | $171134.54    | 0.09%             | 2031-11-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                    | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122411 | PA      | $124271.74    | 0.06%             | 2035-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140KBZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242179 | PA      | $215566.15    | 0.11%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                  | MASTR Asset Securitization Trust 2005-2                                  | CUSIP: 57643MLK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1112 | PA      | $1124.91      | 0.00%             | 2025-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76292 | PA      | $73227.06     | 0.04%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3132GEB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16403 | PA      | $16891.15     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Sec Inc Asset Backed Pas Thr Cer Ser 2003-WI                      | CUSIP: 040104AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108649 | PA      | $117955.09    | 0.06%             | 2033-12-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36176D5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55277 | PA      | $56674.09     | 0.03%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-NL 2007-2 BV                                                    | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |   1000000 | PA      | $1057913.04   | 0.53%             | 2040-10-17      | Floating      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133N3U51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62060 | PA      | $57977.67     | 0.03%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                 | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-1364.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2020-HB4 LLC                                                        | CUSIP: 12529LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2345289.75   | 1.18%             | 2030-12-26      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract          | Lehman ABS Manufactured Housing Contract Trust 2001-B                    | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193201 | PA      | $192177.01    | 0.10%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143571 | PA      | $134141.57    | 0.07%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE18 Mortgage Trust                                          | CUSIP: 12632QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91826.50     | 0.05%             | 2047-07-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CR14 Mortgage Trust                                            | CUSIP: 12630DAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139654 | PA      | $7197.69      | 0.00%             | 2047-02-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31389R3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1215 | PA      | $1233.38      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1117387 | PA      | $61019.63     | 0.03%             | 2067-07-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2017-2                        | CUSIP: 35563PBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $449043.35    | 0.23%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2015-GC33                            | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1991788 | PA      | $36445.64     | 0.02%             | 2058-09-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-BPNY                                                           | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $969583.45    | 0.49%             | 2023-08-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45131 | PA      | $42161.90     | 0.02%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | NRZ Advance Receivables Trust 2015-ON1                                   | CUSIP: 62942QDA8<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $963178.00    | 0.49%             | 2053-09-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1496977 | PA      | $1547143.89   | 0.78%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64050 | PA      | $1632.04      | 0.00%             | 2041-08-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Portman Square                                    | Portman Square 2021-NPL1 DAC                                             | CUSIP: 000000000<br>LEI: 635400VDIW61NQKJEY92 | Long             | ABS-O            | CORP              | IE        |    393008 | PA      | $415509.30    | 0.21%             | 2061-10-25      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111169 | PA      | $105645.43    | 0.05%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25174 | PA      | $25235.48     | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133JL7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1655210 | PA      | $1612219.98   | 0.81%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VHF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377536 | PA      | $330969.05    | 0.17%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Miravet SARL                                      | Miravet Sarl - Compartment 2020-1                                        | CUSIP: 000000000<br>LEI: 222100N4914C4WCYHB56 | Long             | ABS-MBS          | CORP              | LU        |    700000 | PA      | $721652.12    | 0.36%             | 2065-05-26      | Floating      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC                       | Raptor Aircraft Finance I LLC                                            | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | KY        |   1395953 | PA      | $1043514.76   | 0.53%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR1                  | CUSIP: 86359LGT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40223 | PA      | $35148.20     | 0.02%             | 2035-04-19      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137B6US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56035 | PA      | $61197.37     | 0.03%             | 2043-12-15      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED AUD / SOLD USD                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $59.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2032188.50   | 1.03%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315356 | PA      | $26729.97     | 0.01%             | 2043-11-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC GMSR ISSUER TRUST 2022-GT1                                         | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1433515.80   | 0.72%             | 2027-05-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38377YTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37131 | PA      | $2561.67      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141149 | PA      | $15194.14     | 0.01%             | 2044-06-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38380LYZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2765977 | PA      | $130320.43    | 0.07%             | 2069-08-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30642 | PA      | $32923.26     | 0.02%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $938280.60    | 0.47%             | 2027-07-25      | Fixed         | 10.07%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376YU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170428 | PA      | $12618.27     | 0.01%             | 2034-08-16      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31388LC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1469 | PA      | $1546.54      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16136 | PA      | $15893.55     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2004-2CB                                          | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132891 | PA      | $130188.84    | 0.07%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137BBZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373832 | PA      | $14275.83     | 0.01%             | 2040-10-15      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                  | Newtek Small Business Loan Trust 2021-1                                  | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1124305 | PA      | $1113754.59   | 0.56%             | 2049-10-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77556 | PA      | $76269.08     | 0.04%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203444 | PA      | $91516.03     | 0.05%             | 2067-11-20      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29781 | PA      | $29790.35     | 0.02%             | 2063-08-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2004-5                                            | CUSIP: 45254NJK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53133 | PA      | $50752.41     | 0.03%             | 2034-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133JL7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1461465 | PA      | $1238526.70   | 0.63%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2007-A2                           | CUSIP: 761120AN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13113905 | PA      | $222583.62    | 0.11%             | 2037-04-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $267.12       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                     | MASTR Reperforming Loan Trust 2005-2                                     | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106275 | PA      | $85282.06     | 0.04%             | 2035-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2018-C9                                    | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8863508 | PA      | $339722.32    | 0.17%             | 2051-03-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | Cascade Funding Mortgage Trust 2022-AB2                                  | CUSIP: 12530JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018939 | PA      | $790408.05    | 0.40%             | 2052-02-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C19                      | CUSIP: 46641WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267000 | PA      | $244309.10    | 0.12%             | 2047-04-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2006-AC2                    | CUSIP: 07387UGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    522625 | PA      | $265444.96    | 0.13%             | 2036-03-25      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7799 | PA      | $7700.28      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31379NGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $65.95        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding Plc                               | Ludgate Funding PLC                                                      | CUSIP: 000000000<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |    234782 | PA      | $217591.39    | 0.11%             | 2060-12-01      | Floating      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| COOF Securitization Trust II                      | COOF Securitization Trust II Series 2015-2                               | CUSIP: 12593RAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1090694 | PA      | $48126.98     | 0.02%             | 2041-08-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Solaris Trust                                     | Solaris Trust 2021-1                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    500000 | PA      | $350322.26    | 0.18%             | 2052-06-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-1                        | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    169309 | PA      | $151971.57    | 0.08%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FCI Funding, LLC                                  | FCI Funding 2019-1 LLC                                                   | CUSIP: 30259MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6936 | PA      | $6928.20      | 0.00%             | 2031-02-18      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-4                        | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    358990 | PA      | $322362.98    | 0.16%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50135 | PA      | $45218.28     | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412874 | PA      | $60345.47     | 0.03%             | 2064-05-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138A8YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27690 | PA      | $28485.27     | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-8F                                          | CUSIP: 362341VT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3079 | PA      | $2852.24      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2012-2                                          | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    540531 | PA      | $8295.79      | 0.00%             | 2038-08-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2004-3F                                          | CUSIP: 36228FG34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12387 | PA      | $11460.61     | 0.01%             | 2034-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                  | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493201 | PA      | $451351.70    | 0.23%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90173 | PA      | $86449.16     | 0.04%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                     | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    365438 | PA      | $352925.72    | 0.18%             | 2043-12-15      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617GTPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15758 | PA      | $16032.86     | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38380VPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1046941 | PA      | $54969.06     | 0.03%             | 2068-02-20      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2022-5                            | CUSIP: 91824FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943515 | PA      | $929480.27    | 0.47%             | 2047-05-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust           | Freddie Mac Whole Loan Securities Trust 2017-SC02                        | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    577748 | PA      | $504062.28    | 0.25%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                        | Start II LTD                                                             | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    244645 | PA      | $211970.89    | 0.11%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163466 | PA      | $155088.17    | 0.08%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2816838 | PA      | $90633.95     | 0.05%             | 2067-07-20      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $759406.60    | 0.38%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29521 | PA      | $31629.01     | 0.02%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3132GJUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29101 | PA      | $29469.92     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-1                        | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    542805 | PA      | $491259.87    | 0.25%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust           | Amortizing Residential Collateral Trust 2002-BC7                         | CUSIP: 86358R7H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293354 | PA      | $264364.12    | 0.13%             | 2032-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2004-2AR                              | CUSIP: 61748HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74091 | PA      | $70877.60     | 0.04%             | 2034-02-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS6 Trust                                               | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77478 | PA      | $64891.83     | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | Cascade Funding Mortgage Trust 2019-RM3                                  | CUSIP: 147271AC4<br>LEI: 549300HU3WTU5KNK1B36 | Long             | ABS-MBS          | CORP              | US        |   2306912 | PA      | $2072983.37   | 1.05%             | 2069-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-NL 2007-2 BV                                                    | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $513207.25    | 0.26%             | 2040-10-17      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490641 | PA      | $441143.38    | 0.22%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                               | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $971944.55    | 0.49%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1 | NC      | $1726.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Kestrel Aircraft Funding Limited                  | Kestrel Aircraft Funding Ltd                                             | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    392928 | PA      | $319036.44    | 0.16%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |         1 | NC      | $-2086.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188346 | PA      | $4847.73      | 0.00%             | 2044-03-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617J7FM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1631 | PA      | $1670.92      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust           | Freddie Mac Whole Loan Securities Trust 2015-SC02                        | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55841 | PA      | $49254.15     | 0.02%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| E-MAC                                             | E-MAC NL 2004-I BV                                                       | CUSIP: 000000000<br>LEI: 724500SQXZRLADX2J753 | Long             | ABS-MBS          | CORP              | NL        |    149031 | PA      | $152772.03    | 0.08%             | 2036-07-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                   | CUSIP: 64830YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448819 | PA      | $403420.93    | 0.20%             | 2026-03-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED GBP / SOLD USD                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $11054.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25203 | PA      | $3662.58      | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC24                                   | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560040 | PA      | $13494.66     | 0.01%             | 2047-09-10      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | Pretium Mortgage Credit Partners LLC                                     | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629588 | PA      | $585622.88    | 0.30%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5440 | PA      | $5674.56      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2015-GC33                            | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $197215.15    | 0.10%             | 2058-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TBN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54117 | PA      | $54002.11     | 0.03%             | 2030-04-15      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-NWPT                                                           | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $991577.70    | 0.50%             | 2024-09-09      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133JL7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1721113 | PA      | $1632437.73   | 0.82%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2022-HB8 LLC                                                        | CUSIP: 12526WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1671140.00   | 0.84%             | 2025-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2004-OPT2 Trust                                                     | CUSIP: 04542BFU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402856 | PA      | $390477.03    | 0.20%             | 2033-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-4                        | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    377145 | PA      | $339824.96    | 0.17%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175110 | PA      | $171450.71    | 0.09%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1                | CUSIP: 59023HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17001 | PA      | $16389.06     | 0.01%             | 2037-01-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                              | Conn's Receivables Funding 2022-A LLC                                    | CUSIP: 20825YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2996577.90   | 1.51%             | 2026-12-15      | Fixed         | 9.52%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3351248 | PA      | $2422877.04   | 1.22%             | 2050-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31404SDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4430 | PA      | $4556.18      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96109 | PA      | $94513.39     | 0.05%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $18074531.70  | 9.13%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                             | Mansard Mortgages 2006-1 PLC                                             | CUSIP: 000000000<br>LEI: 213800OR1ZCE1EMOXP13 | Long             | ABS-MBS          | CORP              | GB        |    128067 | PA      | $144222.12    | 0.07%             | 2048-10-15      | Floating      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-WF1 Trust                                                      | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108615 | PA      | $102690.10    | 0.05%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617JUSZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64377 | PA      | $64084.00     | 0.03%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                    | Finance of America HECM Buyout 2022-HB1                                  | CUSIP: 31735JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $939280.90    | 0.47%             | 2032-02-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $924768.57    | 0.47%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1362696.20   | 0.69%             | 2031-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38377WJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85483 | PA      | $6696.29      | 0.00%             | 2041-04-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $-3248.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 313615MN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30 | PA      | $30.24        | 0.00%             | 2023-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2003-4                                      | CUSIP: 576434EJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127535 | PA      | $117059.24    | 0.06%             | 2018-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-4                        | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    529418 | PA      | $504140.23    | 0.25%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 31397NWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20338 | PA      | $17569.89     | 0.01%             | 2039-04-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       855 | PA      | $903.66       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2756501 | PA      | $43808.61     | 0.02%             | 2064-01-20      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2004-A6                                         | CUSIP: 466247GS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102143 | PA      | $88804.54     | 0.04%             | 2034-12-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2005-5 Trust                                     | CUSIP: 05946XE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250652 | PA      | $236066.83    | 0.12%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                              | Boston Lending Trust 2022-2                                              | CUSIP: 10085BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $840033.20    | 0.42%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6827403 | PA      | $432752.62    | 0.22%             | 2064-10-20      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                      | MERIT Securities Corp                                                    | CUSIP: 589962CV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148898 | PA      | $146645.65    | 0.07%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                       | CUSIP: 31352DEG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817099 | PA      | $32345.37     | 0.02%             | 2037-10-15      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                          | ECAF I Ltd                                                               | CUSIP: 26827EAA3<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     39575 | PA      | $21065.18     | 0.01%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-11                                    | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95194 | PA      | $94200.28     | 0.05%             | 2035-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust            | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70034 | PA      | $66403.85     | 0.03%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust              | National City Mortgage Capital Trust                                     | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58694 | PA      | $55101.18     | 0.03%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2022-A                                     | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140665 | PA      | $1131455.38   | 0.57%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust                     | EquiFirst Mortgage Loan Trust 2004-2                                     | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110393 | PA      | $105317.27    | 0.05%             | 2034-10-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31390EZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       827 | PA      | $886.99       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3715234 | PA      | $115809.48    | 0.06%             | 2065-07-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375URW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4273709 | PA      | $184069.49    | 0.09%             | 2064-11-20      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance | NRZ Advance Receivables Trust 2015-ON1                                   | CUSIP: 62942QCZ4<br>LEI: 549300RNWDDBV4LFKJ17 | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1014482.39   | 0.51%             | 2053-09-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB1                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95305 | PA      | $87800.47     | 0.04%             | 2034-05-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192508 | PA      | $174169.99    | 0.09%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2022-HB1                                       | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $993864.75    | 0.50%             | 2032-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179XJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397594 | PA      | $404508.19    | 0.20%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375GZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230592 | PA      | $27202.89     | 0.01%             | 2042-08-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38378HP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    697815 | PA      | $133301.52    | 0.07%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                      | Eagle RE 2019-1 Ltd                                                      | CUSIP: 269822AD4<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1507516.80   | 0.76%             | 2029-04-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | Cascade Funding Mortgage Trust 2020-HB2                                  | CUSIP: 12529GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $859208.60    | 0.43%             | 2035-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185620 | PA      | $167416.30    | 0.08%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53880 | PA      | $53191.88     | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-2F                                          | CUSIP: 36242DYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35919 | PA      | $20235.52     | 0.01%             | 2035-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| METAL Cayman                                      | METAL 2017-1 LLC                                                         | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    291912 | PA      | $154719.24    | 0.08%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities Trust 2001-3                        | CUSIP: 07384YBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101836 | PA      | $100288.30    | 0.05%             | 2032-10-27      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2020-D                                          | CUSIP: 00970CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458572 | PA      | $439744.46    | 0.22%             | 2060-06-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       363 | NC      | $131391.13    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140K8XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230367 | PA      | $212170.59    | 0.11%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-LC17 Mortgage Trust                                            | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845537 | PA      | $7175.06      | 0.00%             | 2047-10-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        20 | NC      | $73658.42     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Cendant Mortgage Corporation                      | Cendant Mortgage Corp                                                    | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98566 | PA      | $94941.94     | 0.05%             | 2043-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UQV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62088 | PA      | $62238.68     | 0.03%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Reverse Mortgage Loan Trust 2007-RM1    | CUSIP: 86363BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117637 | PA      | $997807.67    | 0.50%             | 2047-05-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| CIM Retail Portfolio Trust                        | CIM Retail Portfolio Trust 2021-RETL                                     | CUSIP: 12566BAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731250 | PA      | $724001.92    | 0.37%             | 2036-08-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73425 | PA      | $68594.55     | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust Series 2003-5                         | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134848 | PA      | $121841.71    | 0.06%             | 2033-11-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140JVWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147838 | PA      | $140722.90    | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                          | ECAF I Ltd                                                               | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    678449 | PA      | $427398.72    | 0.22%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14669 | PA      | $14079.37     | 0.01%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                               | Newgate Funding PLC                                                      | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    245588 | PA      | $272047.98    | 0.14%             | 2050-12-15      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| IMS Ecuadorian Mortagage Trust                    | IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485761 | PA      | $465688.49    | 0.24%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.        | PURCHASED AUD / SOLD USD                                                 | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | AU        |         1 | NC      | $43.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569476 | PA      | $529227.93    | 0.27%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                             | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $882693.30    | 0.45%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-J1                                           | CUSIP: 12667FT88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6175 | PA      | $6066.36      | 0.00%             | 2025-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31381CVM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       657 | PA      | $678.15       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                     | PURCHASED USD / SOLD GBP                                                 | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |         1 | NC      | $7129.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138A1JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9407 | PA      | $9627.66      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                                | E-MAC Program BV                                                         | CUSIP: 000000000<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |    165936 | PA      | $169490.25    | 0.09%             | 2048-01-25      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302712 | PA      | $273025.05    | 0.14%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31388HBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22649 | PA      | $23950.36     | 0.01%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3132GLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92716 | PA      | $91997.89     | 0.05%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10099 | PA      | $10209.30     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 31296NET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $255.78       | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2017-2                        | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    382870 | PA      | $348078.72    | 0.18%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172102 | PA      | $150874.36    | 0.08%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-3                        | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    235560 | PA      | $212407.84    | 0.11%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526490 | PA      | $310468.89    | 0.16%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157537 | PA      | $150469.77    | 0.08%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                    | Newday Funding Master Issuer PLC - Series 2022-2                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   1000000 | PA      | $1234543.46   | 0.62%             | 2030-07-15      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                          | Great Hall Mortgages No 1 PLC                                            | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |    500000 | PA      | $510562.48    | 0.26%             | 2039-03-18      | Floating      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R2                                  | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81984 | PA      | $74968.13     | 0.04%             | 2037-07-27      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22755 | PA      | $24386.36     | 0.01%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240308 | PA      | $207030.02    | 0.10%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-3                        | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141727 | PA      | $128124.71    | 0.06%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31390RTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1033 | PA      | $1096.88      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Residential Mortgage Securities, Inc.    | Citicorp Residential Mortgage Trust Series 2007-1                        | CUSIP: 173109AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267522 | PA      | $262860.80    | 0.13%             | 2037-03-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140L6M76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847517 | PA      | $691195.05    | 0.35%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121046 | PA      | $124132.11    | 0.06%             | 2029-11-15      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $15661.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                   | Shenton Aircraft Investment I Ltd                                        | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    779852 | PA      | $614133.21    | 0.31%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136AWPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40222 | PA      | $339.09       | 0.00%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 312944BB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30606 | PA      | $31540.63     | 0.02%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415041 | PA      | $386615.15    | 0.20%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-3                        | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    235386 | PA      | $224430.03    | 0.11%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34141 | PA      | $33707.65     | 0.02%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20176 | PA      | $21672.57     | 0.01%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38383 | PA      | $37129.41     | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-WEHO                                                           | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382712 | PA      | $1358941.82   | 0.69%             | 2023-04-15      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Business Loan Express                             | Business Loan Express Business Loan Trust 2007-A                         | CUSIP: 12328RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293477 | PA      | $258711.51    | 0.13%             | 2040-10-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PMC PLS ESR Issuer LLC                            | PMC PLS ESR Issuer LLC                                                   | CUSIP: 69375JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1101181 | PA      | $1044403.73   | 0.53%             | 2027-02-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38382YTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9105393 | PA      | $412213.00    | 0.21%             | 2072-05-20      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-J3                                                        | CUSIP: 12565VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336802 | PA      | $1120406.92   | 0.57%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 31323ABF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145722 | PA      | $137400.48    | 0.07%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 31323AEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32640 | PA      | $32434.07     | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                              | CUSIP: 912796ZZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  20000000 | PA      | $19569597.60  | 9.88%             | 2023-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9087335 | PA      | $757897.85    | 0.38%             | 2066-06-20      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5927098 | PA      | $206558.05    | 0.10%             | 2066-01-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust           | Amortizing Residential Collateral Trust                                  | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353931 | PA      | $324053.85    | 0.16%             | 2031-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256322 | PA      | $27630.31     | 0.01%             | 2042-08-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PMT Issuer Trust - FMSR                                                  | CUSIP: 69346MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $971630.90    | 0.49%             | 2027-06-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UNZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22630 | PA      | $22342.55     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                      | CUSIP: 12498SAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58931 | PA      | $59516.81     | 0.03%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $783608.90    | 0.40%             | 2026-07-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2020-HB4 LLC                                                        | CUSIP: 12529LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1170992.00   | 0.59%             | 2030-12-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                              | CUSIP: 912796Y29<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4888329.65   | 2.47%             | 2023-07-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                | CUSIP: 31364JT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16997 | PA      | $2002.12      | 0.00%             | 2030-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                         | EMF-NL Prime 2008-A BV                                                   | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |    227129 | PA      | $232081.29    | 0.12%             | 2041-04-17      | Floating      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                              | Conn's Receivables Funding 2022-A LLC                                    | CUSIP: 20825YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $704970.00    | 0.36%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                   | Shenton Aircraft Investment Ltd                                          | CUSIP: 82321UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    246430 | PA      | $138053.01    | 0.07%             | 2042-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139688 | PA      | $138377.50    | 0.07%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2018-4                        | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    631542 | PA      | $603224.01    | 0.30%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2003-1                                    | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92900 | PA      | $85256.41     | 0.04%             | 2033-05-19      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617UNGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1305153 | PA      | $1156407.09   | 0.58%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39112 | PA      | $36722.73     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities PLC                 | Lansdowne Mortgage Securities No 2 PLC                                   | CUSIP: 000000000<br>LEI: 549300FRHPJ8SK8UYU55 | Long             | ABS-MBS          | CORP              | IE        |    372400 | PA      | $363252.31    | 0.18%             | 2048-09-16      | Floating      | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104066 | PA      | $99333.66     | 0.05%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | Cascade Funding Mortgage Trust 2018-RM2                                  | CUSIP: 14727QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1413638 | PA      | $1354890.57   | 0.68%             | 2068-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137B53F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27597 | PA      | $6061.86      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                             | USASF Receivables 2020-1 LLC                                             | CUSIP: 90353QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950000 | PA      | $1967805.26   | 0.99%             | 2027-03-15      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-2                        | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247209 | PA      | $235584.04    | 0.12%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-BRIT                                                           | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $929436.35    | 0.47%             | 2023-05-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31371HTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       837 | PA      | $867.77       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                    | Finance of America HECM Buyout 2022-HB1                                  | CUSIP: 31735JAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1872795.00   | 0.95%             | 2032-02-25      | Variable      | 7.87%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                    | Finance of America HECM Buyout 2022-HB2                                  | CUSIP: 317380AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1308538.65   | 0.66%             | 2032-08-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VFE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122924 | PA      | $114505.10    | 0.06%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | Morgan Stanley Institutional Liquidity Funds - Government Portfolio      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   6809310 | NS      | $6809309.92   | 3.44%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD GBP                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-349425.44   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                     | TIAA Bank Mortgage Loan Trust 2018-3                                     | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201039 | PA      | $186051.82    | 0.09%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC20                                   | CUSIP: 36252WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097032 | PA      | $8814.92      | 0.00%             | 2047-04-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6340906 | PA      | $348503.14    | 0.18%             | 2068-02-20      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| E-MAC                                             | E-MAC NL 2005-I BV                                                       | CUSIP: 000000000<br>LEI: 724500ZVKRLV3I0BMR76 | Long             | ABS-MBS          | CORP              | NL        |     83841 | PA      | $81971.72     | 0.04%             | 2038-04-25      | Floating      | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617UNGV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    914472 | PA      | $805107.59    | 0.41%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244223 | PA      | $217386.10    | 0.11%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136A6WV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448884 | PA      | $48465.61     | 0.02%             | 2042-06-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2017-3                        | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161566 | PA      | $146223.85    | 0.07%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2004-5                                    | CUSIP: 007036ES1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77060 | PA      | $70161.47     | 0.04%             | 2035-04-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities Trust 2005-SD4                      | CUSIP: 073877EJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22809 | PA      | $23195.20     | 0.01%             | 2042-12-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848508 | PA      | $123358.60    | 0.06%             | 2031-06-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38380QSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6591305 | PA      | $265609.75    | 0.13%             | 2070-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29143 | PA      | $31198.46     | 0.02%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Pass-Through Certificates Seri | CUSIP: 863572Z97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234544 | PA      | $220481.95    | 0.11%             | 2030-11-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31386BAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9820 | PA      | $10448.65     | 0.01%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-7F                                          | CUSIP: 362341NC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292563 | PA      | $284240.97    | 0.14%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140JLQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78807 | PA      | $81565.71     | 0.04%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-79CB                                         | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33800 | PA      | $21441.25     | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82102 | PA      | $81060.50     | 0.04%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CAD / SOLD USD                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |         1 | NC      | $164.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10790 | PA      | $10080.66     | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       115 | NC      | $96157.94     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418C4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31075 | PA      | $30607.33     | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mortgage Equity Conversion Asset Trust            | Mortgage Equity Conversion Asset Trust 2007-FF2                          | CUSIP: 61911CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179312 | PA      | $176263.53    | 0.09%             | 2042-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED EUR / SOLD USD                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $-5748.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                         | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1022807.88   | 0.52%             | 2050-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2022-HB8 LLC                                                        | CUSIP: 12526WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2764685.00   | 1.40%             | 2025-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-Nl 2007-1 BV                                                    | CUSIP: 000000000<br>LEI: 7245005ZXA2CS61TW539 | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $477738.69    | 0.24%             | 2040-04-17      | Floating      | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138A5GF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18421 | PA      | $18961.50     | 0.01%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DSSV                                              | Dssv Sarl                                                                | CUSIP: 000000000<br>LEI: 222100GVTIUR8J9SPS74 | Long             | ABS-MBS          | CORP              | LU        |    287082 | PA      | $302738.08    | 0.15%             | 2024-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60602 | PA      | $59976.17     | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418D5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264794 | PA      | $225642.54    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1079 | PA      | $1102.20      | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138WFK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124596 | PA      | $118405.15    | 0.06%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1340794 | PA      | $13281.91     | 0.01%             | 2058-08-20      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31418CVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37944 | PA      | $35625.72     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14510 | PA      | $15172.05     | 0.01%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DP FACILITIES TRUST                               | DP Facilities Data Center Subordinated Pass-Through Trust                | CUSIP: 23341GAA2<br>LEI: 549300TYHFJ7EETO8B10 | Long             | DBT              | CORP              | US        |    350000 | PA      | $144375.00    | 0.07%             | 2028-11-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2004-14                                          | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184710 | PA      | $165083.62    | 0.08%             | 2034-12-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| ReadyCap lending                                  | ReadyCap Lending Small Business Loan Trust 2019-2                        | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540411 | PA      | $515186.11    | 0.26%             | 2044-12-27      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267758 | PA      | $10328.49     | 0.01%             | 2039-10-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7531815 | PA      | $874820.36    | 0.44%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351999 | PA      | $339109.52    | 0.17%             | 2036-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3132GECE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3652 | PA      | $3765.04      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2015-2                                          | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    419940 | PA      | $44928.92     | 0.02%             | 2041-07-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137BCNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185586 | PA      | $5048.58      | 0.00%             | 2039-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2017-SLP                               | CUSIP: 36255MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6679000 | PA      | $34908.46     | 0.02%             | 2032-10-10      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED GBP / SOLD USD                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $71.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252489 | PA      | $239548.31    | 0.12%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-11T1                                         | CUSIP: 02150GBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71203 | PA      | $72764.40     | 0.04%             | 2037-05-25      | Floating      | 12.98%                | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ FHT Excess LLC                                                       | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660794 | PA      | $619202.36    | 0.31%             | 2025-11-25      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51279 | PA      | $51090.96     | 0.03%             | 2061-02-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                       | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53085 | PA      | $8941.23      | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3128L4EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9802 | PA      | $10414.04     | 0.01%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10998 | PA      | $11720.35     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-5                             | CUSIP: 576433MY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223461 | PA      | $207652.59    | 0.10%             | 2034-06-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2002-3                                      | CUSIP: 805564MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266457 | PA      | $220263.62    | 0.11%             | 2032-12-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Small Business Origination Loan Trust             | Small Business Origination Loan Trust 2021-1 DAC                         | CUSIP: 000000000<br>LEI: 6354007IYVELEJYFVG15 | Long             | ABS-CBDO         | CORP              | IE        |    882836 | PA      | $1061124.17   | 0.54%             | 2030-03-01      | Floating      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust           | Freddie Mac Whole Loan Securities Trust 2015-SC01                        | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33087 | PA      | $29051.91     | 0.01%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23786 | PA      | $23484.02     | 0.01%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36184YE78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127332 | PA      | $122072.84    | 0.06%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188550 | PA      | $169444.12    | 0.09%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31400HWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188021 | PA      | $199946.88    | 0.10%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2021-HB7 LLC                                                        | CUSIP: 12530BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1376111.10   | 0.69%             | 2031-10-27      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                      | MERIT Securities Corp                                                    | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395662 | PA      | $358244.36    | 0.18%             | 2032-09-28      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-INV2                                       | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104403 | PA      | $85334.74     | 0.04%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                         | CUSIP: 3133N3U77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38880 | PA      | $37241.20     | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 31293SCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5193 | PA      | $5415.76      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3129457G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216426 | PA      | $219131.50    | 0.11%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                     | CUSIP: 76116WAW0<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |   1344013 | PA      | $1279246.78   | 0.65%             | 2043-12-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                           | CUSIP: 863579LA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183137 | PA      | $174036.06    | 0.09%             | 2035-02-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS5 Trust                                               | CUSIP: 75114TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       283 | PA      | $232.80       | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375CAA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18731 | PA      | $1395.78      | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                        | CUSIP: 31359KE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4777 | PA      | $4787.91      | 0.00%             | 2023-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140LWVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214939 | PA      | $199120.79    | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1               | CUSIP: 59020UAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84934 | PA      | $80963.40     | 0.04%             | 2034-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2019-4                        | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    448583 | PA      | $404863.90    | 0.20%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-5466.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3128M8W83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41844 | PA      | $42376.11     | 0.02%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511139 | PA      | $471564.33    | 0.24%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                    | Finance of America HECM Buyout 2022-HB2                                  | CUSIP: 317380AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1722560.75   | 0.87%             | 2032-08-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-TMIC                                                           | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000616.50   | 0.51%             | 2035-12-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1027578.15   | 0.52%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38380LFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5671684 | PA      | $242734.82    | 0.12%             | 2068-02-20      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36176DZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50245 | PA      | $51514.80     | 0.03%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2014-2                                          | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    539071 | PA      | $28012.86     | 0.01%             | 2040-04-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2003-48                                  | CUSIP: 12669EU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180706 | PA      | $172378.10    | 0.09%             | 2033-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2013-C17                      | CUSIP: 46640UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2661913 | PA      | $9310.44      | 0.00%             | 2047-01-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179USN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25948 | PA      | $26269.78     | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129086 | PA      | $124553.50    | 0.06%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2015-GC32                                   | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $386497.24    | 0.20%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD AUD                                                 | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-29415.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LoanMe Trust Prime 2018-1                         | LoanMe Trust Prime 2018-1                                                | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764307 | PA      | $692506.77    | 0.35%             | 2034-09-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140KUWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324776 | PA      | $268061.56    | 0.14%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Jol Air                                           | JOL Air Ltd                                                              | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |    734014 | PA      | $603441.85    | 0.30%             | 2044-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38378TCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94682 | PA      | $4988.68      | 0.00%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62020 | PA      | $59528.95     | 0.03%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                              | CUSIP: 912796ZP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4919610.75   | 2.48%             | 2023-06-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2020-HB4 LLC                                                        | CUSIP: 12529LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $2237164.04   | 1.13%             | 2030-12-26      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376RP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5740986 | PA      | $315763.42    | 0.16%             | 2066-12-20      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5927343.90   | 2.99%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust             | PRPM 2022-INV1 Trust                                                     | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967954 | PA      | $962630.81    | 0.49%             | 2067-04-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 312944S69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7191 | PA      | $7397.29      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179VKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130362 | PA      | $121433.99    | 0.06%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAVE 2017-1 LLC                                   | WAVE 2017-1 Trust                                                        | CUSIP: 94353WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221916 | PA      | $170688.52    | 0.09%             | 2042-11-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617J6RP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19841 | PA      | $20143.79     | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2017-3                        | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    435253 | PA      | $401112.43    | 0.20%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3138AMBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7436 | PA      | $7656.99      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PMT ISSUER TRUST - FMSR                           | PMT Issuer Trust - FMSR                                                  | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1240746.38   | 0.63%             | 2026-03-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137ALMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88590 | PA      | $85475.47     | 0.04%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31390FAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2204 | PA      | $2338.33      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3618AAK68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999190 | PA      | $1037244.17   | 0.52%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140QAVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7507 | PA      | $7012.85      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2004-AR9                                | CUSIP: 45660N3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83435 | PA      | $78839.55     | 0.04%             | 2034-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities PLC                 | Lansdowne Mortgage Securities No 1 PLC                                   | CUSIP: 000000000<br>LEI: 549300M5JCJD5NA85U45 | Long             | ABS-MBS          | CORP              | IE        |    185794 | PA      | $193077.71    | 0.10%             | 2045-06-15      | Floating      | 2.35%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                      | CUSIP: 22540VTZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334645 | PA      | $336755.53    | 0.17%             | 2032-02-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-2535.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2022-HB9 LLC                                                        | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1195256.40   | 0.60%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Titulizacion De Activos                           | TDA 27 FTA                                                               | CUSIP: 000000000<br>LEI: 95980020140005710276 | Long             | ABS-MBS          | CORP              | ES        |    555551 | PA      | $486535.35    | 0.25%             | 2050-12-28      | Floating      | 2.33%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2022-MH1                                          | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469187 | PA      | $1316686.83   | 0.66%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED CAD / SOLD USD                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |         1 | NC      | $57.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-8                                      | CUSIP: 74927BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50102 | PA      | $155239.30    | 0.08%             | 2037-09-26      | Variable      | 57.78%                | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                | Galton Funding Mortgage Trust 2019-1                                     | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35495 | PA      | $33914.51     | 0.02%             | 2059-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140L2AS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693076 | PA      | $565239.86    | 0.29%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 31387WTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       332 | PA      | $349.89       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 3617GTNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10255 | PA      | $10379.59     | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2019-2 Trust                                    | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    771672 | PA      | $662634.64    | 0.33%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | CFMT 2020-ABC1 LLC                                                       | CUSIP: 12529HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523951 | PA      | $462242.31    | 0.23%             | 2050-09-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust 2017-4                               | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    286024 | PA      | $285644.50    | 0.14%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                       | CUSIP: 3137FX3Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9274521 | PA      | $1132319.79   | 0.57%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-GCJ14                                  | CUSIP: 36198FAV4<br>LEI: 549300ITVQSU1IHX4H03 | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $302449.43    | 0.15%             | 2046-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                    | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7253 | PA      | $7622.82      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                    | Cascade Funding Mortgage Trust 2021-HB6                                  | CUSIP: 12527LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1828161.40   | 0.92%             | 2036-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust              | Sutherland Commercial Mortgage Trust 2021-SBC10                          | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862758 | PA      | $788422.71    | 0.40%             | 2041-12-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                          | CUSIP: 3140N7ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1769778 | PA      | $1639531.50   | 0.83%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Trust                      | Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC                               | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308504 | PA      | $278362.46    | 0.14%             | 2026-10-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                              | CUSIP: 912796X53<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9832732.60   | 4.97%             | 2023-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4            | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489252 | PA      | $25364.12     | 0.01%             | 2049-12-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust           | Freddie Mac Whole Loan Securities Trust 2016-SC02                        | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22794 | PA      | $19971.82     | 0.01%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1                      | TVC Mortgage Trust 2020-RTL1                                             | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61041 | PA      | $60870.53     | 0.03%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| E-MAC                                             | E-MAC DE 2005-I BV                                                       | CUSIP: 000000000<br>LEI: 72450085LQ6DKJ7BBA61 | Long             | ABS-MBS          | CORP              | NL        |    347543 | PA      | $365611.69    | 0.18%             | 2052-05-25      | Floating      | 10.03%                | Yes           |                  2 | On Loan: No      |
| COOF Securitization Trust                         | COOF Securitization Trust 2015-1                                         | CUSIP: 12592NAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1103204 | PA      | $57192.52     | 0.03%             | 2040-10-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179UQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39352 | PA      | $38853.32     | 0.02%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38378W6W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232286 | PA      | $14082.38     | 0.01%             | 2043-09-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                       | CUSIP: 36179USM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17298 | PA      | $17339.95     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2003-1                                           | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4110 | PA      | $3801.41      | 0.00%             | 2033-03-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                        | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92073 | PA      | $90390.70     | 0.05%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1524071 | PA      | $102812.91    | 0.05%             | 2067-06-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                       | CUSIP: 31282YCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53415 | PA      | $7740.60      | 0.00%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38376RRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2423 | PA      | $2403.90      | 0.00%             | 2066-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                 | CUSIP: 38375UPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2582602 | PA      | $192593.87    | 0.10%             | 2064-09-20      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-17

**Name of Applicant:** MORGAN STANLEY MORTGAGE SECURITIES TRUST

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Principal Financial Officer